Can I keep my Sharpe ratio higher then 4 for the rest of the year?

Quote from macintash:

Sharpe is 5.62, Max DD is 3.38%. With that we conclude the first half of the year, thanks for joining me in my journey. Should have another post describing my targets and adjustments for second half of the year. I am also including here my monthly returns for the first 6 months (monthly Sharpe is 6.42) Jan 2.92%, Feb 6.17%, Mar 11.20%, Apr 8.45%, May 6.13%, Jun 15.88%. Total return is 62.05%
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Using these monthly numbers, I get 16% annualized risk (ann factor being sqrt(12)). Incidentally, the sharpe I compute is 6.4 - but I assume that's because you are using daily returns to compute sharpe? Okay. Fine.

But, with 16% risk and max dd of 3.38%, your max dd is only 0.12x your ann risk! I have to say, I gotta jump on the bandwagon of people who think there might be something fishy about this strategy... I've seen the returns of a lot of strategies - carry models, trend following, mean reversion, etc... and this figure is kind of unreasonable.

Now, if this were a HFT market making strategy... then maybe - but you claim only a small portion are day trades right?

Um... interesting.
 
Quote from CT10Gov:

Using these monthly numbers, I get 16% annualized risk (ann factor being sqrt(12)). Incidentally, the sharpe I compute is 6.4 - but I assume that's because you are using daily returns to compute sharpe? Okay. Fine.

But, with 16% risk and max dd of 3.38%, your max dd is only 0.12x your ann risk! I have to say, I gotta jump on the bandwagon of people who think there might be something fishy about this strategy... I've seen the returns of a lot of strategies - carry models, trend following, mean reversion, etc... and this figure is kind of unreasonable.

Now, if this were a HFT market making strategy... then maybe - but you claim only a small portion are day trades right?

Um... interesting.
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These are old numbers from July. Below are the current monthly numbers with a monthly Sharpe of 4.18.
Jan 2012 2.92% Feb 2012 6.17% Mar 2012 11.20% Apr 2012 8.45% May 2012 6.13% Jun 2012 15.88% Jul 2012 -4.00% Aug 2012 12.70% Sep 2012 4.49%. Average 7.10%
Also I continually change/adjust strategies and holding periods based on the market conditions. So shorter holding periods might be a bigger or smaller % of the returns in any given month.
 
I have finally made the time to study and analyze some statistics on my account YTD. All of this is based on daily MTM close.
Daily skew is 0.585
Kurtosis is 2.388976
Stdv 1.4147
During the 13 day period that I had the DD of 7.33%, the STDV was 2.65.
I would like to hear, if these are some good numbers when taken together with my Sharpe/performance.


Quote from heech:



I think this has been mentioned repeatedly before. Sophisticated investors / managers understand a Sharpe ratio is meaningless in isolation. You refuse to talk about your strategy, the instruments you trade, or detailed quant metrics (like skew/kurtosis as previously mentioned).
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Quote from macintash:

I have finally made the time to study and analyze some statistics on my account YTD. All of this is based on daily MTM close.
Daily skew is 0.585
Kurtosis is 2.388976
Stdv 1.4147
During the 13 day period that I had the DD of 7.33%, the STDV was 2.65.
I would like to hear, if these are some good numbers when taken together with my Sharpe/performance.
More...

standard dev is 140%?
 
Any comments here?

Quote from macintash:

I have finally made the time to study and analyze some statistics on my account YTD. All of this is based on daily MTM close.
Daily skew is 0.585
Kurtosis is 2.388976
Stdv 1.4147%
During the 13 day period that I had the DD of 7.33%, the STDV was 2.65%
I would like to hear, if these are some good numbers when taken together with my Sharpe/performance.
More...
 
That’s right I am close to 90% now YTD. However my question was not re return, I know the returns are good, the question is re the risk based on those numbers.

Quote from CT10Gov:

Well, based on these numbers, with a sharpe of 4 you are well on your way to a 100% return for year.
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I have no idea. Those numbers obviously look good, though you only have one year. I've seen strategies that end up being horrible having single years where the numbers were like that.

But if you banked 90% YTD - that's good for you;

If you want an actual conversation about what those numbers might say, you'll have to tell us at least the broadstrokes of what you are doing: are you trend following, scalping, selling options, buying options, etc...

I think you are reluctant to do so - which is fine - but that makes drawing any conclusion from these figures somewhat difficult.

(btw, is the kurtosis net of 3?)

Quote from macintash:

That’s right I am close to 90% now YTD. However my question was not re return, I know the returns are good, the question is re the risk based on those numbers.
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