Can I keep my Sharpe ratio higher then 4 for the rest of the year?

I feel Sharpe should be a byproduct of your trading and not a goal. You goal is always to grow your acct bal quickly while doing it comfortably.

To me, the Sharpe ratio is a result of a combination of BP constraint by the broker and psychological limit on how much losses I can take before questioning myself. For the former, my total positions are constrained by the portfolio margin. So frequently I find myself channeling money from high sharpe but more capital intensive strategies (say spreads) to low sharpe but capital-efficient strategies (say trading directions or trading futures) to relax this constraint. While my sharpe will suffer but hopefully I will make more money.

For the latter as to risk tolerance, 2-3% daily of acct balance swing is too much on a daily basis for me personally. A simple test is that when you start to hide losses from your family, then you are taking on too much risk. So when mkt moves a lot and bar gets longer, I move back to capital-inefficient strategies. Brokers do not adjust margin requirement to VIX. I would have enough BP during those times under my risk tolerance. I probably will make less in those cases, but I sleep better and my running Sharpe improves.

In summary, I believe one's daily swings should be similar in % equity or in $ term no matter how volatile the market or one's trading vehicle is. An exception to the rule can occur due to margin or capacity restriction. However you want to stay in a comfort zone all the time.

njrookie

 

Here are the exact numbers YTD, Sharpe 5.2%, Max daily DD Peak to Valley is 2.12%.

 

Sharpe is 5.43, Max DD is 2.12%

 

Some rough numbers, for April return is around 8%. YTD Return is around 30.5%, sharpe YTD is around 5.5, Max DD peak to valey is 2.12%

 

these are rather impressive numbers. what is the acct size?

 

Six figure account size. I have been trading for some time, and this is the first time I have found a strategy that would give that high of a return for so little risk. I would admit that its just one specific edge that I have found, the return is around 5-9% every month, and 40% of the time I'm fully in cash (i'm 50% in cash now). I do have a 10% stop loss in place to protect my profitss, once I hit a 10% fall in any month it would suggest to me that my edge has been lost.

 

This all reads like fantasy.

 

Just because I have had very good risk adjusted returns, does not make it fantasy.

 

Show me your returns in accordance with a proper broker statement.

I can say my Sharpe is 15 and my max DD is 2.5%, just because I say it doesn't mean it is true.

You have all the answers so I am not sure why you are posting on this site, what is your motivation?

 

Actually this can be shown rather easily using IB port analyst.