The limitation of Sharpe ratio ~ forex trading system trend imperator v2
Just as one should not trust VaR completely, one should also beware of high Sharpe ratio strategies. As this Economist article pointed out, a strategy may have a high Sharpe ratio because it has so far been accumulating small gains quite consistently, but it could still be subject to a large loss when black-swan events strike.
Personally, I am more comfortable with strategies that do the opposite: those that seldom generate any returns, but always earn a large profit when financial catastrophes occur.
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