r*m
发帖数: 16380 | |
C****a
发帖数: 1639 | |
r*m
发帖数: 16380 | |
g*****u
发帖数: 14294 | |
g*****u
发帖数: 14294 | 5 6 silver lamps!
not too shabby!
【在 r*m 的大作中提到】
: r
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C****a
发帖数: 1639 | 6
I slightly beat the benchmark. Luckily dodge the bullet in the past few
days.
And pretty satisfied with my risk control, haha
【在 r*m 的大作中提到】
: r
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I********n
发帖数: 1468 | 7 you have a good chance to beat the index by buying CDs in 2011.
【在 r*m 的大作中提到】
: in the past month
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t******y
发帖数: 6206 | |
r*m
发帖数: 16380 | 9 hand!
the big improvement for me is not how much money I can make by a certain
trade, but rather the over all risk control of my whole acount.
【在 C****a 的大作中提到】
:
: I slightly beat the benchmark. Luckily dodge the bullet in the past few
: days.
: And pretty satisfied with my risk control, haha
|
u********e
发帖数: 4950 | |
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f****s
发帖数: 315 | 11 sharpe is over 4? This is niuX!
【在 C****a 的大作中提到】
:
: I slightly beat the benchmark. Luckily dodge the bullet in the past few
: days.
: And pretty satisfied with my risk control, haha
|
C****a
发帖数: 1639 | 12
Agree!
【在 r*m 的大作中提到】
: hand!
: the big improvement for me is not how much money I can make by a certain
: trade, but rather the over all risk control of my whole acount.
|
f****s
发帖数: 315 | 13 LL做什么的? finance industry? |
C****a
发帖数: 1639 | 14
No. My system just focus on reducing the drawdown, improving sortino ratio.
【在 f****s 的大作中提到】
: LL做什么的? finance industry?
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a*****e
发帖数: 1717 | 15 ppl will like such track record， normally, they won't accept
more than 5% drawdown track record, some requires 2%. for equities.
mine is garbage :(
purely zigzag commodities curves heading down.
ratio.
【在 C****a 的大作中提到】
:
: No. My system just focus on reducing the drawdown, improving sortino ratio.
|
g*****u
发帖数: 14294 | 16 Why is the SR of the benchmark 0.62?
Please check my calculation:
0.0003/0.0058*sqrt(252)
assuming 0.0003 and 0.0058 are on a daily basis.
Also, daily return of April are below. The mean and std. of daily return come down to 0.0013 and 0.0057, which are close to your numbers within rounding errors. The SR I computed is 0.2320 daily basis or 3.6828 annualized.
0.0008
-0.0002
0.0031
-0.0025
-0.0035
-0.0030
-0.0075
-0.0001
0.0008
0.0036
-0.0113
0.0057
0.0135
0.0051
-0.0010
0.0086
0.0065
0.0032
0.0023
【在 C****a 的大作中提到】
:
: No. My system just focus on reducing the drawdown, improving sortino ratio.
|
C****a
发帖数: 1639 | 17
I will do the calculation later.
The screenshot above is from IB ...
【在 g*****u 的大作中提到】
: Why is the SR of the benchmark 0.62?
: Please check my calculation:
: 0.0003/0.0058*sqrt(252)
: assuming 0.0003 and 0.0058 are on a daily basis.
: Also, daily return of April are below. The mean and std. of daily return come down to 0.0013 and 0.0057, which are close to your numbers within rounding errors. The SR I computed is 0.2320 daily basis or 3.6828 annualized.
: 0.0008
: -0.0002
: 0.0031
: -0.0025
: -0.0035
|
g*****u
发帖数: 14294 | 18 Thank you. I added some more lines in the above post.
【在 C****a 的大作中提到】
:
: I will do the calculation later.
: The screenshot above is from IB ...
|
C****a
发帖数: 1639 | 19
So a 2% or 5% drawdown is the bottom line for a fund?
【在 a*****e 的大作中提到】
: ppl will like such track record， normally, they won't accept
: more than 5% drawdown track record, some requires 2%. for equities.
: mine is garbage :(
: purely zigzag commodities curves heading down.
:
: ratio.
|
a*****e
发帖数: 1717 | 20 for stocks, yes,
100K bottom line,
but how can one do statistical arbitrage with 100K only?
maybe only pairs.
【在 C****a 的大作中提到】
:
: So a 2% or 5% drawdown is the bottom line for a fund?
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|
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f****s
发帖数: 315 | 21 what is the big diff between sharpe and sortino ... pros seem to like the
sharpe ratio better...
ratio.
【在 C****a 的大作中提到】
:
: So a 2% or 5% drawdown is the bottom line for a fund?
|
f****s
发帖数: 315 | 22 2% DD is hard to look aroud ah... I think within 10% should be alright..
【在 a*****e 的大作中提到】
: ppl will like such track record， normally, they won't accept
: more than 5% drawdown track record, some requires 2%. for equities.
: mine is garbage :(
: purely zigzag commodities curves heading down.
:
: ratio.
|
C****a
发帖数: 1639 | 23
Sortino ratio seems making more sense, because it only take into account the
downside variations.
For sharpe, it actually punish the draw-up.
【在 f****s 的大作中提到】
: what is the big diff between sharpe and sortino ... pros seem to like the
: sharpe ratio better...
:
: ratio.
|
f****s
发帖数: 315 | 24 I don't think so. If you could have a DD within 10% in the past 5 years on
US equities, and with a reasonable capacity, I could offer you a trading job
if you like ...
【在 C****a 的大作中提到】
:
: Sortino ratio seems making more sense, because it only take into account the
: downside variations.
: For sharpe, it actually punish the draw-up.
|
a*****e
发帖数: 1717 | 25 check any ad, there are always firms picky like that.
job
【在 f****s 的大作中提到】
: I don't think so. If you could have a DD within 10% in the past 5 years on
: US equities, and with a reasonable capacity, I could offer you a trading job
: if you like ...
|
f****s
发帖数: 315 | 26 that may be for high frequency trading... for trading even several hours
horizon < 10% DD should be an awesome one.
【在 a*****e 的大作中提到】
: check any ad, there are always firms picky like that.
:
: job
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a*****e
发帖数: 1717 | 27 for HFT?
I don't think they can afford 0.5%
【在 f****s 的大作中提到】
: that may be for high frequency trading... for trading even several hours
: horizon < 10% DD should be an awesome one.
|
f****s
发帖数: 315 | 28 so, you think all HFTs are money making machines in a very consistant way?
【在 a*****e 的大作中提到】
: for HFT?
: I don't think they can afford 0.5%
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f****s
发帖数: 315 | 29 Also, I would be very happy to know if there is any fund within 5% DD in 5+
years
【在 a*****e 的大作中提到】
: for HFT?
: I don't think they can afford 0.5%
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a*****e
发帖数: 1717 | 30 of course not, but those survived in these highly competitive fund
must be.
neither electronic market making nor statistical arbitrage HFT will
have bullet proof strategies.
but few giant names are very very consistent. a lot got eliminated.
【在 f****s 的大作中提到】
: so, you think all HFTs are money making machines in a very consistant way?
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|
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a*****e
发帖数: 1717 | 31 I guess we are talking about maximum equity curves drawdown right?
+
【在 f****s 的大作中提到】
: Also, I would be very happy to know if there is any fund within 5% DD in 5+
: years
|
f****s
发帖数: 315 | 32 Yes, any fund? Glad to know..
【在 a*****e 的大作中提到】
: I guess we are talking about maximum equity curves drawdown right?
:
: +
|
f****s
发帖数: 315 | 33 if back to the year 2007-2009, could be.
But for now the margin for HFT on equieies is less and less...
【在 a*****e 的大作中提到】
: of course not, but those survived in these highly competitive fund
: must be.
: neither electronic market making nor statistical arbitrage HFT will
: have bullet proof strategies.
: but few giant names are very very consistent. a lot got eliminated.
|
a*****e
发帖数: 1717 | 34 I don't know any, but try to ask some HFT recruiters,
they will tell you so.
I got similar numbers from insiders.
【在 f****s 的大作中提到】
: Yes, any fund? Glad to know..
|
a*****e
发帖数: 1717 | 35 maybe, but 10% MDD?
most HFT shop will not even look at the record:D
【在 f****s 的大作中提到】
: if back to the year 2007-2009, could be.
: But for now the margin for HFT on equieies is less and less...
|
f****s
发帖数: 315 | |
o****r
发帖数: 132 | 37 我也来贴个账户统计2010年6月-2011年2月。
9个月月回报，同期SP500比较。 |
f****s
发帖数: 315 | 38 这个更牛，100% winning month.. SR is over 8....damn good ah.
【在 o****r 的大作中提到】
: 我也来贴个账户统计2010年6月-2011年2月。
: 9个月月回报，同期SP500比较。
|
o****r
发帖数: 132 | 39 其实我更看重Standard deviation和同期SP500的比较。
【在 f****s 的大作中提到】
: 这个更牛，100% winning month.. SR is over 8....damn good ah.
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