Good luck finding investors who will accept your word for whatever you claim your Sharpe is. IMO, anything less than what Rapa requires is not going to happen. A legitimate investor not related to you (and/or a gambler) is going to ask for a managed account so they can see exactly what you're trading, when you're trading, how you're trading, your fills, etc, etc, etc.
Having an actual investor having more info on what you are doing is one thing, giving out the information "up front" in order to be part of a competition so maybe 1 day you can get some $ is totally different. Don't think a lot of people with good edges would do it.
The answer is no, I havenât kept Sharpe over 4 for the full year, but it was close enough in the 3.5 range. For next year I am considering doing an open high Sharpe thread so that people that have high Sharpe (2+), or people that focus on high Sharpe strategies can post. What do you guys think about that?
I mean I love geeks and such, but... I tried to pay with my Sharpe at the grocery store yesterday and they threw me out, like one who has no money...
I am not sure what you where thinking, offcorse the grocery store is right for throwing you out.. itâs the $ that you achieve with your Sharpe that matters. He will accept those.
I was thinking of irony... Do I really have to spell it out? It is the bucks you make that counts not the Sharpe, winning %, no losing days, whatever..... What would you rather make 100K with 2 Sharpe or 10K with 4 Sharpe?
I would chose 300k with a 3.5 Sharpe... Now the most important thing is how much money you make in the "long term". Making a lot of money this year is great, but if it comes with high STDV & DD, the risk you will lose it next year is greater. however If you made money and "don't trade any more", I agree all this ratio don't matter.
Year is over, and Sharpe for the year is 3.59, max DD peak to valley is 7.33%. "Monthly Sharpe" is 3.49. Below I have enclosed the monthly returns for the year. Jan 2012 2.92% Feb 2012 6.17% Mar 2012 11.20% Apr 2012 8.45% May 2012 6.13% Jun 2012 15.88% Jul 2012 -4.00% Aug 2012 12.70% Sep 2012 4.49% Oct 2012 1.17% Nov 2012 -0.66% Dec 2012 4.48% Average 5.74%