Can I keep my Sharpe ratio higher then 3 for a second year??
- Thread starter macintash
- Start date
to go out on the anonymous internet board and say definitive numerical trading claims i have always said a screen grab settles down a lot of the critics...of course screens can be suspect....
..but i can't think of much better ways to back up "CLAIMS" than blotter grabs , etc
that has to separate one a bit from the huge amount of phonies and complete nut jobs on this site.
Hi Mac,
I was a follower of you last year. I just came across this thread, and I am disappointed to see that you have stopped updating. Either things haven't gone well or you just grew tired of the doubting thomas's.
I am a believer in Sharpe as a measure for risk adjusted returns, we use what I believe to be an improvement of Sharpe called PSR (probabilistic sharpe ratio).
Taking nothing away from your returns last year achieving a Sharpe of ~4, I think the great challenge and where your chance of success is significantly stacked against you is maintaining it.
Here is a list of some short and some longer term equity curve Sharpe ratio's. Clearly in the short term one can achieve obscene SR's.
I was a follower of you last year. I just came across this thread, and I am disappointed to see that you have stopped updating. Either things haven't gone well or you just grew tired of the doubting thomas's.
I am a believer in Sharpe as a measure for risk adjusted returns, we use what I believe to be an improvement of Sharpe called PSR (probabilistic sharpe ratio).
Taking nothing away from your returns last year achieving a Sharpe of ~4, I think the great challenge and where your chance of success is significantly stacked against you is maintaining it.
Here is a list of some short and some longer term equity curve Sharpe ratio's. Clearly in the short term one can achieve obscene SR's.
I agree. This is like asking whether I will go bald over the next year. Totally irrelevant without further details.
Hi All,
Back after a very long break. Its only a week away from year end and its time to check where I am with my target.. The results is I am close. Sharpe for now is 2.89. There is a chance it could go above 3, but I guess 2.89 is also not bad.
Without going in to details about my strategy in involves futures. My goal is generally to be delta neutral. I have a hard 10% stop loss on the account, I consider my risk to be only 10% of the account value and I size my positions accordingly.
Hi Mac
As you know we are looking to allocate capital to talent, if you are looking to raise money and are willing to be Scored by us then load your performance. If you are concerned about us seeing your strategy we can modify the IB Flex Query to just report NAV and cash in and out flows.
Sharpe is by no means the only thing we look at and as discussed in this thread we rather work with probabilistic sharpe ratio.
If you are happy doing your own thing no worries mate, it is your call.
As you know we are looking to allocate capital to talent, if you are looking to raise money and are willing to be Scored by us then load your performance. If you are concerned about us seeing your strategy we can modify the IB Flex Query to just report NAV and cash in and out flows.
Sharpe is by no means the only thing we look at and as discussed in this thread we rather work with probabilistic sharpe ratio.
If you are happy doing your own thing no worries mate, it is your call.
Quote from mickson:
Hi Mac
As you know we are looking to allocate capital to talent, if you are looking to raise money and are willing to be Scored by us then load your performance. If you are concerned about us seeing your strategy we can modify the IB Flex Query to just report NAV and cash in and out flows.
Sharpe is by no means the only thing we look at and as discussed in this thread we rather work with probabilistic sharpe ratio.
If you are happy doing your own thing no worries mate, it is your call.
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