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Almost like you can’t summarise the performance of a trading strategy into one number. Sharpe has problems and is overused but is fine in its domain of applicability, and everyone knows what it means. Sortino, calmar etc fix some problems but introduce new ones.https://twitter.com/WayneHimelsein/status/1367146025819901953 …
Only good solution is to look at the entire equity curve, and even that’s not enough as you need to consider distribution of future equity curves, correlation with other strats, expected behaviour in tails etc.
For every metric that shows a strat is good, there's another one that proves it's bad.
Its just a coarse filter used for basic comparisons and to start capital allocation conversations. Explaining why sharpe is a bad metric for your strategy is also a good convo. hiring I look at GPA even though I think it sucks as a predictor, have to start narrowing somewhere
How to consider the distribution of future equity curves?
Good's Sharpe Ratio ((% CAGR - Harvard tuition inflation%)*(% up months))/(Max Peak to Trough Drawdown %)
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