Some stats... about to run live ?

Take jcl's advice and get your annualized sharpe ratio.

So, if you calculated some monthly returns, you'd take

sqrt(12) * AverageMonthlyReturn / StdDev(Monthly Returns)
 
maybe by then with a 30,000 AUM I'll get 200% and then my sharpe ratio may still be < 1.

From the way I look at the use of Stdev across pure data of just 12 sampling, the samples can range very big ie. highest 1 month I get +9% and lowest 1%. Thus the stdev will be def higher than that of Avg.

Thank you guys anyway
 
let us know how it does when you go live. Trading is a real challenge and automated trading presents some obstacles of it's own [I'm not telling you anything new, right? :)], I'd like to hear some success stories..
 
Quote from savagemp5:

maybe by then with a 30,000 AUM I'll get 200% and then my sharpe ratio may still be < 1.

From the way I look at the use of Stdev across pure data of just 12 sampling, the samples can range very big ie. highest 1 month I get +9% and lowest 1%. Thus the stdev will be def higher than that of Avg.

Thank you guys anyway
More...

If you have no negative months, and returns range from 1% to 9%, you _will_ have a respectable annualized sharpe ratio (> 4) no matter how those returns are distributed.

If your returns look good, there is likely something going on with your sharpe calculation that isn't right. I don't mean to belabor the point, but I think it could be useful to do it correctly in case someone asks. Also, it's good to compare apples to apples when it comes to performance with other systems. For example, if you run your system for a year, and the returns look much more random than your smooth returns from a backtest, and you find the sharpe ratio is still >2, it might still be worth your while to explore it further.
 
Quote from Eight:

let us know how it does when you go live. Trading is a real challenge and automated trading presents some obstacles of it's own [I'm not telling you anything new, right? :)], I'd like to hear some success stories..
More...

Sure, in fact Im looking now at colocating my operations on virtual cloud computing in US for the latency, or put it up on C2 for performance review. Let's see how it goes.
 
You must log in or register to reply here.
Back
Top