Day trading and Sharpe Ratio

srinir said:
Old David harding of Winton's article about SR critique.
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.502.6609&rep=rep1&type=pdf

I had seen in my previous life return over CVaR used. That seems to be a good measure, since it incorporates expected short fall based on history.
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I bumped into these problems when I tried to calculate my Sharpe ratio out of curiosity:
MWSnap240.jpg


I keep things simple if I want to mesure the performance of my trading:
  • return
  • drawdown
  • time to recover
is all I watch.
 
schweiz said:
I keep things simple if I want to mesure the performance of my trading:
  • return
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Returns tend to be statistically dispersed. This is where standard deviation is helpful. Of course not alway accurate in including outliers. But it seems to be the standard way to quantify dispersion of returns.
 
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Van_der_Voort_4 said:
that's the same dude from Belgium Madoff trader
his old aliases LOL

https://www.elitetrader.com/et/thre...sh-heres-the-proof.320659/page-5#post-4647399
https://www.elitetrader.com/et/search/7652114/?q=languages&o=date&c[user][0]=33100

https://www.elitetrader.com/et/search/7652116/?q=languages&o=date&c[user][0]=422585

https://www.elitetrader.com/et/search/7652117/?q=languages&o=date&c[user][0]=477969

it goes back quite a while

https://www.elitetrader.com/et/threads/making-one-point-a-day.53363/page-8#post-809610

and his own admission

https://www.elitetrader.com/et/thre...p-next-highs-lows.311139/page-14#post-4487186
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While I am a reincarnation of an existing member, that’s not him :D most people have figured out who I am already not that I am making it a big secret
 
Secret Santa said:
While I am a reincarnation of an existing member, that’s not him :D most people have figured out who I am already not that I am making it a big secret
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LOL, I am talking about schweiz
My reply was to you,because you were skeptical of his claims
 
Secret Santa said:
I’ll add something cynical.

Everyone here seems to have a Sharpe of 3+ and their strategy has a sufficient upside skew to cause distortion in the information content. Also it seems like everyone has traded for 20 years, has predicted every great crash and has never has a losing year.

“They don’t make them like they used to and they never have”
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The pajama trader is not as rare of a breed as you might think. Your opinion though, not surprisingly, is very much in line with the prevailing one in institutional circles.
 
Secret Santa said:
While I am a reincarnation of an existing member, that’s not him :D most people have figured out who I am already not that I am making it a big secret
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LOL. If Baron would delete all posters that have more than 1 alias there would not be left over many people on ET... The fact that you are another alias from somebody else was already longtime clear to me too. All posters leave a kind of DNA in their posting that can link them.

Van_der_voort is like Don Quixote. Don Quixote/Van_der_voort does not see the world for what it is and prefers to imagine that he is living out a knightly story.
As Van der voort has no clue about trading he is scrolling thru ET to find imaginary enemies to kill time. ROFLMAO.

https://en.wikipedia.org/wiki/Don_Quixote
 
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schweiz said:
It's all about knowing HOW to trade. Knowledge is the key. With knowledge you will see enough trading opportunities.

I compare it with rubic's cube. Easy to solve, but for most people however impossible to do.
Looks like a contradiction, but is not in reality. Knowledge is the key.


For those who find video above a piece of cake:


Nobody knows where the limits really are for humans. Even in trading we don't know where the limits are.
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zdreg said:
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To know if it is really as impressive as it looks we should know if:
  1. the robot received a rubik cube without knowing in front how the different patterns on each side would look
  2. the robot received a rubik cube knowing in front how the different patterns on each side would look
In the first case it would be impressive as the robot should see the pattern of the different colors on each side and start to analyze how to go to the solution.

In the second case it would not be impressive as the robot would see nothing and programmers would just program the different steps to the solution.
 
schweiz said:
To know if it is really as impressive as it looks we should know if:
  1. the robot received a rubik cube without knowing in front how the different patterns on each side would look
  2. the robot received a rubik cube knowing in front how the different patterns on each side would look
In the first case it would be impressive as the robot should see the pattern of the different colors on each side and start to analyze how to go to the solution.

In the second case it would not be impressive as the robot would see nothing and programmers would just program the different steps to the solution.
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please compare to the way HFT traders act.
 
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