Just a gentle reminder: https://www.elitetrader.com/et/threads/what-happened-to-acrary.361842/ I'm pretty sure the guy's a pretend-trader with...
What happened to your immune response model? I think you called it Doron. Was it even real?
Did you get rich?
I assume the comparison (SR 1.0 vs 1.4) was done on a backtest over many decades (since 1970?). What is the correlation between the old and new...
Sharpe Ratio of 1.4, that definitely sounds too good to be true!
I noticed you have mentioned the disappearance of the skew in the latest Systematic Investor podcast. Nice!
The skew disappears around year 1990 in your set. I don't know how to explain the difference now. Perhaps the difference of sortino vs sharpe is...
I forgot to specify that I used monthly data to calculate Sharpe and Adjusted Sortino ratios. I have generated the monthly data by taking daily...
This comparison makes no sense.
I found a strange phenomena when looking at 10-year rolling window Sharpe and Adjusted Sortino* ratios. I only plotted windows that start on 1980...
With the new backtest, the 1970s still have high volatility at about 45%, which is then gradually falling down and by the 1980 it's right on the...
That would be very interesting to see. The long term Sharpe ratio will also be more meaningful when the volatility is kept at the same rate...
OK that explains. Originally I thought since 1970s were so "trendy", a lot of the times trend signals would be at 20 which translates into 25% x 2...
A few more observations: Volatility is 25%, but since 1980. In the 1970s it's about 55% (but we know markets were extremely volatile then)....
Whereas if I take the period starting at 2006-01-01, that is almost 16 years to this date, I get CAGR of 21.7%
I see drawdown trough at -40.50% on 2019 January 9th. Max drawdown seems to be -41.52% on 1971 May 13th, but it's too far back. This is what I...
It works now. Thanks a lot, that's very interesting data. I will see how much my returns differ from this.
I supoose spreads exhibit high negative skew, so even if it has higher SR, you probably don't want to leverage it up too much, unlike with...
Seems the google drive file was not shared (it says "You need access Ask for access, or switch to an account with access.")
Oh no, I didn't mean that! What I meant is just the daily returns that were used to generate the chart.
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