What is your Sharpe?

TraDaToR · Nov 14, 2016

What is your % return though

Not sure but I think CAGR = 48%

TraDaToR · Nov 14, 2016

R1234 said:
What is the nature of what you are doing to produce such a high Sharpe?

DOM scalping on commodity futures, Forward curve analysis, a bit of seasonality and fundamentals. Each strategy has a lower sharpe but in aggregate, it is much smoother.

lawrence-lugar · Nov 14, 2016

Robert Morse said:
They are up 28%(12 months) and 12% (10 months)
I'm willing to take that risk with what they do for those returns.

TraDaToR said:
Not sure but I think CAGR = 48%

I don't want to make this a pissing contest, but I make more than that. -- You can make way more by being an options buyer.
Sure it's definitely more risky and harder, but still

-- but I have a relatively small retail account, so it's kind of easier to generate far greater returns.

birzos · Nov 14, 2016

TraDaToR said:
Hello,

4.13 from April 2011 to November 2016. It's the first time I calculate it.

It was done on low , sometimes high 6 figures account. I don't pretend I can do it with more significant capital.

What is yours?

Sharpe 3.44, Beta -2.34, Alpha +25, the methodology being institutional the AUM is somewhere in the stratosphere. One of the funds using it only deals with UHNWIs.

algofy · Nov 14, 2016

TraDaToR said:
DOM scalping on commodity futures, Forward curve analysis, a bit of seasonality and fundamentals. Each strategy has a lower sharpe but in aggregate, it is much smoother.

mind sharing on your DOM scalping what kind of targets and losses you generally get? I do some DOM scalping and some longer term stuff and I'm always interested in what others consider scalping. On CL I'm usually in and out within a few mins and 5-10 ticks winner or loser unless I get lucky on a pop through a level. On ES 3-6 ish is fairly normal...maybe slightly less on some of the thicker instruments.

TraDaToR · Nov 14, 2016

I mostly trade ags. I like 1/1 Risk/reward for something like 3-5 ticks.

When I trade energy or metals it's more like 10-15 ticks.

algofy · Nov 14, 2016

TraDaToR said:
I mostly trade ags. I like 1/1 Risk/reward for something like 3-5 ticks.

When I trade energy or metals it's more like 10-15 ticks.

cool...very similar except I can't seem to ever trade metals worth anything. Probably need to try again.

TraDaToR · Nov 14, 2016

It was just an example. I actually haven't scalped metals since 2013, but I traded energy this year.

FreakofNature · Nov 14, 2016

lawrence-lugar said:
I have no idea what a Sharpe ratio is, or any of the other options terminology.
I kind of treat trading as part art, part science...but more on the art side.
I'm not an options investor or seller...so for me, my style of trading, those are kind of irrelevant.

What is your % return though

Learn it

https://en.wikipedia.org/wiki/Sharpe_ratio

Get in tune with risk if you desire to grow exponontially and resposibly.

R1234 · Nov 14, 2016

TraDaToR said:
DOM scalping on commodity futures, Forward curve analysis, a bit of seasonality and fundamentals. Each strategy has a lower sharpe but in aggregate, it is much smoother.

scalping on the outrights or on the spreads?