Why I Don't Care About the Sharpe Ratio in Automated Algorithmic Trading Systems

The Sharpe Ratio measures the average monthly returns divided by the standard deviation of the monthly returns. Its not a performance metric we chase in futures day trading systems. It is difficult enough to develop a good trading system.

Those who seek a high Sharpe Ratio seek monthly returns that are about the same. Bernie Madoff had a good Sharpe Ratio.....

I am okay with standard deviations in my monthly returns. Gap Continuation is one of my favorite trading systems and it does not meet the popular performance metrics that you hear about. It only wins 33% of the time and has a 0.6 Sharpe Ratio. Its one of our top performers.

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