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Old Apr 15th, 2012, 05:50 PM   #91
macintash
 
 
Join Date: Jan 2012
Posts: 270
Quote:
Quote from d08:

Most OPM manage at least millions, is it scalable what you're doing?
Whether you can do that depends on your contacts and your selling ability, don't falsely assume it's all about performance.
Yes, it’s easily scalable up to 10-20 Million. More then that not sure.
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Old Apr 19th, 2012, 06:38 PM   #92
macintash
 
 
Join Date: Jan 2012
Posts: 270
Sharpe ratio close to 6 now YTD.
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Old Apr 19th, 2012, 07:13 PM   #93
heech
 
 
Join Date: Dec 2008
Posts: 1,876
Just my 2 cents... Sharpe ratio is meaningless from a manager evaluation point of view, (especially on a short time frame) without a deep understanding of how/what you're trading.

Simple example: if you're doing some kind of mean reversion / martingale / doubling down on losses... every single closed trade will be profitable until the one that puts you out of business. Same is certainly true for naive option writing strategies.

So, if the intent of this journal is to impress potential investors with your performance, you need to get a lot more specific about what you're trading and how you're trading it.
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Old Apr 19th, 2012, 07:27 PM   #94
rallymode
 
 
Join Date: Dec 2005
Location: Chicago
Posts: 1,363
Quote:
Quote from TD80:

Someone with a sustained Sharpe of 4+ is either cheating (let's just file some of the HFTs into this category, OK?) or hasn't been trading that long. I've seen ~ a 3.5 for one of my systems over the course of a particular year but it is under 2 over 5+ years across all systems.
I've had a sharpe of 4+ for the past 5 years and i am hardly cheating or doing anything extraordinary. It's amazing how it never changes on here, if you can't do it then no one else can. What's proof on paper worth to you?
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Old Apr 19th, 2012, 07:35 PM   #95
heech
 
 
Join Date: Dec 2008
Posts: 1,876
Quote:
Quote from rallymode:

I've had a sharpe of 4+ for the past 5 years and i am hardly cheating or doing anything extraordinary. It's amazing how it never changes on here, if you can't do it then no one else can. What's proof on paper worth to you?
I don't think you can blame the rest of us for not being aware of your performance.

What I think is amazing, is that the people who can achieve a Sharpe of 4+ for the past 5 years are always anonymous online posters, and never managers with publicly audited performance records.

Feel free to scope out the performance of professional managers over the past 5 years:
http://www.iasg.com
http://www.barclayhedge.com
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Old Apr 19th, 2012, 07:41 PM   #96
bwolinsky
 
 
Join Date: Jul 2008
Location: KCMO, Kansas and Kentucky
Posts: 4,975
You can also visit http://www.autumngold.com and http://starkresearch.com sharpe ratios less than 3 years are irrelevant. A month to date at this time of year is also meaningless, too.
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