Search results

These are old numbers from July. Below are the current monthly numbers with a monthly Sharpe of 4.18. Jan 2012 2.92% Feb 2012 6.17% Mar 2012 11.20% Apr 2012 8.45% May 2012 6.13% Jun 2012 15.88% Jul 2012 -4.00% Aug 2012 12.70% Sep 2012 4.49%. Average 7.10% Also I continually change/adjust...

Sharpe is 4.62 YTD. My goal for the year has been reached 75%. Re raising money to manage, I have decided against it for now. However I hope to be able to get 1 Mil from some wealthy friends/partners before the end of the year.

I am measuring Sharpe based on Daily changes in MTM value. BTW, I have little knowledge in statistical language, is there a good book to teach it? And is it useful/necessary for trading?

What do you do for a living? Retirement planning. In addition recently I am managing money for a couple of partners for a fee (fee is around 10k a month) What is your training? No training.. but I am very good in math (little knowledge in statistical language) What is your particular skill...

3d quarter is over. My return YTD is 83.2%, Max DD peak to valley is 7.33%, and Sharpe ratio is 4.62.

You are right that I am not giving a lot of info. But if I had to choose between getting advice and protecting my strategy my choice is protecting my strategy. I like to think that there is some advice I can get even if I am not disclosing anything about my strategy. I hope to post my skew...

What would be the formula to calculate STD on the DD? I have run some numbers on skew and kurtosis, would that help? P.S Your assumption that I am selling premium is without basis. Anyone that was selling premium (especially unhedged) would probably have a sizable DD this year in April, May...

Sharpe YTD is 4.57, max DD YTD peak to valley is 7.33%. I am getting close to finishing 3d quarter, what you guys think about taking money from some accredited investors? Is it worth?

Sharpe is 4.45, max DD YTD is 7.33%.

Another month is over and Sharpe is still above 4. This month I put special emphasis on DD and August was quite an improvement over July, return was 11.27%, while DD for the month has been 0.72%. Sharpe is stable at 4.64, while max DD for the year is 7.33%, Return YTD is 75.4%. If I finish 3d...

Interesting. When you are saying better rates did you include exchange fees as well, usually IB’s rate is all in while others add exchange fees.

Which broker did you found comparable to IB, and if they are good why do you still keep 50% with IB? In general I agree that IB is the worst possible broker when it comes to margin requirements/changes/issues etc.

Haven’t posted in a while, have been busy adjusting strategy. Will try to post more often. Daily Sharpe YTD is 4.58, Max DD YTD peak to valley is 7.33%

I have replied by PM.

Sharpe is 4.34, however max DD was 7.37% this month. On top of that the return for the month was negative 4%. The weak results were because of 2 factors. First it seems that my edge has been weakened by the market, I would expect the returns going forward to be 3-6% or less, down from 5-9%. The...

Sharpe is 5.29, Max DD Peak to Valley is 3.38%.

sellindexvol66, njrookie, rallymode, all have Sharpe of over 4. Some people say it’s impossible, encouraging seeing proof otherwise.

Probably around 5-15%

My goal for second half would be skewed a little more to growth. Monthly target return 7-12%, up from 5-9%. For Sharpe and max DD I would start focusing on monthly data in addition to the daily data. Monthly Sharpe target is 5+ with zero DD. Daily Sharpe target is 3+, with a max DD of 4-5%. With...