Sharpe ratio 40-60 possible?

Discussion in 'Strategy Development' started by losemind, Aug 10, 2011.

  1. losemind

    losemind

    i met with a HFT guy and he told me in FX HFT world, Sharpe of 40 to 60 is possible even with transaction costs. how could this be possible....and what might be the strategies? could anybody shed some lights?
     
  2. rosy2

    rosy2

  3. I think Madoff's sharpe was around 75. So yes, it is possible.
     


  4. Sharpe ratio of a ponzi , LOL ?
     
  5. Yes its possible, if its inter-markets arbitraging where you systems will be the first to bid and ask on different markets, or basically market making.