Finantic-rSharpe-Metric

QUOTE:
Does this metric adjust to the timescale of the trading system, or ...

There needs to be some clarification here. Are you referring to the Sharpe Ratio?

The reason I'm asking is because the Sharpe Ratio is not a function of time. It's simply a Z-score (mean/stdDev) of the profits experienced over the course of the trading of the instrument. If there's some affect by sampling rate, that's incidental.

Moreover, all ScoreCard.dll executables (including your own) are called as a function of WL's trading system timescale. If there's any change in these metrics with the timescale, it's because the strategy trades slightly differently with different timescales.

superticker

I am asking DrKoch about his "robust Sharpe" metric, "rSharpe", since I seem to be getting results that are unrealistic on timescales other than daily. There does not appear to be any detailed info about its construction other than a very general one.

I thought that DrKoch could clarify it rather simply.

Vince

QUOTE:
I am asking DrKoch about his "robust Sharpe" metric ...

I guess I assumed "robust" meant the median replaced the mean in the Z-score Sharpe Ratio calculation, which makes sense because the distribution of the Sharpe is highly skewed. But in truth, I have no idea how he's calculating it.

I'm trying to decide if the skewing of the Sharpe Ratio would be affected by timescale? Well, you could run a calculation experiment and return the Z-score skewness over different timescales. That could be interesting.