Re: Get serious about measuring your performance: Sharpe Ratio
I think that you simply things to much. Required bankroll should count as the investment being made as that is the amout of money that could be placed risk-free.
Here is my take on things.
S=(R-Rf)/std
R=((BB/100)*(hands_p_year/100))/(Bankroll_in_BB)
Rf=30 year treasury= 4.5%
std=standard deviation of the return for the whole year.
An example:
Someone averages 10BB/100 with a std of 120BB/100 and keeps a roll of 100 (100 BB) buyins, and plays 300'000 hands a year. With 300'000 hands the std should be around 6500BB divided by the expected return in BB .
S=(10*3000/10000-0.045)/(6500/30000)=13.6
Which I'm guessing will be very hard to beat using other forms of investing.
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