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I found a few high sharpe strategies, none of them has large capacity. It is expected though. The solution is to develop many low sharpe then blend

But I have nothing to sell

I have not gone live with this strategy yet. In the recent 2-3 months, I designed around 10 strategies, the strategy here is the worst. I plan to go live one by one to see if they are ok and blend them together hoping independent strategies could lead to higher sharpe.

such strategy has nothing to brag about. Even if it is acceptable, it is in low end. Just want to know how low could go for acceptable performance in the view of institutions.

Yes, all slippage and fees were taken into account. The stocks are liquid stocks. The entry price is limit.

I know. I just clarify.

So what would Wall Street think about this strategy?

I only have 1-2 parameters, with 200k trades. That is not curve fitting

I calculated sharpe based on daily return of the last 20 years, then annualized it, that gives me 2.5.

the losing year is very small. that is why 33% losing years still have 2.5 sharpe. This strategy lost in 5 bull years, but a small loss. as below: year stat:200300 net gain:-4037.7 year stat:200400 net gain:36832.4 year stat:200500 net gain:-5290.0 year stat:200600 net gain:-2185 year...

I have a strategy tested on the past 20 years. 15 years win and 5 years lose. The sharpe is 2.5. In term of months, 129 months win and 99 months lose. The win is often larger than lose. Is that good?

I read somewhere medallion has a sharpe above 10

I remember few years ago I checked Barclay hedge fund database. I searched fund with sharpe above 2 or 3 with more than 3 years record. very few fund satisfied that search. is sharpe ratio above 3 is hard? Recently I found bunch of strategies with sharpe above 3. what would be considered a good...

After hour has overnight risk, that could explain if there is indeed any profit.

I am in your shoes. What is the fair fee structure you would be accepted if you were a fund manager? In the 10 years I traded, my return totals around 6000% with no losing months. More investors wish to join. I am considering about forming a hedge fund, have not decided if I would accept more...

the only problem is ts2, other are perfect to trade

Tradezero charged 4 times multiples of overnight short but they changed back to 1 as I checked recently. They do not have api

Wrong url

I guess I already have the answer. When trades on spy and qqq are combined, since they are correlated, they expand loss as well as gains, which will expand the standard deviation, and thus reduces the sharpe.

spy500 stocks correlate to each other one way or the other. If I use somewhat hedge, strategy on spy will produce sharpe 2.2, no loss year during that last 20 years, 44 losing months out of 240 total months. working same on qqq, iwm, dia. But if it is applied at same time on spy and qqq, it...