CLV9's relative performance to an assumed Risk Free Rate of $54.00. Pivot highs and lows during the last 8 months are taken as sample series for the calculations. Given the high Sortino ratio, opening long positions around the 54 mark looks reasonable. Wide stops tend to increase odds of landing a trade significantly.
评论:
The reference to Risk Free Rate is not correct, a threshold level is the more appropriate term to use.