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Sharpe is 5.62, Max DD is 3.38%. With that we conclude the first half of the year, thanks for joining me in my journey. Should have another post describing my targets and adjustments for second half of the year. I am also including here my monthly returns for the first 6 months (monthly Sharpe...

My return for first half is 62%. BTW I personally use MTM to calculate profit and losses.

do you count your profits based on realized P/L or unrealized P/L?

Without getting into too many details, I “think” if the market opens down 10% tomorrow my strategy might be down 2-5% or stay flat. However should I start seeing 5-7% loss (not DD) at any day in the month that would be a red flag for me to reevaluate and possibly adding hedges/protection etc.

Would a 10% stop loss eliminate the "paranoid" issue?

There is securities involved, but could probably do something very similar with futures. Can you specify in more detail what would be the process for CTA, and for securities? We are probably talking of only a handful of accredited investors

The concern of a 30% DD and an outlier market condition is something that should concern any trader no matter what you are trading especially if leverage is used in any way, in fact almost any asset class (stocks, bonds, metals etc) did have a DD exceeding 50% sometime in the last 30 years...

As stated several times before I will not go into detail what my strategy is, but I am getting your point on selling premium.

Not sure how you came up with 15% net return for investor. If we assume a 6% monthly return (quite hard to sustain), the net to investors would be 3.5% monthly, if the performance fee is 50% of anything over 1% monthly. (1+2.5%). That would be an annual total of 42%. Would you suggest 42% return...

Sortino is 11.06 YTD.

Sharpe is back above 5. Sharpe is 5.33, max DD peak to valley is 3.38%. Also my return is reaching 50% for the first time this year. Will keep updating. I am thinking about taking money from some accredited investors in October, without having to launch a fund (my plan is not to charge a...

First half is not over yet still 1 more week to go. Will post results then.

Thanks for sharing your prospective and experience on Sharpe. I would encourage others to share their own experience. Personally I feel max DD peak to valley based on daily return is a much more important factor to assess account stability and blowup risk then sharpe.

I use daily calc, calculating daily is especially important when measuring DD peak to valley. (my monthly Sharpe is around 7.5 YTD)

Offcourse its marked to market daily.

I have got some private massages asking me what my holding period is. It is generally 1-7 weeks.

Sharpe YTD is 4.97, max DD YTD peak to tough YTD is 2.48%. Now Sharpe is down a bit from the previous months, but given recent market movement it doesn’t sound bad. Will keep updating.

I am not sure if your post was genuine or sarcastic (a lot of sarcastic quotes here on ET..) But yes it’s basically a Sharpe ratio journal, I wish there be some more Sharpe journals or Sartino/Calmar here.

Sharpe YTD is 5.33 . I am increasing size however I'm not sure if i would increase size by 50%, 100%, 200%. Will probably decide later this month.

May is over and these are the numbers. For the month up 7.63% while Max DD wad 2.48%. For YTD return is 41.8%, Sharpe is 5.38, Sartino is 12.16, Calmar is 91.07. For next month I am increasing size, start managing 300k for 2 of my partners (I have a stop loss of 10%, and I will pick up any loss...