Without getting into too many details, I âthinkâ if the market opens down 10% tomorrow my strategy might be down 2-5% or stay flat. However should I start seeing 5-7% loss (not DD) at any day in the month that would be a red flag for me to reevaluate and possibly adding hedges/protection etc.
Sharpe is 5.62, Max DD is 3.38%. With that we conclude the first half of the year, thanks for joining me in my journey. Should have another post describing my targets and adjustments for second half of the year. I am also including here my monthly returns for the first 6 months (monthly Sharpe is 6.42) Jan 2.92%, Feb 6.17%, Mar 11.20%, Apr 8.45%, May 6.13%, Jun 15.88%. Total return is 62.05%
My goal for second half would be skewed a little more to growth. Monthly target return 7-12%, up from 5-9%. For Sharpe and max DD I would start focusing on monthly data in addition to the daily data. Monthly Sharpe target is 5+ with zero DD. Daily Sharpe target is 3+, with a max DD of 4-5%. With daily DD if there is a huge spike in 1 day, and next day falls back to previous level I would not consider that a DD (Sometimes in options or smaller stocks you can have an odd closing price for 1 day). Want to hear some input from other traders regarding these adjustments.
Uh, no. That's not legitimate nor acceptable. A lot of failed funds would be thriving if they could mark to some theoretical value... Like LTCM, MFG, etc. What, are you selling calls? Is that the strategy?
Sharpe is 4.34, however max DD was 7.37% this month. On top of that the return for the month was negative 4%. The weak results were because of 2 factors. First it seems that my edge has been weakened by the market, I would expect the returns going forward to be 3-6% or less, down from 5-9%. The other issue was that I extended my holding period to try to increase the profit margin, it hasnât worked and Iâm going back to my original holding period. Overall I expected my edge to go away sooner or later, the question now becomes. Do I try to continue with this strategy as long as it produces some meaningful results, or should I instead focus to find new edge? If anyone had a similar experience of a strategy/edge that has been weakened that they can share it would be helpful. Will keep updating.