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The Sharpe for SPX index for the first 2 months of the year is 9. It is very abnormal. Historically the Sharpe for equity mkt as a whole is about 0.3-0.4, 4-8% annual risk premium over annual std dev of about 15-20%. I fully expect by the end of year, the SPX sharpe will come down below 1...

I am pretty sure standard DF test is for confidence, ie you cannot reject at 5% / 10% / 1% confidence interval. I have trade pairs for over 3 years and I teach econometrics for living in a univ. njrookie

i think for spx is more like 9...

do not look at dollar spread. it is not beta neutral. look at the spread in log prices.

cointegration is like pregnancy. either cointegrated or no. there is no such thing as 90% cointegrated. you either reject or not reject. maybe you mean cannot reject at 90% confidence? maybe you mean 90% correlated?

It costs me $4-5000 a month to raise two kids and I would not replace them with anything. Pets serve similar purpose. You cannot measure it with money. You spend what you think you can comfortably spend on them. I am not as attached to the goldfish or my 5 hens. My hens are my high yield...

If your model is intraday and your holding period is measured in minutes or hours, two year of data is not too bad. There were plenty of mini-crashes or mini-huge breakouts in the last two year. While more is better, two years are not too bad, especially if your model has a dynamic/adaptive...

Two things might help: 1. Kelly betting is proportional. As you account bal increases, your betting size goes up with it. You can do as previous poster suggested, adjust size every 10-20K increase in equity, and keep size constant before the change. 2. Your model/system should have a vol...

+5k njrookie

atticus, I understood sharpe for selling vol or selling skew is not a good measure since you blow up acct when the tail events hit you. Where do you think the sharpe will be if selling iron condor/butterfly or calender version of it? the risk is now limited. njrookie

Medallion does not take outside money. I think just like HFT firms they are capacity constrained. It is not like they do not want to have a bit lower sharpe but much more size. It is not feasible. Sharpe is capturing first 2 moments. More moments tell you more. Keep in mind if you know all...

The yld makes sense right now. The trouble is further property depreciation. For properties this cheap you cannot get a mortgage. Especially for apt or condos, you cannot get a loan for the first 6 months. I funded a purchase by taking a loan from my 401K. 4.7%. njrookie

RenTech is ~4 Millennium ~2

You can manipulate sharpe. But a good fund is going to have reasonable Sharpe. It is not meaningless, but it is insufficient.

my daily return has positive skewness and positive kurtosis :)

From your equity curve, it does not look very likely that you will keep the high Sharpe. I am not sure whether you are so into it anyway, unless you are managing OPM or want to have a good record to raise funds. Pursuing high sharpe ratio is the wrong goal as I demonstrated earlier in my...

You have to limit your max losses, on top of having a reasonable sharpe.

Am I not making sense or this sounds too complex?

add $2.25, it is enough for a one way train ticket :)

80 hours job + daily commute = quick burnout + no time with kids and wife. I need to be paid in 7 figures so I can talk my wife into quitting her job to take care of my kids / house full-time. Not feasible for everyone. If both parties work WS type job/hours, and you have kids/pets, NYC apt...