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

Quote from macintash:

Sharpe is 3.88. The good news is that I am out of my DD and reached a new high water mark.
More...
So you are below your target of 4 Sharpe for the year? Maybe you should have more then a single strategy?

PS. I just did a quick check of my capacity constrained book - the Sharpe over the last 6 years has been around 4.2, which is a bit higher then my expectations (the number is based on the monthly dollar P&L adjusted for the changes in the risk limits). So it's not impossible at all, just unclear why would you make Sharpe your only metric.
 
Yes, as of now I am below the target of 4, but I am close enough. Re adding other strategy it makes a lot of sense, I am considering adding a strategy that should have inverse correlation to the first strategy, however iI need to study the strategy a little more before adding it.
Re your Sharpe you probably want to check the daily Sharpe as well, in any case, seeing other people with high Sharpe gives me encouragement that high Sharpe is sustainable, I think on this forum alone we had already 4 posters that have Sharpe 4+ (sle, njrookie, sellindex, rallymode), i would encourage other high sharper's to post here as well.
The reason I use Sharpe it's probably the most widely used ratio for risk/return, I also think that a daily Sharpe combined with max DD peak to valley would generally give a decent assessment on the quality of a strategy.

Quote from sle:

So you are below your target of 4 Sharpe for the year? Maybe you should have more then a single strategy?

PS. I just did a quick check of my capacity constrained book - the Sharpe over the last 6 years has been around 4.2, which is a bit higher then my expectations (the number is based on the monthly dollar P&L adjusted for the changes in the risk limits). So it's not impossible at all, just unclear why would you make Sharpe your only metric.
More...
 
Sharpe is 3.65. Will see how close I can get to 4 before end of year. Have not been posting for a while. In the last couple of months I did some adjustments in my trading that would hopefully improve results. will keep updating.
 
If I was making 100% a year with a 10% drawdown like you are, I wouldn't care if my sharpe ratio was 4 or -100 (unless it was a result of a couple lucky bets)
 
Quote from iggy9807:

If I was making 100% a year with a 10% drawdown like you are, I wouldn't care if my sharpe ratio was 4 or -100 (unless it was a result of a couple lucky bets)
More...

you don't usually make 100% a year with a 10% drawdown with a Sharpe of -100... A high Sharpe generally means that your returns are much greater than your DD
 
numerator of sharpe ratio is MEAN return over riskfree rate. you can safely assume riskfree rate is zero these days.

you cannot have negative sharpe and still make money.
 
Sharpe is 3.66, only 2 trading days left. Don’t expect any major changes in the next 2 days so Sharpe for the year would probably be between 3.5 and 3.8. It’s not over 4 but its close enough and I am quite satisfied with it. For next yr I will probably have multiple strategiesinstead of a single strategy, which should make the curve smoother.
 
Thanks, but the way RAPPA is structured you giving up a lot of your trading privacy just to enter, I am not so sure its worth. You got to find a way where traders can participate without giving away their trading structure.

Quote from mickson:

Well done. I am looking forward to the day you post your numbers on RAPA. :)
More...
 
You must log in or register to reply here.
Back
Top