hi all, i am a new joiner of this forum and would like to get some practical ideas
as recently just tried to develop some kind of momentum strategy on sentiment trades
actually i got a few question would like to ask for opinion
just post to get some ideas to make sure if i got anything might goes wrong
cause feels like its too good to be true by seeing some of the backtesting results
1. strategy is solely trading USDJPY, and its an inter-day strategy, holding horizon can be few days or even months, depends on the calculated risk-sentiment
2. data being analyzed is not the underlying closing price, instead it takes other instrument as proxy to gauge the risk-on/risk-off sentiment on general market
3. tried to backtest with data on daily closing, since 2008 up-till now, comes up with 3year annualized sharpe 1.3 using monthly return, avg return around 20%/year, but seem like was penalized by the rising outlier, so i tried to calculate sortino with value 4.7 (any opinion whether this ratio is good to further investigate in?)
thanks for the opinion
Simon
as recently just tried to develop some kind of momentum strategy on sentiment trades
actually i got a few question would like to ask for opinion
just post to get some ideas to make sure if i got anything might goes wrong
cause feels like its too good to be true by seeing some of the backtesting results
1. strategy is solely trading USDJPY, and its an inter-day strategy, holding horizon can be few days or even months, depends on the calculated risk-sentiment
2. data being analyzed is not the underlying closing price, instead it takes other instrument as proxy to gauge the risk-on/risk-off sentiment on general market
3. tried to backtest with data on daily closing, since 2008 up-till now, comes up with 3year annualized sharpe 1.3 using monthly return, avg return around 20%/year, but seem like was penalized by the rising outlier, so i tried to calculate sortino with value 4.7 (any opinion whether this ratio is good to further investigate in?)
thanks for the opinion
Simon