What is your Sharpe?

Telepuzik · Nov 15, 2016

You are talking to hedge fund crowd here. They are not interested in buying options due to different risk profiles and limited liquidity.

lawrence-lugar said:
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.

TraDaToR · Nov 15, 2016

R1234 said:
scalping on the outrights or on the spreads?

Both. But I recently lost the benefit of IIP reduced fees, so outrights lately.

Deuteronomy_24_7 · Nov 15, 2016

tlatoani said:
perhaps Schwager should interview these geniuses.

Actually, not a bad idea. Jack's a co-founder of FundSeeder, a group mentioned earlier in the thread, and he could profile the best performers in a book.

tlatoani · Nov 15, 2016

Deuteronomy_24_7 said:
Actually, not a bad idea. Jack's a co-founder of FundSeeder, a group mentioned earlier in the thread, and he could profile the best performers in a book.

Good idea, Deut. Jack is one of the good guys. I wonder why these wizards are never seen anywhere beyond this site??

alfa8 · Nov 19, 2016

My live trading sharpe is 5 and backtesting of the same strategy is 8.

TraDaToR · Nov 19, 2016

R1234 said:
I don't think I'm a Schwager-worthy genius. I mentioned that my smoothest strategy has a sharpe of 3.5. I also trade a lot of other strategies that are around 1.0. I've also developed and traded a lot of crap over the years. I think in most cases people do not arrive at a high sharpe ratio strategy in a linear and traditionally intellectual way. It is more of an accidental discovery after hundreds of hours of testing dead end hypotheses.

This is so true... How did the best instruments came one on my radar? Just randomly...

ironchef · Nov 30, 2016

alfa8 said:
My live trading sharpe is 5 and backtesting of the same strategy is 8.

That is very very impressive. S&P500 Sharpe is 0.82. Your performance is 6 x better. Wow, you will be very rich very soon, maybe you already are.

algofy · Nov 30, 2016

ironchef said:
That is very very impressive. S&P500 Sharpe is 0.82. Your performance is 6 x better. Wow, you will be very rich very soon, maybe you already are.

For ET traders, 6 Sharpe is unimpressive

ironchef · Nov 30, 2016

Deuteronomy_24_7 said:
Wow, way out of my league. Do any of you offer mentoring?

Same here.

ironchef · Nov 30, 2016

algofy said:
For ET traders, 6 Sharpe is unimpressive

Care to explain?

Thanks.