Too small a sample yet, but I'm (in simulation) up about 3.2% on SPY and 10% on UPRO since Oct 24th. The Market is up by less than 1% since then. Also today is looking good. Long yesterday, made some fake money, short today, hopefully this holds.
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Too small a sample yet, but I'm (in simulation) up about 3.2% on SPY and 10% on UPRO since Oct 24th. The Market is up by less than 1% since then. Also today is looking good. Long yesterday, made some fake money, short today, hopefully this holds.
Too small a sample yet, but I'm (in simulation) up about 3.2% on SPY and 10% on UPRO since Oct 24th. The Market is up by less than 1% since then. Also today is looking good. Long yesterday, made some fake money, short today, hopefully this holds.
What's your tracking error and Treynor ratio right now?
No idea. Let me wiki what those are and get back to you.
You should build spreadsheet with all the typical ratios, you'll need it eventually for your prospectus anyways
I'm legitimately scared that Italy might go under.. if that happens.. hello, double dip..
Yeah, I need to figure out how to calculate Sharpe ratio and all that.
I'm not sure what the Treynor ratio on our backtesting is, but I'm sure it's quite high -- there's no way our beta is particularly high in the long run. Our returns tend to be fairly consistent irrespective of what the market is doing. The thing our performance is most closely linked to is volatility. Higher = better.
edit: bluh, and today just turned ******.
A Sharpe ratio is a measure that is commonly presented and is supposed to possibly be some measure of risk. Generally, it is supposed to tell you if you were paid adequately for the risk you took. However, look a bit further into these types of ratios and I believe that the logic behind the Ulcer Index for risk comparison is much better. Sharpe does not really give the possiblilty of a large drawdown adequate weighting. Just because the model or plan survived it does not make it any more pleasant in real time, or keep you from questioning the plan during those periods. Most people find it hard to continue with a program that has generated a 30% or greater drawdown.
I think the vicious circle has already begun. I don't know that the ECB is going to rise to the occasion -- they certainly haven't demonstrated any capacity for that thus far. I think this is the end of the Euro as we know it.
Brutal day, but we were short so we're looking good still in simulation. up about 19% since beginning on oct 24th.