High Sharpe Ratio Traders/Funds

Quote from praetorian2:

I think it means something. One guy can be up 200% and have a very high ratio, while another guy can slowly bleed 2% a month and have a much better ratio. Which guy would you invest with?
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Another twist on your quetsion...

Trader/Fund No.1 - Up 1-3% most months, a few down months- none down more than 3% (so far)

Trader/Fund No. 2 - Up 5% - 15% some months and down as much as 10% some months

Who is the "better" trader? Who would you invest in? Which trader seems to have an 'edge'?
 
I like Ryan Jones Positive Expectancy calc better than sharpe ratio. It accounts for batting average in addition to sharpe ratio. Can directly compare different funds.

Unfortunately, also requires more info to calculate, but it's a much better number to know!!!
Swish
 
Quote from Swish:

I like Ryan Jones Positive Expectancy calc better than sharpe ratio. It accounts for batting average in addition to sharpe ratio. Can directly compare different funds.

Unfortunately, also requires more info to calculate, but it's a much better number to know!!!
Swish
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Do you have the formula for this? Please share more info on this with us.
 
Here is what a lot of guys do to me.

Ask him for his 3 favorite positions. Do an hour or 2 of research on your own, and then grill the piss out of him. If he knows his shit, he will just spit it back at you to show how confident he is. Otherwise, watch him squirm.
 
Quote from praetorian2:

Here is what a lot of guys do to me.

Ask him for his 3 favorite positions. Do an hour or 2 of research on your own, and then grill the piss out of him. If he knows his shit, he will just spit it back at you to show how confident he is. Otherwise, watch him squirm.
More...

This would work for a fundamental or value tarder. Is that your style - P2? But it wouldn't work with a systematic/quant guy? But still, all this while good, only satisfies the subjective half of the equation and not the objective half of the equation.
 
If he is subjective, then you have to ask him about some of his strategies, have him explain some recent trades and why he did them. Both winners and loosers. Then grill him.

For a system guy, see his stat printouts. Grill him on his black box.
 
Per Ryan Jones in "The Trading Game":

PE = ((1+SR)*BA)-1

PE = Pos Expectancy
SR = Sharpe Ratio
BA = Batting Average

If I remember, he doesn't use the phrases SR and BA, but that's what the formula is based on nonetheless........

PE = 0 is breakeven
(comm / slippage would be accounted for if SR and BA were adjusted for comm, slippage)

PE>0 makes money

PE<0 loses money

Basic idea is that money management principles can only be employed on strategies that have PE>0
 
Quote from Swish:

Per Ryan Jones in "The Trading Game":

PE = ((1+SR)*BA)-1

PE = Pos Expectancy
SR = Sharpe Ratio
BA = Batting Average

If I remember, he doesn't use the phrases SR and BA, but that's what the formula is based on nonetheless........

PE = 0 is breakeven
(comm / slippage would be accounted for if SR and BA were adjusted for comm, slippage)

PE>0 makes money

PE<0 loses money

Basic idea is that money management principles can only be employed on strategies that have PE>0
More...

Thanks for posting this.

Would Batting average = Winners/Losers ?
 
no,

BA = # Winners / (Total # Winners + Total # Losers)

For me, denominator is not total number of trades, because I do not include Breakeven trades (or almost be trades) in the calcs.

Sharpe Ratio = ave P/L for winners / ave P/L for lowers

Best regards,

Swish
 
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