MAR Ratio at +Infinity

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Kobeyashi
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MAR Ratio at +Infinity

Post by Kobeyashi » Mon Apr 14, 2008 12:23 pm

Just this morning I got a demo version of Trading Blox, and was fiddling around with various systems.
One of the systems I tested yielded a MAR Ratio of +Infinity with a stratospheric Sharpe ratio to boot. Yet, the CAGR was a meagre 3.9% over a 12 year period. How do I interpret this data?

Kobeyashi
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Tim Arnold
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Post by Tim Arnold » Mon Apr 14, 2008 12:31 pm

Looks like you have a drawdown of zero, which results in a MAR of infinity. Your CAGR is probably related more to interest earned than to actual trades.

Kobeyashi
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Post by Kobeyashi » Mon Apr 14, 2008 12:33 pm

Thanks for the quick reply Tim. I'll look into this and get back to you. :)

Kobeyashi

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