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Finding Alphas: A Quantitative Approach to Building Trading Strategies by Igor Tulchinsky

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30 Interpreting Results and Alpha Repository

By the WebSimTeam

This chapter provides an overview on different factors used to measure alpha performance, keeping track of all alphas and a list of errors and warnings from simulations.

SHARPE RATIO BRACKET

As seen in Figure 30.1, in the Simulation Results page, you will find a label just below your alpha expression and above the Cumulative Profits graph that says Spectacular, Excellent, Good, Average, Inferior, and Poor depending on your alpha’s Sharpe Ratio and Fitness, as shown in Table 30.1.

Sample alpha simulation results page shows five columns as “Percentile Rank”, “Total Submissions”, “Sharpe”, “Return” and “Fitness”.

Figure 30.1 Sample alpha Simulation Results page

Table 30.1 Table to illustration Sharpe Ratio grading scale

Label Sharpe for Delay 1 alphas Sharpe for Delay 0 alphas
Spectacular >4.5 >6.0
Excellent >3.5 >5.25
Good >3.0 >4.50
Average > 2.5 >3.95
Inferior >=1 >=1
Poor <1 <1

Please note that the above categorization can be changed anytime at the firm’s discretion. For the most updated definition please check WebSim™ help page.

If you click on the “+” to expand it, you will find a Percentile Rank table. The percentile ranks of current simulated alphas of historic simulations submitted by this user are:

  • ALL: (1st row) refers to the space of all historic simulations.
  • Delay-1/0: (2nd row) indicates the space of all historic simulations with the same delay setting.
  • USA:TOP-N Delay-1/0: (3rd row) denotes the space ...

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