Recent content by test_user

I suspected that there's negative skew involved somewhere in there. You don't get these numbers with positive skew strategies. I don't know the details of your strategies, but I would be extremely cautious of risk warehousing and risk of blow up.

Sharpe ratio of 2.3 sounds too good to be true (for annual Sharpe). For monthly, implying annual Sharpe ratio of about 8, it's a fantasy. And having 10 of those, uncorrelated, makes it even less believable.

What were you using when you blew up your account?

Just a gentle reminder: https://www.elitetrader.com/et/threads/what-happened-to-acrary.361842/ I'm pretty sure the guy's a pretend-trader with all the drama and attention seeking that ensues.

What happened to your immune response model? I think you called it Doron. Was it even real?

Did you get rich?

I assume the comparison (SR 1.0 vs 1.4) was done on a backtest over many decades (since 1970?). What is the correlation between the old and new approach? Perhaps it is quite high and even 10 year period comparison is meaningful? How do they compare if you only take the 2010s period...

Sharpe Ratio of 1.4, that definitely sounds too good to be true!

I noticed you have mentioned the disappearance of the skew in the latest Systematic Investor podcast. Nice!

The skew disappears around year 1990 in your set. I don't know how to explain the difference now. Perhaps the difference of sortino vs sharpe is not exactly skew. Sortino excludes (zeros) positive returns when calculating volatility, basically return = min(return, 0). Divisor is still n. If we...

I forgot to specify that I used monthly data to calculate Sharpe and Adjusted Sortino ratios. I have generated the monthly data by taking daily data and compounding it.

This comparison makes no sense.

I found a strange phenomena when looking at 10-year rolling window Sharpe and Adjusted Sortino* ratios. I only plotted windows that start on 1980 January (discarding 1970s due to its out of whack volatility and low number of futures markets back then in general). e.g. "198912" on x axis...

With the new backtest, the 1970s still have high volatility at about 45%, which is then gradually falling down and by the 1980 it's right on the target of 25% and continues to be around this value to this day.

That would be very interesting to see. The long term Sharpe ratio will also be more meaningful when the volatility is kept at the same rate throughout the whole period. I have done a correlation calculation on daily returns of my live results (from May 2021 to now) versus your backtest and got...