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I dont seem to understand your reply.. can you explain yourself?

Heech, you have commented several times before, but a lot of your comments I answered already before. Re the DD question I have a hard 10% stop loss which should take care of the 64% DD concern. And the notion that you can’t have a risk managment /position sizing discussion without detailing...

Can I keep my Sharpe ratio higher then 3 for a second year?? My target for the year is to have a Sharpe ratio of more then 3 for a second year in a row. I would share my up and downs here, and welcome your comments.

As I have stated before several times, I can’t go into details about my strategy etc, but if you want to discuss risk management, position sizing etc I would be happy to discuss.

Nice performance sellingvol66, how much was your max daily DD? Also its interesting that just like rallymode it seems that over 80% of your profits where made in the first half of the year. What do you think is the reason?

Max DD this year was 7.33%. Not sure why you think my curve would look like that, versus someone who had a 20% DD this year.. (As I have mentioned several times before I have a 10% stop loss in place, at any given month if I have loss of 10% I plan to move 100% in cash)

Year is over, and Sharpe for the year is 3.59, max DD peak to valley is 7.33%. "Monthly Sharpe" is 3.49. Below I have enclosed the monthly returns for the year. 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...

I would chose 300k with a 3.5 Sharpe... Now the most important thing is how much money you make in the "long term". Making a lot of money this year is great, but if it comes with high STDV & DD, the risk you will lose it next year is greater. however If you made money and "don't trade any...

I am not sure what you where thinking, offcorse the grocery store is right for throwing you out.. it’s the $ that you achieve with your Sharpe that matters. He will accept those.:(

The answer is no, I haven’t kept Sharpe over 4 for the full year, but it was close enough in the 3.5 range. For next year I am considering doing an open high Sharpe thread so that people that have high Sharpe (2+), or people that focus on high Sharpe strategies can post. What do you guys...

Having an actual investor having more info on what you are doing is one thing, giving out the information "up front" in order to be part of a competition so maybe 1 day you can get some $ is totally different. Don't think a lot of people with good edges would do it.

Thanks, but the way RAPPA is structured you giving up a lot of your trading privacy just to enter, I am not so sure its worth. You got to find a way where traders can participate without giving away their trading structure.

Sharpe is 3.66, only 2 trading days left. Don’t expect any major changes in the next 2 days so Sharpe for the year would probably be between 3.5 and 3.8. It’s not over 4 but its close enough and I am quite satisfied with it. For next yr I will probably have multiple strategiesinstead of a...

you don't usually make 100% a year with a 10% drawdown with a Sharpe of -100... A high Sharpe generally means that your returns are much greater than your DD

Sharpe is 3.72. Only 4 trading days left for the yr.

If its IB, forget about it

LOL:) :cool:

Interesting structure and makes sense. So in reality it's not exactly 850% and 60% DD, since the cash account is actually part of the equity but you decided to keep it separate. Am I correct?

interesting approach. I guess your strategy needs minimum equity. How do you decide position size?

Wow, that's some numbers. It seems the only thing we have in common is the 3.5 Sharpe... I would be concerned with that kind of DD, what happens if next year would be 1300% return and a 100%DD..??