Using these monthly numbers, I get 16% annualized risk (ann factor being sqrt(12)). Incidentally, the sharpe I compute is 6.4 - but I assume that's because you are using daily returns to compute sharpe? Okay. Fine. But, with 16% risk and max dd of 3.38%, your max dd is only 0.12x your ann risk! I have to say, I gotta jump on the bandwagon of people who think there might be something fishy about this strategy... I've seen the returns of a lot of strategies - carry models, trend following, mean reversion, etc... and this figure is kind of unreasonable. Now, if this were a HFT market making strategy... then maybe - but you claim only a small portion are day trades right? Um... interesting.
These are old numbers from July. Below are the current monthly numbers with a monthly Sharpe of 4.18. Jan 2012 2.92% Feb 2012 6.17% Mar 2012 11.20% Apr 2012 8.45% May 2012 6.13% Jun 2012 15.88% Jul 2012 -4.00% Aug 2012 12.70% Sep 2012 4.49%. Average 7.10% Also I continually change/adjust strategies and holding periods based on the market conditions. So shorter holding periods might be a bigger or smaller % of the returns in any given month.
I have finally made the time to study and analyze some statistics on my account YTD. All of this is based on daily MTM close. Daily skew is 0.585 Kurtosis is 2.388976 Stdv 1.4147 During the 13 day period that I had the DD of 7.33%, the STDV was 2.65. I would like to hear, if these are some good numbers when taken together with my Sharpe/performance.
Thatâs right I am close to 90% now YTD. However my question was not re return, I know the returns are good, the question is re the risk based on those numbers.
I have no idea. Those numbers obviously look good, though you only have one year. I've seen strategies that end up being horrible having single years where the numbers were like that. But if you banked 90% YTD - that's good for you; If you want an actual conversation about what those numbers might say, you'll have to tell us at least the broadstrokes of what you are doing: are you trend following, scalping, selling options, buying options, etc... I think you are reluctant to do so - which is fine - but that makes drawing any conclusion from these figures somewhat difficult. (btw, is the kurtosis net of 3?)