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Got a sharpe of 2.0


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Got a sharpe of 2.0

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  #1 (permalink)
delhi, delhi, india
 
 
Posts: 59 since Dec 2013
Thanks: 10 given, 14 received

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 trade atm.

I am not looking for pseudo props that offer training/ charge you for getting started/ take your money in order to get started/ or make money out of your commissions.

The automated system might have a better sharpe, since i am prone to errors.

All that i have found till now are places which - are not accepting international traders , i am based out of India
or pseudo props or places which want an average PnL of 20000 USD per month , regardless of base capital eg Jane street or other good prop shops.
I know that it isnt good enough for HFT firms or algo trading firms ,they prolly look for sharpe >3 or above 5.
But maybe decent for a manual trader.

I am just looking for options for an experienced trader. Any input/help would be welcome.
Thanks

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  #3 (permalink)
London + UK
 
Experience: Advanced
Platform: Proprietary Analytics
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Trading: Currently European and US equities
 
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Posts: 443 since Dec 2013
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Hi,

There are a few possibilities available.

*You can approach Professional institutions directly (e.g., Banks, Funds, Prop houses etc) and market your credentials for a role, basically the same as applying for a job, if you have a track record as long as you can market yourself, I know that this is a very good way to go.

*Otherwise you can Google 'funded trading' and find a number of firms that offer paid for training services, as you are paying them, these are more about how you do in their observed trials (wrt consistency and profitability).

Bottom line, its not just going to be about your Sharpe, as it is about your overall approach.

Good luck to you.

Sand.

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  #4 (permalink)
delhi, delhi, india
 
 
Posts: 59 since Dec 2013
Thanks: 10 given, 14 received

Is the sharpe good enough? does sharpe even apply to day trading btw?

I have approached a few remote trading desks, so far no replies.
T3 doesnt offer remote for international trading. no reply from smbcap.

The other firms, which want to get paid for a trial and then fund you ,seem like pseudo prop to me.
keeping that as a last option.

Do you have any specific firms i can apply to (given that track record is good enough)

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  #5 (permalink)
San Francisco, CA
 
Experience: Beginner
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nemeis45 View Post
Is the sharpe good enough? does sharpe even apply to day trading btw?

I have approached a few remote trading desks, so far no replies.
T3 doesnt offer remote for international trading. no reply from smbcap.

The other firms, which want to get paid for a trial and then fund you ,seem like pseudo prop to me.
keeping that as a last option.

Do you have any specific firms i can apply to (given that track record is good enough)

Here are two quotes from Ernie Chan:

The Sharpe ratio is actually a special case of the information
ratio, suitable when we have a dollar-neutral strategy, so that the
benchmark to use is always the risk-free rate. In practice, most
traders use the Sharpe ratio even when they are trading a directional
(long or short only) strategy, simply because it facilitates compar-
ison across different strategies.
As a rule of thumb, any strategy that has a Sharpe ratio of less
than 1 is not suitable as a stand-alone strategy. For a strategy that
achieves profitability almost every month, its (annualized) Sharpe
ratio is typically greater than 2. For a strategy that is profitable al-
most every day, its Sharpe ratio is usually greater than 3.

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  #6 (permalink)
delhi, delhi, india
 
 
Posts: 59 since Dec 2013
Thanks: 10 given, 14 received

yes, i figured that sharpe is actually useless for day trading and does not apply.
People asking me for it are generally portfolio guys,not really familiar with day trading, for us, we open a new book every day.

Well i am not profitable every month, but on an avg a 20% return on margin per month

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  #7 (permalink)
London + UK
 
Experience: Advanced
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Broker: Multiple broker + Multiple feed
Trading: Currently European and US equities
 
sands's Avatar
 
Posts: 443 since Dec 2013
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nemeis45 View Post
Is the sharpe good enough? does sharpe even apply to day trading btw?

I have approached a few remote trading desks, so far no replies.
T3 doesnt offer remote for international trading. no reply from smbcap.

The other firms, which want to get paid for a trial and then fund you ,seem like pseudo prop to me.
keeping that as a last option.

Do you have any specific firms i can apply to (given that track record is good enough)

Hi,

Its only something I know of in the periphery you'll need to do your own research on it, just google it as I say.

For this sort of journey I'm a firm believer that you'll get out of it as much as you put in. So try your best and I'm sure you'll find the right match for you (e.g., depending on your trading style and capital etc etc)

Good luck my friend!

Sand.

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  #8 (permalink)
delhi, delhi, india
 
 
Posts: 59 since Dec 2013
Thanks: 10 given, 14 received

Nope, after a week of applying, researching , sad to say nothing has turned up.
No firm offering retail to an experiened traders, just pseudo props ready to take your money for training.

Would greatly appreciate it if someone could help me out on this.
Really need to get back into the game.

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  #9 (permalink)
London + UK
 
Experience: Advanced
Platform: Proprietary Analytics
Broker: Multiple broker + Multiple feed
Trading: Currently European and US equities
 
sands's Avatar
 
Posts: 443 since Dec 2013
Thanks: 255 given, 227 received


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  #10 (permalink)
San Francisco, CA
 
Experience: Beginner
Platform: IB
Trading: Stocks
 
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Posts: 410 since Jul 2011
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nemeis45 View Post
yes, i figured that sharpe is actually useless for day trading and does not apply.
People asking me for it are generally portfolio guys,not really familiar with day trading, for us, we open a new book every day.


The quants definitely use sharpe. Some places, all you need is a sharpe > 1 and large enough strategy capacity.

Even Van Tharp in Super Trader uses expected return/std deviation as measure for how good a system is. All it really is is the Sharpe unannualized. So it won't take into account things like repeatability of the system.

I tend to think in win rate and Wavg/Lavg ratio. But they are all loosely related. I ran some rudimentary simulations took a few averages. Here is what I got:


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