Got a sharpe of 2.0

NexusFi · 2016-03-26T12:27:48-04:00

Hi, I have been trading live past 4 years. mostly discretionary trading. want to make a shift to algo trading now. I have a sharpe of around 2 for my manual trading, for all the records i have available. (Have always traded live, not sim, records available for 2-3 years) How good is that? or just average ? One year was a base capital of 30kUSD, and another 12k USD. Is this good enough to get funded . I have to able to trade in order to automate this system, but unfortunately have no options available to …

Discussion in Psychology and Money Management

Updated March 26, 2016

Got a sharpe of 2.0

March 26th, 2016, 12:27 PM

#11 (permalink)

Virtuose1

Montreal, Qc, Canada

Elite Member

Experience: Advanced

Platform: NinjaTrader 7

Broker: Interactive Brokers

Trading: ETF

Posts: 58 since Jun 2011

Thanks Given: 142

Thanks Received: 41

I only do automated trading and my sharpe ratio over 7 years is above 1 but below 2 (and improving every year) and still I'm satisfied with the results as the returns have been positives every year, non-corrolated to the market and above the market return. With your Sharpe above 2 over 2-3 years, you should be able to automate this successfully. Now your post was in 2014 so I'm curious to hear how things have gone since then.

Cheers

P.S.: Interactive Brokers allow to easily generate reports showing the Sharpe ratio (as well as other interesting metrics) of your trading account. As I showed in a previous post (

Sortino ratio ?

Do you track the sortino ratio for your actual trading results (btw easy to generate with InteractiveBrokers) and what would you consider a good ratio for day trading (not swing trading)? Those who have a long term (+3 years) track record, please feel …

) very few traders are able to keep a Sharpe above 1 over a long period. As a side note, I personnaly prefer tracking the sortino which in my view is a better proxy.