Correction: since November 2023
I suspected that there's negative skew involved somewhere in there. You don't get these numbers with positive skew strategies. I don't know the...
Sharpe ratio of 2.3 sounds too good to be true (for annual Sharpe). For monthly, implying annual Sharpe ratio of about 8, it's a fantasy. And...
What were you using when you blew up your account?
Just a gentle reminder: https://www.elitetrader.com/et/threads/what-happened-to-acrary.361842/ I'm pretty sure the guy's a pretend-trader with...
What happened to your immune response model? I think you called it Doron. Was it even real?
Did you get rich?
I assume the comparison (SR 1.0 vs 1.4) was done on a backtest over many decades (since 1970?). What is the correlation between the old and new...
Sharpe Ratio of 1.4, that definitely sounds too good to be true!
I noticed you have mentioned the disappearance of the skew in the latest Systematic Investor podcast. Nice!
The skew disappears around year 1990 in your set. I don't know how to explain the difference now. Perhaps the difference of sortino vs sharpe is...
I forgot to specify that I used monthly data to calculate Sharpe and Adjusted Sortino ratios. I have generated the monthly data by taking daily...
This comparison makes no sense.
I found a strange phenomena when looking at 10-year rolling window Sharpe and Adjusted Sortino* ratios. I only plotted windows that start on 1980...
With the new backtest, the 1970s still have high volatility at about 45%, which is then gradually falling down and by the 1980 it's right on the...
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