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VerticalTraders,
While the MAR is certainly very useful, I actually prefer using the Calmar ratio since it is based on more recent data if the measurement period is more than 36 months. With the MAR, the historic MDD is used for the calculation. Since the CAGR will most likely change over time, it stands to reason that the MDD that is used to calculate adjusted risk also change. I think this makes the Calmar much more useful and timely. Just my 2 cents!
Let me show you simple math.
Futures Cat -
3.5 month old, 150$ per month
Max DD = 5,000$
Return = 14,200 $ / 3.5 = 4,100$
Considering system age I would use optimistic factor of 2.0 and get max DD of 10k$ and monthly return of 2k$.
Much older futures system here at C2 -
17+ month old, 150$ per month
Max DD = 8,600$
Return = 41,000$ / 17.5 = 2,300$
Due to the system age no factors applied.
So for the same 150$ I can find the system with longer track record and the same returns and risks. From my experience the most significant factor here at C2 is the system age.
Another problem I can see with your system: you can have an edge in your trading, but your high leverage will eventually kill it. Iāve seen a lot of examples, when good system died due to over-leveraging.
JITF,
You said my strategy used high leverage, so do you understand what Sharpe Ratio measures?
It measures risk and reward ratio. A high leverage strategy will not get a sharpe ratio of 6. A high sharpe ratio means when other strategies won 20 points on 2 contracts, I won 40 points on 1 contract. It means for the same return, I made more points on less contracts than other strategies .
You can calculate total points I have made, divided by total contracts I have traded. Then compared this statistic of mine with other strategies, you will see the difference.
I think youāre still missing the point that a few posters already tried to convey to you.
Simply, it is: any statistics (be it returns, Sharpe, or other) over a short period (of a few months, for example) isnāt a good indication of how the strategy will perform in the future.
Sharpe 6 isnāt sustainable and yes, also 50%+ a year isnāt sustainable.
It can be sustainable with proper risk/money management.
I canāt exactly use my strategy as a good example, because some trades have been way outside proper risk/money management guidelines. But then again Iām very familiar with the 5 stocks that I trade, and itās the only 5 I trade. Itās been active 22 days and itās returned 85.1% already.
Will have to set a contract limit through as more subscribers are joining, probably 25 contracts max.
Thatās kind of a tangent, but high yield returns can and are possible as long as the markets provide the right parameters and the strategy stays mechanical (no emotion) with a high long term backtest probability of winning trades. (65-70%)
And over how many years have you achieved 50%+ with Sharpe 6? (real audited/verified results, not fantasy into the future)
Do you mean the two systems, 20 days old, that have minus 30% so far, or the other one, 20 days old, already with 47% drawdown??
I can not answer that, as Iām strictly an options trader, and the Sharpe ratio calculation is not accurate for leveraged instruments. The measurement gauge that would be better to rate would be the RoMaD (Return over Maximum Drawdown). Which is:
Portfolio return divided by max drawdown
But also I have not gone and calculated this either, so I canāt give you an accurate number in relation to Sharpe ratio. But every month that Iāve been able to trade, has met and or exceeded 50% return with trading options
You mean 22 days so farā¦? In a non-TOS systemā¦? To avoid wasting everybodyās time, the most suitable response to your claims is: āOMGā.
The only reason itās not a TOS system is because I use TD Ameritrade ThinkorSwim, if you look around the forums you see that this has been asked by myself and numerous others.
Donāt be ignorant, Iām new here but Iāve seen exceptionally high returns from options traders. Iāve been in the options game for over 5 years now, only recently came across this site.
Yes I get that 22 days isnāt long, and I even stated that some positions were outside proper risk management guidelines, so cut a little slack. Just because you might not have done it, doesnāt mean it isnāt possible.
After 5 years in the game you still havenāt figured out how to apply proper risk management to your trades? It just gets better and betterā¦ Do people really think subs join based on empty claims?
You are 100% novice and green.
Says the guy that doesnāt have any active strategies and hasnāt traded optionsā¦right
How many different profiles do you have here? And how many different strategies?
Says the guy who is almost 30 years in this business, seen much more than you and is doing well.
So which strategy is yours that you are running? Which of your 20 profiles has you managing a strategy?
No, says the guy who doesnāt try to sell anything.
There is an endless stream of people with bombastic empty claims similar to yours that come and go here, in some cases they manage to cause damage to subscribers who are tempted to join a very risky system based on a very limited track record.
However, in your case, I am not concerned - I seriously doubt anyone will be that stupid to subscribe to your system, even for free.
Not selling anything here, more than 400k in subscribed strategies if you assume just 100% allocation. This information is public. Do your homework boy.
Oh Iāll be sticking around, if I was trying to sell some BS, one would think that I wouldnāt admit to high contract counts. Options are very high risk, especially on single stocks which is why I started the strategy trading SPY and built it up a little and then started trading AAPL, BABA, FB, and NFLX. Perhaps you should try trading them sometime and then get back with me, before thinkin you are all high and mighty.
So again, why so many different profiles?!?
