Got a sharpe of 2.0
|March 26th, 2016, 12:27 PM||#11 (permalink)|
Montreal, Qc, Canada
Futures Experience: Advanced
Broker/Data: Interactive Brokers/Kinetick
Favorite Futures: ETF
Posts: 33 since Jun 2011
Thanks: 96 given, 25 received
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.
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 (https://futures.io/traders-hideout/37391-sortino-ratio.html) 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.