sharpe ratio

[spy]

You are so rich, why are you wasting your time here with us bums??

Lol, because I'm pretty sure you're not a bum @Businessman and I'm guessing he enjoys it. As an aside, you should consider unlocking your profile just a little bit so your insightful commentary can be followed

 

[alistera]

It's a new day and and age... I really believe the advances in tech have had a phenomenally democratizing effect on the world in countless way.

Only in that you need less employees to do the same thing, where if those employees do not function as well as they did before the tech becomes more reliable, reducing headcount further and increasing profits by absorbing more losses by all the firms and retail that don't have more efficient algos, this is how Rentec worked.

 

[trend2009]

Have you traded this live with real money even for one month?

To make sure live performance is as expected?

I have not gone live with this strategy yet. In the recent 2-3 months, I designed around 10 strategies, the strategy here is the worst. I plan to go live one by one to see if they are ok and blend them together hoping independent strategies could lead to higher sharpe.

 

[spy]

Only in that you need less employees to do the same thing, where if those employees do not function as well as they did before the tech becomes more reliable, reducing headcount further and increasing profits by absorbing more losses by all the firms and retail that don't have more efficient algos, this is how Rentec worked.

Yeah, mixed blessings and double edged swords. All the usual caveats related to the human condition still apply.

¯\_(ツ)_/¯

 

[spy]

I have not gone live with this strategy yet. In the recent 2-3 months, I designed around 10 strategies, the strategy here is the worst. I plan to go live one by one to see if they are ok and blend them together hoping independent strategies could lead to higher sharpe. My live strategy has a sharpe 7-8, never had a losing month in the last 15 years, but it is capital limited. That is why I am looking to low sharpe strategies with larger capacity

I'm looking forward to reviewing the prospectus!

 

[Businessman]

My live strategy has a sharpe 7-8, never had a losing month in the last 15 years, but it is capital limited.

ok.. if you say so.. but in reality trading, especially automated trading (by us retail traders), is never that easy.

 

[spy]

ok.. if you say so.. but in reality trading, especially automated trading (by us retail traders), is never that easy.

Yeah, well this part:

My live strategy has a sharpe 7-8, never had a losing month in the last 15 years, but it is capital limited.

was either quickly redacted or you're putting words in his mouth. My question is what's this confusion an indication of.

◔̯ ◔

EDIT: it must have been quickly redacted because I quoted it too! Now it's a sale&marketing conspiracy which will need to be investigated by the SEC, FTC, and Liz Warren. Oh, don't forget FINRA and SIPC. I want my hypothetical $2 back; this is a very serious matter!

(T.N.T()--✹

 

[TrAndy2022]

I remember few years ago I checked Barclay hedge fund database. I searched fund with sharpe above 2 or 3 with more than 3 years record. very few fund satisfied that search. is sharpe ratio above 3 is hard? Recently I found bunch of strategies with sharpe above 3. what would be considered a good sharpe on wall street? any wall street veterans here please comment, 1-2 sharpe is good? Higher sharpe often comes with less capacity. As an individual, I pursue higher sharpe. but if thinking about scaling up, it is a trade off between lower sharpe and larger capacity. what low is good enough considered by investors from wall street ?

Backtesting and curve fitting sharpe 3 or 4 is easy, but going walk foward on unseen data it is much more difficult. And then the ultimate test is going live or by realtime tracking. If you can hold that sharpe 3 what you have found then you get very rich in just a few years. Sharpe 2 is considered good among traders in investment banks. Higher sharpe ratios are only to be found on hedge funds no other funds, and it really depends on scalability as you said. Probably global macro is best here.

 

[trend2009]

Yeah, well this part:



was either quickly redacted or you're putting words in his mouth. My question is what's this confusion an indication of.

◔̯ ◔

EDIT: it must have been quickly redacted because I quoted it too! Now it's a sale&marketing conspiracy which will need to be investigated by the SEC, FTC, and Liz Warren. Oh, don't forget FINRA and SIPC. I want my hypothetical $2 back; this is a very serious matter!

But I have nothing to sell

 

[spy]

But I have nothing to sell

Changing my terms...
like a post or two of mine and give me a hypothetical $2, then I'll settle out of court. Okay?

Plus, you're trying to sell cred. That's how baksheesh works; sorry.