The Common Traits of Stock Market Wizards | Interview with Jack Schwager (Episode 5)
The TraderLion Podcast
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Is the Sharp Ratio a Good Measure of Risk?
The sortino ratio, which is like the sharp ratio, but it only uses the downside volatility on a losing side, not winning volatility. The gain to pain ratio based on daily data gives you and plus the daily data, you have a lot more data. And then there's one of my favorite measures, the game to pain ratio, which again is explained in the book. Yeah. 22 times as much data for the same period as you have with monthly data. Perfect.
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