sharpe ratio自己百度了下，因为自己不是量化投资，大概了解了下，sexy trader能否仔细说说。 另外最大回撤恢复时间可能比最大回撤更能说明一个系统的优秀程度。但是不管是最大回撤还是其他，都是一个系统的结果，而非原因，因此以减少最大回撤为目的的系统调整个人认为是搞错了因果关系，注定徒劳。
The Sharpe Ratio is a way to measure the risk-adjusted return of an investment. Its ratio measures how much of an investment's return can be attributed to chance. A Sharpe Ratio value of above 1.0 is considered good, while a value above 2.0 is typically considered outstanding. The Sharpe Ratio calculation assumes a zero risk-free rate of return when the Apply interest rates preference is disabled. Otherwise, the value for Return rate for uninvested cash is used as the risk-free return. The Sharpe Ratio is calculated by obtaining the average of monthly percentage equity returns generated by the system, as well as the standard deviation of those returns. The risk-free rate of return (0 if not applied) is subtracted from the average monthly return and then annualized by multiplying by 12. This result is divided by the standard deviation of the returns multiplied by Sqrt(12). Recovery Factor is equal to the absolute value of Net Profit divided by Max Drawdown. Recovery Factor should typically be larger than 1. A healthy Recovery Factor, especially one that is greater than that of Buy & Hold, indicates a strategy's ability to overcome a drawdown.
出门前，再啰嗦两句， 许多人太喜欢攀比， 要知道祸莫大于不知足， 咎莫大于欲得。 这世上有许多不做投机交易， 赚大钱小钱都各安其事也快乐的人。 一到投机场，聪明的人太想有所作为， 似乎不做点什么， 就会丧失什么， 纷争也由此而来。