agreed sharpe ratio before fees tells nothing. waste of time to calculate. what would be your rough estimate for a scalper? I guess they are well above of what can be seen within the hedge fund industry (1 to 4, sometimes 5), which is the only investment arena that I kow, where people care about that kind of number. peace
Yeah Sharpe ratios never attracted me... for me, its really quite simple... if I can make a 70%+ annual return on the "reserves" that I have "available for trading" then I am a happy bunny (such "reserves" dont necessarily need, in their totality, to be physically present in my accounts, and can be usefully deployed elsewhere, with stock and futures margin taking care of day to day capital requirements... the main thing is that such reserves are available for trading, if needed)... 70% per year is the minimum that I feel is necessary to make daytrading worthwhile instead of an alternative career... of course, we all strive for returns such as 200%+ (and often get them), but I feel that 70% on "available reserves" (which is usually a lot more than what you have in your account) is the absolute minimum that you should expect from this game... for me the Sharpe ratio is pretty much irrelevant, as long as the cachingos are coming in relatively consistently...
right. it is another way of thinking and serves the practical needs of a trader - and probably quite well. otherwise the fast reacting community would have absorbed the cocept quite quickly. to me sharpe ratio (and her cousins) are still the best tool to have and idea of risk/return. tells definitely a lot more than hitratio and profitfactor ... peace
drawdown is how one knows if he is utilizing capital well. Shappe's "cousins" are preferable (e.g. some version of a Sortino ratio, why get penalized for desirable performance?)
I think of scalping as shooting for a single leg of a movement, and passing on holding through the retracements. That could turn out to be one or two ticks, or it could be twenty ticks. Stop losses should be tight so the size of one loser is not grossly disproportionate to the size of one winner. Euro FX futures on CME are a great scalping market. It's both liquid (lots of volume)and highly fluid (lots of movement), which makes it easier to overcome the bid/ask spread. Regards,