Sortino Ratio: Penalising Only Downside Volatility

Two systems land on my desk with identical Sharpe ratios of 1.40. One of them spends 18 months grinding out a quiet equity curve with shallow 4% pullbacks. The other…

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Parabolic SAR Settings: Chart Behavior and Trade Rules

Parabolic SAR is a trend-following indicator that plots a series of dots above or below price. SAR stands for “stop and reverse,” which describes its original purpose: it acts like…

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