Figure 5
The horizontal axis is labeled “A U C”, with labeled tick marks at 0.712, 0.716, 0.720, and 0.724. The vertical axis is labeled “Sharpe Ratio”, with labeled tick marks at 0.08, 0.09, 0.10, 0.11, and 0.12. The plot contains multiple light-blue circular data points scattered across the graph. A red dashed regression line slopes gently upward from left near (0.712, 0.088) to right near (0.727, 0.096). Black annotation text near the upper-left corner reads “r equals 0.228”. The data points are widely dispersed around the regression line. The lowest points occur near Sharpe ratio values of 0.077 to 0.080, while the highest point appears near A U C 0.718 and Sharpe ratio 0.120. Several points cluster between A U C values of 0.718 to 0.724 and Sharpe ratio values of 0.082 to 0.100. A few higher points near Sharpe ratio 0.111 to 0.112 appear around A U C values of 0.723 to 0.725. Note: All numerical values are approximated.Relationship between AUC and sharpe ratio (K = 50)