Well, yes S~1 isn't great but it's a fair bit better than "long and hope" where stocks or bonds alone might have a sharpe of 0.3 over the long term. Still, if you're looking to raise real money, I'd aim for 2+ with enough track record they can believe it's representative (a couple years). The reason you're getting a low S is because of your few big positive days. These are a long way from the mean daily return and jack up the standard deviation a lot (proportional to the square of the difference). Another way to interpret the Sharpe ratio is that is would take an "S standard deviation event" for you to lose money during a single year period. Of this interpretation, like many aspects of the Sharpe ratio, assumes a normal distribution, which is far from true for the market and very far for you. This one will be better for you: Yes, 200 is ridiculous for a Sortino (or Sharpe, basically same scale). Your interpretation is right (about the typical small loss), but the statistics aren't that smart. You see on average you've managed to be up during the period, so the mean is positive overall. This means the stats think you almost always make money, but in practice you've made a bunch of high risk, high return bets where you managed to win twice. Generalizing that is difficult / premature without a lot more data.
the issue of zero return days when the portfolio is sometimes all in cash is not an easy one. They get counted fine towards the average return, but for strategies with a mean significantly different than zero, averaging these in can distort the other risk/volatility measures. If it were me, I'd exclude them from the data set for all the risk stats and annualize without them.
Yes, 200 is ridiculous for a Sortino (or Sharpe, basically same scale). Your interpretation is right (about the typical small loss), but the statistics aren't that smart. You see on average you've managed to be up during the period, so the mean is positive overall. This means the stats think you almost always make money, but in practice you've made a bunch of high risk, high return bets where you managed to win twice. Generalizing that is difficult / premature without a lot more data.[/QUOTE] Of course high risk/ high return is a subjective description. I made the same trade the last 3 days, where it didn't work out and I lost 10% I would take 10% risk 300% reward trades every day of the week, even with a 60/40 or 70/30 chance. Moreleverage: Thanks for looking over the stats, you seem to know a lot about this. Good stuff!
Just to add that if you are looking for investment your "low" Sharpe might not be a problem. More of a problem is that if you only get two 'wins' per year you're going to need quite a long track record to show that your wins aren't just luck. Can you diversify into trading more instruments? GAT
yes, i'm transforming this strategy into a more always in the market (long or short) strategy, which should smoothen things out
All these descriptive stats are useless for a distribution with only two material datapoints, as correctly suggested by globalarb.
I couldn't see anything even if I created an account - they kept nagging me to give them my account info, which I'm not going to do. Any way to share what that page is showing?
Monthly Perfomance Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total 2015 0.01% -4.41% -6.69% -2.81% -5.37% 0.00% -1.26% 507.69% -16.78% -13.55% 12.90% 299.84%