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If the PnL is not normally distributed, but you trade many many times, then over time the formula for optimal kelly rule is reduced to a fractional kelly rule due to law of large number. njrookie

do not worry about money. worry about consistency. if you can keep up with $4k out of $100K every month, you can easily expand to $8k/$200k for a $100K yearly income from trading. the common figure to "make it" in trading seems to be 250K a year consistently. year in and year out. 1k a...

Feb - whole month

Feb-4th week

Post last week got lost in the mid of upgrade. +700 last week. +8000 for the month. njrookie

are you talking about some factor based stat arb models? i might be able to give you some pointers.

impressive. 18 out of 18 winning trade.

another week of wasted effort. +900

disappointing last week of Jan. gave back 4k. up 8K for the month.

Flat week for the 4th week of Jan. Waiting for some movement. njrookie

I believe in your valid strategy and your sincerity. There is nothing for you to gain to brag. A screenshot using snipping tool (comes free with W7) will help to quiet people down.

Mac, I encourage you to post: 1. Sharpe with a rolling window, say 1 year; and 2. Sharpe from beg of the account/strategy. Even better, you can just take a screen shot of IB portfolio Analyst to show thread followers more parameters, instead of stating a number. It adds more...

Got buried by work yesterday and forgot to post. 3rd week of Jan. +5700.

a rather uneventful 2nd week of Jan. +1200.

I am with Mac for goals for 2013: 50% return. 10% max DD. 2+ Sharpe. Expand to a few more products/markets/strategies. Make enough to buy a couple of FL condos :) njrookie

a good week to start the new year. +12000 good luck for the new year everyone. 1K a day keeps your boss away. njrookie

best of luck for 2013. sharpe ratio is a measure that can underestimate downside risk if your strategy works well in a very calm market period. if you use IB, can you post your IB portfolio analyst result for 2012? an acct equity curve will also help. it will help to quiet down lots of...

Ggreat job, sellingindexvol. My 2012 performance. First Col is multistrategy hedge fund index. Second is SPX. Third is mine. Included cumulative Acct Equity chart for easy comparison. I probably should trade a bit more aggressively. njrookie

numerator of sharpe ratio is MEAN return over riskfree rate. you can safely assume riskfree rate is zero these days. you cannot have negative sharpe and still make money.

Poloarbear, I think the best way to characterize your return metrics is first to calculate your daily return based on COMBINED trading account and cash account and then to calculate DD and sharpe based on that. It is equivalent to adjusting daily trading account return by (dividing by) the...