How smooth are your curves?

[Hotch]

Now that's out the way.

Nobody likes to talk about their vast sums of wealth, but I don't see why anyone should be shy giving out a risk adjusted figure. Sharpe, CALMAR etc is far too complicated for the troglodytes though.

% Return/%max DD

Or something? Yes, it's highly flawed, doesn't tell the whole story etc, but it might give a highly vague ballpark figure to people.

Personally just shy of 22 in 6 weeks since moving accounts. Seems alright.

 

[scose-no-doubt]

sharpe? sortino, surely?

 

[Hotch]

sharpe? sortino, surely?

Can't spell dodgy foreign words, much easier with Beanie characters.

 

[scose-no-doubt]

I've got an excel sheet somewhere I knocked up that bangs out your trading results as a P curve and gives you a sharpe and a sortino.

I'll post it when I go home.

 

[shadowninja]

Sorry, bit busy now.

 

[scose-no-doubt]

Can't spell dodgy foreign words, much easier with Beanie characters.

:?:

 

[Hotch]

:?:

 

[scose-no-doubt]

get in line.

 

[Hotch]

I've got an excel sheet somewhere I knocked up that bangs out your trading results as a P curve and gives you a sharpe and a sortino.

I'll post it when I go home.

Awesome, can check if my spreadsheet is correct, that's a point actually, would you use excel's std deviation estimate (STDEV), or "traditional" STDEVP? Guess take the worse value :smart:

 

[arabianights]

the problem is, you want risk adjusted... all the maths really adjust for volatility (definied in a stupid way) and they think volatility is risk... fools... as far as I'm concerned if you adjust for real risk I'm returning a gazillion percent, as my main aim is to never, ever, blow up - and so there is no risk

I dropped about 2% today. No big deal, that is a normal pnl...

 

[scose-no-doubt]

the problem is, you want risk adjusted... all the maths really adjust for volatility (definied in a stupid way) and they think volatility is risk... fools... as far as I'm concerned if you adjust for real risk I'm returning a gazillion percent, as my main aim is to never, ever, blow up - and so there is no risk

I dropped about 2% today. No big deal, that is a normal pnl...

Well this depends on liquidity needs doesn't it. Might be okay for yourself but what if you're talking pension of hedge fund that needs margin, income or constitutional risk and returns?

 

[BeginnerJoe]

Are you asking for statements ? Seriously, whoever heard of such a thing?

 

[arabianights]

Well this depends on liquidity needs doesn't it. Might be okay for yourself but what if you're talking pension of hedge fund that needs margin, income or constitutional risk and returns?

What of it? I still say that volatility is a crap way of assessing an investment.

 

[Hotch]

the problem is, you want risk adjusted... all the maths really adjust for volatility (definied in a stupid way) and they think volatility is risk... fools... as far as I'm concerned if you adjust for real risk I'm returning a gazillion percent, as my main aim is to never, ever, blow up - and so there is no risk

I dropped about 2% today. No big deal, that is a normal pnl...

Oh I agree it's adjusting for volatility and not "risk", but I am unaware of anyway of adjusting for "risk". Was mainly putting it out for comparison.

 

[scose-no-doubt]

I did explain what I meant in more detail but my phone browser deleted the whole post.

 

[arabianights]

Oh I agree it's adjusting for volatility and not "risk", but I am unaware of anyway of adjusting for "risk". Was mainly putting it out for comparison.

Yes that's the biggest problem. I'm not really aware of any other numerical measure of risk than volatility.

I take the view that a crap measurement can be worse than no measurement at all. Most disagree with me

 

[forker]

It's really a no brainer. Switch on the tv and chose either Bloomberg or CNBC.

 

[Hotch]

Yes that's the biggest problem. I'm not really aware of any other numerical measure of risk than volatility.

I take the view that a crap measurement can be worse than no measurement at all. Most disagree with me

Measured by barge pole, rounding up, my prick the same length as a barge pole.

 

[shewolf]

Nice.

 

[shewolf]

Measured by barge pole, rounding up, my prick the same length as a barge pole.

Care to show us ? Can you prove it ? So we can verify whether you are telling the truth. Or are you just another vendor trying to sell us some inflated method measured in barge poles