Can I keep my Sharpe ratio higher then 3 for a second year??
- Thread starter macintash
- Start date
Somehow I get the distinct impression that you think these journals are supposed to be free trading lessons for every lurker that visits.
Sorry but I agree with the OP and sell, nobody who truly thinks they have an edge, would in their right mind even come close to hinting at what they were doing.
well at least that's my humble opinion.
Quite frankly I'm a slow thinker and I've been studying the same concept for 13 months now.
Now that trading is my only source of financial gain I'd say I have a considerable vested interest in keeping it confidential.
My journal is just a story that accompanies the journey.
I suppose my account snapshots will eventually prove my thesis right or wrong.
I'll give in equal measure equity curve plus my strategy if you do the same equity curve and strategy (basic; no specifics, no underlying, etc...).
but you won't. you will have me post my curve and explain my strategy and then will change the response to "the point of the thread is..." without stating your basic strategy.
I still don't understand why anyone who doesn't want to reveal his strategy would even post here let alone start a thread about his sharpe ratio without wanting to at least explain the basic (very non-specific) strategy, i.e. trade futures, commodities, options, directional, etc..
If i was as paranoid as you I would restrict my activity to viewing only.
There is nothing to gain from a hockey stick graph of your equity curve. Nothing to gain from mine either, mine reflects the market. I only try to beat the s p 500, because my approach is not exotic. Mine shows a decline when the equity market tanks and an increase win it rises. Nothing spectacular but my objectives are modest. I'm not trying to start a hedge fund or impress people with my sharpe/sortino ratio, or how much alpha I've achieved.
but you won't. you will have me post my curve and explain my strategy and then will change the response to "the point of the thread is..." without stating your basic strategy.
I still don't understand why anyone who doesn't want to reveal his strategy would even post here let alone start a thread about his sharpe ratio without wanting to at least explain the basic (very non-specific) strategy, i.e. trade futures, commodities, options, directional, etc..
If i was as paranoid as you I would restrict my activity to viewing only.
There is nothing to gain from a hockey stick graph of your equity curve. Nothing to gain from mine either, mine reflects the market. I only try to beat the s p 500, because my approach is not exotic. Mine shows a decline when the equity market tanks and an increase win it rises. Nothing spectacular but my objectives are modest. I'm not trying to start a hedge fund or impress people with my sharpe/sortino ratio, or how much alpha I've achieved.
Despite u having some valid points , there is much u are missing that can be gained...a lot of us have different reasons for being here.
Perhaps u should avoid these types of threads.
Perhaps u should avoid these types of threads.
I think you explained it well. Your approach is market correlated, focus is not risk adjusted returns, so any threads about Sharpe ratio should not be of any interest for you. However some others here do focus on risk adjusted returns, have high Sharpe goals (or high return/low stdv goal), have strategies that are completely market neutral, for them this thread might be interesting to watch.
Except that by itself and in isolation like here, sharpe ratio is meaningless without knowing the basic strategy. As mentioned previously in other forums, premium sellers can sustain a sharpe in excess of 4 for years even a decade before suffering a 100% drawdown, rendering sharpe in isolation an absolutely pointless measure. Best comparison i heard was here on ET it is like drug smuggling, profits are fantastic until you get caught.
The sharpe for that kind of strategy has to be high because tail risk is ever present for skew sellers.
And someone mentioning I'm missing a lot here that people can benefit from. Please explain to me what anyone can benefit from by posting a sharpe ratio and equity curve without any other info. The previous forum on this topic looked like it just got sidetracked by atticus or others stating that sharpe is pointless and I have to agree with him.
The sharpe for that kind of strategy has to be high because tail risk is ever present for skew sellers.
And someone mentioning I'm missing a lot here that people can benefit from. Please explain to me what anyone can benefit from by posting a sharpe ratio and equity curve without any other info. The previous forum on this topic looked like it just got sidetracked by atticus or others stating that sharpe is pointless and I have to agree with him.
Since so many people here mention premium selling that has high Sharpe ratio, let me respond. Selling premium would have a high "monthly Sharpe" and low "monthly DD" if you sell OTM options every month and the expire worthless. HOWEVER "daily DD" is a different story, when the vix spikes with 40% in 2 days like it did 1 1/2 week ago this strategy would have a pretty decent DD. Anyone here correct me if I am wrong