Achieving that Sharpe with daily strategies is possible (and with intraday trading maybe even up to 2-3 sharpe). But like you brought up, the...
To be up every year would require a Sharpe 1.5+ strategy. You will not find any of those by asking around unfortunately.
Trend following strategies tend to have negative skew on the daily timescale as mentioned in this thread many pages earlier. On the monthly scale...
How did you manage to be up 40% over the past year doing trend following? Are you invested in some exotic stuff?
You have the backtest for a Sharpe 4 strategy? It is possible to achieve higher than Sharpe 2 on daily or even weekly strategies if you work with...
What do you look for in a good exchange? High volume? Server uptime? Good market maker rebates?
That sounds too good to be true. On 365 trading days, that's almost 10mm a year on 200k capital. Even if you are by yourself and can only cover...
What do you think is the annual pnl potential of cryptos for someone with a 200k account? Many exchanges already allow lending out your...
What is the max drawdown historically? Even on the annual returns level, you can see that 2005-2007 would have almost wiped you out
It sounds like you have not even done a proper backtest yet. Do not jump straight into the trading a system live until you have tested all your...
At 25% vol, don't be too shocked until you hit a 40-50% drawdown.
They will never match exactly for many reasons. The correlation between your forecasts and GAT's forecasts is 0.87 - close enough for it not to...
From doing a quick backtest of both of these ideas, I can see that each of the performances used to be solid and stable since the 1980s, but have...
It's just another metric of your performance (like CAGR). No need to think too deeply into it.
Sharpe is a measure of consistency. A high sharpe over a long period of time means you are consistently winning and are likely to have a real edge.
What are some classic/standard approaches to equities systematic trading that don't require high frequency technology or intraday trading?...
GAT, any thoughts on further diversifying your strategy by applying it towards virtual currencies? There has been several large trends in...
It depends on what level of SHTF you are considering. If you are talking about a total financial meltdown, having a piece of paper will not do...
If SHTF, who would honor your futures contract? It is nothing like having access to your own physical gold.
Do these advanced IB algos work if you don't subscribe to real-time market data (only trading using delayed data)?
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