2.5% is my max risk per trade (to my stops). I cant actually trade larger than that due to margin requirements of having several positions, in different markets, open at the same time. As i said in my first post, im a day trader.
I will give you a sharpe ratio at the end of the year as i think its a bit too early yet. I dont get what you mean by unrealized PnL??.. as a day trader i realise my PnL at the end of each day.
by unrealized i mean, suppose that during the day, you observe an unrealized PnL of -1000. however, the realized pnl later is something like -300. i think it's more useful to calculate standard deviation of returns based off of unrealized pnl than otherwise.
Attached is an IB generated report that shows a sharpe ratio metric for my account year to date. I said i wouldnt bother calculating the sharpe till the end of the year a few posts ago, but since then i just realised that IB calculate it for me so i will attach it:
Week 7 ====== £3408 loss Closing Balance: £48593 Peak equity this year: £56991 Current draw down: 15% Another brutal week takes this draw down to almost 15%. The last six trading days have all been losers. How long this draw down will last and how deep it will go is anyone's guess. But i except and mentally prepare for 30% draw downs and this one is only half way there. Th account was flying a couple of weeks ago, now it has been bought back down to earth: Weekly P/L so far for 2012: Week1: £2,893 Week2: £2,421 Week3: £265 Week4: -£1,129 Week5: £6,652 Week6: -£4,101 Week7: -£3,408
What is the pink line on your chart? I like the idea of posting a chart in your journal. I may steal it