How was your 2015?
- Thread starter nursebee
- Start date
I think that people should post their Sharpe ratio for the year. It's almost as important as your return itself. As anyone can trade super leveraged or some ultra risky instrument and luck out. According to Interactive Brokers my Sharpe ratio was 0.99 for the year and the SPX was 0.19. So I know my strategy is delivering some serious alpha
Fair enough, according to Portfolio Analyst my Sharpe was 1.38 for the year, I consider this an utterly shitty number. Anything below 1.5 is an abomination.
+33.6% on my automated strategies, but with a difficult to live through 21% drawdown in fall, achieving a meagre 1.05 Sharpe ratio in the end. 8% loss in my discretionary trading trying to catch the top in USD...
+24% , my worst year since 2007. Got caught a bit off guard in vol shift. Trying to adapt , create better models to a horrible curve.
This thread is about how we managed in 2015 and if it turned out to be worthwhile; it's not about selling anything, or proving anything. If @d08 says his Sharpe was 1.38, then for sake of this discussion, it was 1.38.
This thread is about how we managed in 2015 and if it turned out to be worthwhile; it's not about selling anything, or proving anything. If @d08 says his Sharpe was 1.38, then for sake of this discussion, it was 1.38.
D08's 1 of the few I trust around here, so I'll give him the benefit of the doubt aswell.
This thread is about how we managed in 2015 and if it turned out to be worthwhile; it's not about selling anything, or proving anything. If @d08 says his Sharpe was 1.38, then for sake of this discussion, it was 1.38.
Your right, it just seemed like a 1.38 sharpe was really high given the volatility this year. I was actually concerned that he is lying and just trolling. I do not want to take the thread off topic and I apologize.
I think everything really depends on how much risk are you taking and your account size. I find that when your account gets bigger than your day-job salary, then most people's risk appetite becomes much lower. If you don't have an account bigger than your day-job annual salary, I don't think you can afford to trade full time unless you are very certain of your edge. If you have a day-job, then you can afford to trade with less money, and really take risks that you normally would not take.
If I was trading a $10K account and have a full time job, I would be taking huge risks as I'm not trying to beat the S&P 500. I'm trying to take that account to $100K+, and it will be risky and with a lot of leverage. Some people will call this gambling, but investing and gambling is the same to me, when we are in the $10K range because you can't return enough to feed your family if you are just trying to beat the S&P 500 (in the USA).
And I think after you start trading in the market, you will realize that the large moves are more predictable when you move to the swing trading over a few days or weeks. Intra-day daytrading is a beast, and you are basically scalping as the market has become very choppy...not like the old days where moves happen and is sustained. Nowadays, you see a lot of back and forth, fakes, and games played...it's like stuttering moves.
If I was trading a $10K account and have a full time job, I would be taking huge risks as I'm not trying to beat the S&P 500. I'm trying to take that account to $100K+, and it will be risky and with a lot of leverage. Some people will call this gambling, but investing and gambling is the same to me, when we are in the $10K range because you can't return enough to feed your family if you are just trying to beat the S&P 500 (in the USA).
And I think after you start trading in the market, you will realize that the large moves are more predictable when you move to the swing trading over a few days or weeks. Intra-day daytrading is a beast, and you are basically scalping as the market has become very choppy...not like the old days where moves happen and is sustained. Nowadays, you see a lot of back and forth, fakes, and games played...it's like stuttering moves.