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i look at pf and sharpe and it is really true, without the equity curve you never know the real truth. i always believed that sharpe ratio is the one and only, now i reconsider. for those using sharpe, what is your soft hurdle? mine is 2.0 for intraday system single market and 3.0 for a...

i think it's simply inaccurate wording. you are perfectly right.

wonderful post. i love the symbiosis between hardcore system and market poetry ... take care of the girl ...

just for the fun of being teased: which market, how many trades, which time frame, which profit factor is y o u r super burger made of?

hit ratio and payoff (avg win/ avg loose) only make sense in context. maximising profit factor or sharpe ratio will identify the optimal point of balance. someone made the funny comment that his "short out of the money puts" has a hit ratio of 99.5% ... peace

hi martys is there a description of the structure available anywhere or is it just in her book? did you look at larry william's vix concept? (sorry if i am offtopic here ...) peace

i agree.

(ahhh ...)

we had an automated strategy running on sp500 pairs. daily data. not profitable anymore. we think due to littel dispersion and volatiliy.

i think it stopped working a year ago. tested well on a diversified portfolio, but dried out, probably due to vola crunch in financial futures ...

if he did just that strategy, the amount of loss should be booked at least partly on the risk management of that company. i see the point but let us be careful with the apples and the peaces. the same strategy followed by two different teams can turn out very different results. and i would...

BTW somehow the same as in convertibles.

the reason why i would keep my hand off. like outright short selling puts without additional edge. sure during the last twenty months the vola drop favoured that part of the strategy ... what makes me think twice about it is the context here. first abogdan is to be taken serious. second we...

well, somehow that is what i heard. people are now playing the merger deal in and out several times before final fusion takes place. i do not know what to think about it. requires more leverage now, i guess to make it meaningful. maybe it is just seen as a pairstrade where the merger...

now t h a t is a really short and meaningful statement. very much agreed. peace

i c. i like that way of thinking. i was not aware that currently anyone could make money in merger arb. i thought that game was over.

abogdan, riskarb dont waste time. its just a word. sure it is not true arb. some kind of stat arb it is for sure ... in the end the question is if it works. abogdan, what is your sharpe ratio expectation on this system? above 1.5? i guess so given the mentioned trading frequency. peace

i assume this indicates something like vola adjustment for position size in both instruments. i assume that "position size" or "number of contracts" is what you actually mean instead of contract size. cointegration does a job like this. if you have two data series, you try to find a linear...

any backtests?

if it is a portfolio i would have the feeling that sharpe ratio is too low, given it trades pretty frequent. 1.8 would be below my personal requirement for intraday futures portfolios. i would be afraid of curve fitting. does it trade well in real money? peace