If the PnL is not normally distributed, but you trade many many times, then over time the formula for optimal kelly rule is reduced to a...
do not worry about money. worry about consistency. if you can keep up with $4k out of $100K every month, you can easily expand to $8k/$200k...
Feb - whole month
Feb-4th week
Post last week got lost in the mid of upgrade. +700 last week. +8000 for the month. njrookie
are you talking about some factor based stat arb models? i might be able to give you some pointers.
impressive. 18 out of 18 winning trade.
another week of wasted effort. +900
disappointing last week of Jan. gave back 4k. up 8K for the month.
Flat week for the 4th week of Jan. Waiting for some movement. njrookie
I believe in your valid strategy and your sincerity. There is nothing for you to gain to brag. A screenshot using snipping tool (comes free with...
Mac, I encourage you to post: 1. Sharpe with a rolling window, say 1 year; and 2. Sharpe from beg of the account/strategy. Even...
Got buried by work yesterday and forgot to post. 3rd week of Jan. +5700.
a rather uneventful 2nd week of Jan. +1200.
I am with Mac for goals for 2013: 50% return. 10% max DD. 2+ Sharpe. Expand to a few more products/markets/strategies. Make enough to...
a good week to start the new year. +12000 good luck for the new year everyone. 1K a day keeps your boss away. njrookie
best of luck for 2013. sharpe ratio is a measure that can underestimate downside risk if your strategy works well in a very calm market period....
Ggreat job, sellingindexvol. My 2012 performance. First Col is multistrategy hedge fund index. Second is SPX. Third is mine. Included...
numerator of sharpe ratio is MEAN return over riskfree rate. you can safely assume riskfree rate is zero these days. you cannot have negative...
Poloarbear, I think the best way to characterize your return metrics is first to calculate your daily return based on COMBINED trading account...
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