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Trading systems
In my trading systems I maximize the sharpe ratio of my strategies as return(pnl)/std(pnl), but if my trading system is a trend follower I maximize the return(pnl)/std( financial time serie). It is better to maximize other things? Or maximize multi-objective functions???If I want to compare 2 trading system with 2 different time frame I have to annualize sharpe ratio as return(pnl)*t/std(pnl)*sqrt(t)....??Can you give me any good idea???
Trading systems
It is better to maximize return(pnl)/ semi-deviation (pnl)????
Trading systems
I would start by avoiding Sharpe R. It has too many flaws like penalizing for the upside volatility etc. Sortino is better, UPI is still better. Profit Factor is probably the most robust.