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Got a sharpe of 2.0


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Got a sharpe of 2.0

  #11 (permalink)
 
Virtuose1's Avatar
 Virtuose1 
Montreal, Qc, Canada
 
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 ( ) 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.

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