the losing year is very small. that is why 33% losing years still have 2.5 sharpe. This strategy lost in 5 bull years, but a small loss. as below: year stat:200300 net gain:-4037.7 year stat:200400 net gain:36832.4 year stat:200500 net gain:-5290.0 year stat:200600 net gain:-2185 year stat:200700 net gain:38319.8 year stat:200800 net gain:48684.3 year stat:200900 net gain:91822.8 year stat:201000 net gain:-24124. year stat:201100 net gain:168564 year stat:201200 net gain:-40061. year stat:201300 net gain:20314.9 year stat:201400 net gain:56301.5 year stat:201500 net gain:54321 year stat:201600 net gain:77223.8 year stat:201700 net gain:3754.74 year stat:201800 net gain:144918 year stat:201900 net gain:45620 year stat:202000 net gain:200510 year stat:202100 net gain:54295.4 year stat:202200 net gain:153242
Yeah, those years could have had small losses I suppose. Or, could be a over-fitted backtest. Over-fitting will show huge numbers. It's just one of many metrics and if your account isn't exceptionally large I don't think 2.5 is unreasonable. Of course the best metric is with a decent sized account using real money. Even then, I think things are more fragile than we like to believe and so I wouldn't harbor expectations. The chance of getting hit by a bus, no matter how small, is still there. That's just life.
I calculated sharpe based on daily return of the last 20 years, then annualized it, that gives me 2.5.
You have enough yearly data, to use the years. Annualised daily data gives an estimate for when you dont have enough years.
No need to be defensive. I didn't accuse you of anything, just commenting on possibilities. How am I supposed to know what you did, or didn't, do?