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Can I keep my Sharpe ratio higher then 4 for the rest of the year?
- Thread starter macintash
- Start date
With the numbers above does it sound more reasonable I have a chance to get to sharpe 3-4 for the year?Quote from macintash:
Sharpe YTD is around 6. Max DD is 1.24%.
I am adding new goal for year, DD in most months (7 mo.) should be not more then 2%, that would help me keep max DD lower then 5 for year
Quote from macintash:
Below are the exact numbers so far the year.
return 17.09%
max DD 1.26%
sharpe ratio 6.00
Will keep updating as I move along in my journey.
These are excellent numbers. If this is your personal account with profit maximization objective, no reason for you to not increase the leverage at least 5 times. Your returns will go up immediately still with a very comfortable DD, unless you have some other motive - like going to use this account as model account to raise OPM etc.
Profit maximization is not my prime objective, managing risk is. My max DD untill now is only 1.26%, but that does not mean it can't be tomorrw 7.9%. After another couple of months I would probably start "gradually" to increase size.Quote from gmst:
These are excellent numbers. If this is your personal account with profit maximization objective, no reason for you to not increase the leverage at least 5 times.
Quote from macintash:
Profit maximization is not my prime objective, managing risk is. My max DD untill now is only 1.26%, but that does not mean it can't be tomorrw 7.9%. After another couple of months I would probably start "gradually" to increase size.
how long have you been trading and with what success? Asking because to achieve such numbers, an excellent methodology is required. What is your long run DD ? That should help you determine how much more risk you can enhance without much worry.
Quote from gmst:
how long have you been trading and with what success? Asking because to achieve such numbers, an excellent methodology is required. What is your long run DD ? That should help you determine how much more risk you can enhance without much worry.
Have been trading for some time. I have used this strategy since last year but I used several other strategies as well in the same account. Over the last year I kept refining this strategy, added hedges etc. Since beginning of the year I have a separate account which I use only for that strategy. So far so good.
Quote from macintash:
Have been trading for some time. I have used this strategy since last year but I used several other strategies as well in the same account. Over the last year I kept refining this strategy, added hedges etc. Since beginning of the year I have a separate account which I use only for that strategy. So far so good.
Fair enough, thanks for filling in the details. Yeah it makes sense to scale up slowly and gradually. Good Luck
Today marks the end of the first quarter and the results is so far so good. Return is 21.1%, Max Drawdown is 1.24%, Recovery time is 4 Days, Sharpe Ratio is 6.61, (Sortino Ratio 19.15, Calmar Ratio 163.72) Standard Deviation is 0.87%, daily Mean Return is 0.30%
Some here have suggested that I should increase position size, I am not ready for that yet, but I am considering using a separate smaller account (around 30k) to try using about double position sizing. Does that make sense?
Some here have suggested that I should increase position size, I am not ready for that yet, but I am considering using a separate smaller account (around 30k) to try using about double position sizing. Does that make sense?
If I were you and if I was confident about my edges, looking at your results, I would increase the position size at least 6 times. But since still want to give a bit more time before increasing size, there are two possible ways:
1. As you correctly say open another account and I would suggest start with 20k not 30k and increase position size by at least a factor of 3. Higher leverage will allow you faster compounding and smaller account start balance will soon cease to matter. After few months, you can reevaluate.
2. Continue with same account but increase position size by say 40-50%. This has the advantage of lesser number of accounts to manage and thus smoother operation.
1. As you correctly say open another account and I would suggest start with 20k not 30k and increase position size by at least a factor of 3. Higher leverage will allow you faster compounding and smaller account start balance will soon cease to matter. After few months, you can reevaluate.
2. Continue with same account but increase position size by say 40-50%. This has the advantage of lesser number of accounts to manage and thus smoother operation.