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I'm fairly familiar with quantum and I don't recall them having a decade-long Sharpe > 4 but anyway. I agree it is a flawed measure (and just about all of them are, this is probably the most heated of topics I have discussed with other traders/systems guys: What is the best measure of...

Heh I like that, it should be your signature. Certainly sounds better than saying you have a leptokurtic situation going on :D

I'm still waiting on a LJM document stating they have a Sharpe > 4 for 10 consecutive years on one of their funds. Anyone with half a brain is going to find such a claim dubious when we're talking about an asset manager unless it can be substantiated. I'm also mildly curious why you are...

In a way you are hinting at the flaws with a standard Sharpe ratio but the focus is really on evaluating how much reward are you getting for a unit of risk, not so much what is going to end up with the best total return. The Sharpe vs. MAR. vs. Modified Sharpe vs. Sortino vs. Ulcer Index vs...

Do you have a reading comprehension problem? I'd love to see collateral from LJM claiming a >4 Sharpe on one of the funds for 10 consecutive years. Call me curious...

I didn't say impossible, I said extreme unlikely. I've seen some high Sharpes for LJM for a given year (such as say, 2006) but I'd like to see some supporting documentation *from LJM* if you are claiming a Sharpe of over 4 for 10 consecutive years. Within 3 years is this retail OP going to be...

Someone with a sustained Sharpe of 4+ is either cheating (let's just file some of the HFTs into this category, OK?) or hasn't been trading that long. I've seen ~ a 3.5 for one of my systems over the course of a particular year but it is under 2 over 5+ years across all systems. Given that...

Thanks, it is always interesting to see another style at work. Cheers and have a good weekend as well (alas I'm day behind you!).

I don't mean to get into your specific trades I'm more curious about the nature of your portfolio on a historical and ongoing basis. Are you swing trading, position trading? It looks like you might be a very focused global macro type of guy or is it pure opportunism across any and all...

What next, can I start whining about how little 350K/year gets me in Newport Beach? Is this something I want my name attached to in the media? It is just bad news all around, not many are going to sympathize with someone who is earning FIVE TIMES the reported median household income in...

There is no interest payment on intra-day margin... but it is going to cost you $5K/day in commissions assuming you are paying retail bundled rates... I'm concerned that you are asking these sorts of questions and apparently trading this aggressively with only effectively 5K of available...

Here's the thing: This guy is in charge of MARKETING for Euro Pacific Capital. What kind of knucklehead thinks this is going to be good PR for himself and his firm? If I were an investor with them (and frankly, after running into Peter Schiff, I can safely say that will never goddamn...

If this is the case then you are quite well positioned :D I think a lot of people have joined you as the resistance area we are in seems like a logical place to take a big short on especially given the run up... At any rate someone as concerned with risk as you should do just fine either...

Just replace the directions with Bulls and Bears and voila you have a tidbit worth the read through this thread.

Good luck to you, cool thread. I will say I feel the shorts just coming into this thing in droves. You can feel it in the breadth, and the fact that only the weighted stocks in the indices are holding the averages together. It is going to get interesting shortly because either the...

Do you hold on to losing trades too?

I've eaten there a few times. It was "OK". Typical of many establishments in the area it is more of a "see and be seen" type of joint rather than a great place to eat as a foodie. I'm not sure I would say that the majority of clientele are "1%ers". More like trying to appear to be 1%ers while...

Yes well when your central bank pegs their 10 year these sorts of odd (I like to call them "perverse") things can and do happen. I don't believe gold is the "reliable currency" it is purported to be lately. I've heard this song and dance before and then witnessed the multi-decade annihilation of...

I hope you understand the fallacy here. You can do better than this, and by better I mean more intellectually honest or sophisticated depending on the original motives/nature of your post. You really need to look at S&P versus a huge basket of instruments/goods to get any kind of realistic...

I would suggest posting what build of TWS you are running and which locale you are operating in (US/Europe/Asia?). That may speed up the discussion.