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	Forums ›› Trading for a Living ›› Journals ›› Can I keep my Sharpe ratio higher then 4 for the rest of the year?

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macintash

Registered: Jan 2012
Posts: 239

03-01-12 12:02 AM

Sharpe ratio more then 4 for 2012, that’s my target. I know that would not be easy and I would need to work hard for this. I will share my ups and downs here.

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macintash

Registered: Jan 2012
Posts: 239

03-01-12 12:42 AM

Any thoughts if that’s a reasonable target?

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mickson

Registered: Mar 2008
Posts: 230

03-01-12 12:47 AM

Almost impossible. Sorry the probabilities are slimmer than Ben Bernanke raising interest rates in the next 3 months.

Show us your equity curve how you have achieved it so far.

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tenthousandmen

Registered: Dec 2011
Posts: 728

03-01-12 12:53 AM

does your system(s) say 4+?

my sharpe is much higher than usual, although I dont focus on sharpe so much anymore because of exponential equity curves

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mickson

Registered: Mar 2008
Posts: 230

03-01-12 12:58 AM

I always recommend to people who show me incredible Sharpe ratio's to consider whether they think they are amongst the best in the world. I see it often with "curve fitted" oops I mean backtested results.

These are averages and last year was a tough one for the industry. However, anyone producing a Sharpe above 2 is frankly shooting the lights out.

>4 that is unbelievable or unsustainable.

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macintash

Registered: Jan 2012
Posts: 239

03-01-12 01:16 AM

Quote from mickson:

I always recommend to people who show me incredible Sharpe ratio's to consider whether they think they are amongst the best in the world. I see it often with "curve fitted" oops I mean backtested results.

These are averages and last year was a tough one for the industry. However, anyone producing a Sharpe above 2 is frankly shooting the lights out.

>4 that is unbelievable or unsustainable.

What you are saying makes sense, I know its hard, but do you think its impossible?
I have attached my equity curve YTD.

ytd feb 29.pdf
This has been downloaded 698 time(s).

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