Can I keep my Sharpe ratio higher then 3 for a second year??

Discussion in 'Journals' started by macintash, Jan 3, 2013.

  1. Makes alot of sense, would work on it. As for proving authenticity, i have realized that those people would just never become convinced..

     
    #51     Jan 28, 2013
  2. 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 W7) will help to quiet people down.
     
    #52     Jan 28, 2013
  3. to go out on the anonymous internet board and say definitive numerical trading claims i have always said a screen grab settles down a lot of the critics...of course screens can be suspect....

    ..but i can't think of much better ways to back up "CLAIMS" than blotter grabs , etc

    that has to separate one a bit from the huge amount of phonies and complete nut jobs on this site.
     
    #53     Jan 28, 2013
  4. mickson

    mickson

    Hi Mac,

    I was a follower of you last year. I just came across this thread, and I am disappointed to see that you have stopped updating. Either things haven't gone well or you just grew tired of the doubting thomas's.

    I am a believer in Sharpe as a measure for risk adjusted returns, we use what I believe to be an improvement of Sharpe called PSR (probabilistic sharpe ratio).

    Taking nothing away from your returns last year achieving a Sharpe of ~4, I think the great challenge and where your chance of success is significantly stacked against you is maintaining it.

    Here is a list of some short and some longer term equity curve Sharpe ratio's. Clearly in the short term one can achieve obscene SR's.

    [​IMG]
     
    #54     May 2, 2013
  5. I agree. This is like asking whether I will go bald over the next year. Totally irrelevant without further details.
     
    #55     May 2, 2013
  6. Hi All,

    Back after a very long break. Its only a week away from year end and its time to check where I am with my target.. The results is I am close. Sharpe for now is 2.89. There is a chance it could go above 3, but I guess 2.89 is also not bad.

    Without going in to details about my strategy in involves futures. My goal is generally to be delta neutral. I have a hard 10% stop loss on the account, I consider my risk to be only 10% of the account value and I size my positions accordingly.
     
    #56     Dec 25, 2013
  7. mickson

    mickson

    Hi Mac

    As you know we are looking to allocate capital to talent, if you are looking to raise money and are willing to be Scored by us then load your performance. If you are concerned about us seeing your strategy we can modify the IB Flex Query to just report NAV and cash in and out flows.

    Sharpe is by no means the only thing we look at and as discussed in this thread we rather work with probabilistic sharpe ratio.

    If you are happy doing your own thing no worries mate, it is your call.

    [​IMG]
     
    #57     Dec 25, 2013
  8. gkishot

    gkishot

    What are the traders' earnings?
    What is the difference between major and minor leagues in terms of money allocation?
     
    #58     Dec 25, 2013
  9. mickson

    mickson

    The traders earn 1% management and 10% performance fee.
    The difference between the minor and major is the minor league is for managers managing less than $100k and majors anything more than that.
     
    #59     Dec 25, 2013
  10. gkishot

    gkishot

    Thank you for your reply. Please explain also if the clients simply follow traders' signals in their own personal account or you actually give the traders an access to manage other people's money?
     
    #60     Dec 25, 2013