Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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?
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.
