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Phoenix, can you share more about your "new strategy" performance? Return, max DD, Sharpe?

Everyone is short march, so maybe its time to go long march...

Don’t have exact formula, and I don’t expect it to be a 100% hedge.

Rallymode, what do you think about my experiment, a J/F/M fly hedged by short vxx?

I am experimenting the following. Shorted feb/mar for 1.57, bought mar/apr for .72 (.85 fly). In addition I have shorted 100 vxx for each fly for protection against the fly expanding further. One problem I have with this trade is that everyone here seems to agree that feb/mar is a good short.

Got it. What seems to be usually the case is, that any high Sharpe strategy (at least the good ones..) come with some capital constrained issue. Scalability is important if you look for outside investors.

Whats the annual return and max daily DD for the sharpe 4.2?

Good. Sharpe of 3.7 and max daily DD of 3.4% is very good, I like that. What do you expect for this year? Also how much was your % return for the past year? Anyone else care to share their high Sharpe here?

I am done with this subject. I think I have explained well how I manage/plan to manage risk, let’s go back to Sharpe. Anyone with high Sharpe low DD ready to share their results here? (personally I Don’t care if you are short premium, long premium, delta, Vega etc)

I hope this will be my last answer on this topic. Number 1 I do not sell premium, period.. Number 2, I agree that the fact that I currently have a high Sharpe ratio does not mean that things could not change and/or that the strategy would not suffer a big loss in the future. Therefore I have a...

Since so many people here mention premium selling that has high Sharpe ratio, let me respond. Selling premium would have a high "monthly Sharpe" and low "monthly DD" if you sell OTM options every month and the expire worthless. HOWEVER "daily DD" is a different story, when the vix spikes with...

I think you explained it well. Your approach is market correlated, focus is not risk adjusted returns, so any threads about Sharpe ratio should not be of any interest for you. However some others here do focus on risk adjusted returns, have high Sharpe goals (or high return/low stdv goal), have...

Let’s make a deal, you post your equity curve and what strategy you are doing and I will explain you the point of the thread. Fair enough?

Here you go... As sellingvol66 suggested maybe you post your equity curve and what “you” are doing…:(

I will post my 2012 equity curve this week, however I am sure those people claiming Sharpe higher then 3 is not possible (because blah blah blah..) will never be convinced. No matter how many blotters and pictures we will post they will always claim it's a fake.

My goal for 2013 is a Sharpe of 3+. Also to find s couple of new strategies/edges

Got it. Looking forward

Well said. It seems there are some things we actually do agree... Good job last year, looking forward this year.

The DD risk in LJM was easily noticeable in its first 4 years of existence. -36% in 98, -18% in 99, -34% in 2000, -24% in 01, -46% in 02, almost all of it happening in months that the market crashed see enclosed the LJM monthly history going back to 98. 1998 n/a n/a n/a n/a n/a n/a -1.77...

No, I never went into details about my strategy here, it was probably someone here that speculated that I am short vol. Anyone that was short vol, or long XIV would have had a pretty big daily DD in May and Dec.