long only journal

Discussion in 'Journals' started by asap, Aug 18, 2008.

  1. asap


    i will use this journal to document the returns of my long only strategies.

    the objective of these strategies to beat the return of the underlying buy and hold strategy while drastically reducing the inherent risk. i have two instances of the strategy running, one trading EOD data while the other trades intraday and doesnt carry overnight positions.

    as of today, the strategies have achieved returns that far exceed the equivalent buy and hold strategy, while benefiting from the sharpe ratios of around 2.0 and sortino ratios of around 3.0.

    i will update the journal on a regular basis and will answer to any inquiring mind as well. :p

    good trading and have fun.


  2. asap


    here's euler quant for the dax doing hi-freq long only position trading during the present month. this is a variation of the dax bot shown above. the above trades moderately, while this one 2 or 3 times more frequently.

    dax fut return -94 points per lot
    euler return 33.494/25/10 = 134 points per lot