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

Quote from macintash:

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.
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Good luck finding investors who will accept your word for whatever you claim your Sharpe is.

IMO, anything less than what Rapa requires is not going to happen. A legitimate investor not related to you (and/or a gambler) is going to ask for a managed account so they can see exactly what you're trading, when you're trading, how you're trading, your fills, etc, etc, etc.
 
Quote from heech:

Good luck finding investors who will accept your word for whatever you claim your Sharpe is.

IMO, anything less than what Rapa requires is not going to happen. A legitimate investor not related to you (and/or a gambler) is going to ask for a managed account so they can see exactly what you're trading, when you're trading, how you're trading, your fills, etc, etc, etc.
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Spot on. You said it well.
 
Quote from heech:

Good luck finding investors who will accept your word for whatever you claim your Sharpe is.

IMO, anything less than what Rapa requires is not going to happen. A legitimate investor not related to you (and/or a gambler) is going to ask for a managed account so they can see exactly what you're trading, when you're trading, how you're trading, your fills, etc, etc, etc.
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Having an actual investor having more info on what you are doing is one thing, giving out the information "up front" in order to be part of a competition so maybe 1 day you can get some $ is totally different. Don't think a lot of people with good edges would do it.
 
The answer is no, I haven’t kept Sharpe over 4 for the full year, but it was close enough in the 3.5 range. For next year I am considering doing an open high Sharpe thread so that people that have high Sharpe (2+), or people that focus on high Sharpe strategies can post.
What do you guys think about that?

Quote from Pekelo:

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

So, can you?
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I mean I love geeks and such, but...

Quote from macintash:

or people that focus on high Sharpe strategies can post.
What do you guys think about that?
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I tried to pay with my Sharpe at the grocery store yesterday and they threw me out, like one who has no money...
 
Quote from Pekelo:

I mean I love geeks and such, but...



I tried to pay with my Sharpe at the grocery store yesterday and they threw me out, like one who has no money...
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I am not sure what you where thinking, offcorse the grocery store is right for throwing you out.. it’s the $ that you achieve with your Sharpe that matters. He will accept those.:(
 
Quote from macintash:

I am not sure what you where thinking,
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I was thinking of irony... :)

Do I really have to spell it out? It is the bucks you make that counts not the Sharpe, winning %, no losing days, whatever..... What would you rather make 100K with 2 Sharpe or 10K with 4 Sharpe?
 
Quote from Pekelo:

I was thinking of irony... :)

Do I really have to spell it out? It is the bucks you make that counts not the Sharpe, winning %, no losing days, whatever..... What would you rather make 100K with 2 Sharpe or 10K with 4 Sharpe?
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I would chose 300k with a 3.5 Sharpe... Now the most important thing is how much money you make in the "long term". Making a lot of money this year is great, but if it comes with high STDV & DD, the risk you will lose it next year is greater. however If you made money and "don't trade any more", I agree all this ratio don't matter.
 
Year is over, and Sharpe for the year is 3.59, max DD peak to valley is 7.33%. "Monthly Sharpe" is 3.49. Below I have enclosed the monthly returns for the year.
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%
Oct 2012 1.17%
Nov 2012 -0.66%
Dec 2012 4.48%
Average 5.74%
 
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