Todayâs result: -0.60%
For tomorrow weâre short on the S&P500.
For tomorrow weâre short on the S&P500.
The Green Alpha
- Thread starter TheGreenAlpha
- Start date
Todayâs result: +0.03%
For Monday weâre short on the S&P500.
For Monday weâre short on the S&P500.
Monday?
Sorry, for tomorrow 
Todayâs result: -0.04%
For tomorrow weâre short on the S&P500.
For tomorrow weâre short on the S&P500.
What was your position yesterday, was the S&P up or down, were you up or down?
I have the impression you were down on Monday as well, but I am not sure.
I have the impression you were down on Monday as well, but I am not sure.
I think it is you who is missing the point. Given your STD, I could just leverage the SPY (1.4) to get same STD as yours, BUT the return would be 1.4 performance of SPY. 1.4 SPY was around 45% this year.Quote from TheGreenAlpha:
@tradingjournals: I think you're missing the point, this is an absolute return strategy and being 5% shy of a 30% orderly upside move with this kind of long/short approach is (for us) satisfactory. (I agree with you that it's not remarkable though)
The results should be normalized. It is the ratio of return divided by STD that matters. Anyone could beat the SPY if variance were not an issue.
Todayâs result: -0.23%
For Monday weâre short on the S&P500.
For Monday weâre short on the S&P500.
Here's a performance update:
(there was a slight change on the sharpe ratio calculation that is now based on annualized performance instead of cumulative performance)
<table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&P<span class="google-visualization-table-sortind"> </span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">YTD </td><td class="google-visualization-table-td google-visualization-table-td-number">-1,45%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,32%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">13,16%</td><td class="google-visualization-table-td google-visualization-table-td-number">18,99%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">StdDev</td><td class="google-visualization-table-td google-visualization-table-td-number">15,12%</td><td class="google-visualization-table-td google-visualization-table-td-number">11,28%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Sharpe R.</td><td class="google-visualization-table-td google-visualization-table-td-number">1,11</td><td class="google-visualization-table-td google-visualization-table-td-number">1,34</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,06%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,67%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,56%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,65%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,54%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">111</td><td class="google-visualization-table-td google-visualization-table-td-number">117</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">95</td><td class="google-visualization-table-td google-visualization-table-td-number">89</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,29%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,32%</td></tr></tbody></table>
(there was a slight change on the sharpe ratio calculation that is now based on annualized performance instead of cumulative performance)
<table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&P<span class="google-visualization-table-sortind"> </span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">YTD </td><td class="google-visualization-table-td google-visualization-table-td-number">-1,45%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,32%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">13,16%</td><td class="google-visualization-table-td google-visualization-table-td-number">18,99%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">StdDev</td><td class="google-visualization-table-td google-visualization-table-td-number">15,12%</td><td class="google-visualization-table-td google-visualization-table-td-number">11,28%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Sharpe R.</td><td class="google-visualization-table-td google-visualization-table-td-number">1,11</td><td class="google-visualization-table-td google-visualization-table-td-number">1,34</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,06%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,67%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,56%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,65%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,54%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">111</td><td class="google-visualization-table-td google-visualization-table-td-number">117</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">95</td><td class="google-visualization-table-td google-visualization-table-td-number">89</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,29%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,32%</td></tr></tbody></table>
Todayâs result: +1.26%
For tomorrow weâre long on the S&P500.
For tomorrow weâre long on the S&P500.