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Old Feb 29th, 2012, 07:02 PM   #1
macintash
 
 
Join Date: Jan 2012
Posts: 270
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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Old Feb 29th, 2012, 07:42 PM   #2
macintash
 
 
Join Date: Jan 2012
Posts: 270
Any thoughts if that’s a reasonable target?
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Old Feb 29th, 2012, 07:47 PM   #3
mickson
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Join Date: Mar 2008
Location: Sydney
Posts: 236
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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Old Feb 29th, 2012, 07:53 PM   #4
tenthousandmen
 
 
Join Date: Dec 2011
Location: Silicon Valley California, St. Petersberg Florida, Sydney Austrailia
Posts: 728
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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Old Feb 29th, 2012, 07:58 PM   #5
mickson
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Join Date: Mar 2008
Location: Sydney
Posts: 236
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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Old Feb 29th, 2012, 08:16 PM   #6
macintash
 
 
Join Date: Jan 2012
Posts: 270
Quote:
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.
Attached Files
File Type: pdf ytd feb 29.pdf (238.0 KB, 747 views)
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