AriaS
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Hi everyone,
If you want to evaluate your strategy properly, use a strong LLM to calculate all the relevant metrics. Trust me - if it can calculate time dilation from the Schwarzschild metric near a black hole, it can compute your Sharpe ratio.
Risk-adjusted metrics and benchmark choice depend on the type of your strategy. For example, if it is market-neutral FX (like mine), it makes no sense to benchmark it like a long-only stock portfolio. The LLM needs to understand whether you are running trend-following, mean reversion, market-neutral etc. Show it and explain everythig.
Next, show it your daily returns - that gives much more statistical power. Monthly works too, but less accurate.
Make it calculate the fllowing:
• CAGR
• Sharpe ratio
• Sortino ratio
• Calmar ratio
• Beta
• Absolute alpha
• CAPM alpha
• Alpha t-stat
Important: the larger the data sample, the stronger the statistical confidence. Early metrics can look amazing simply because of a small sample size.
Below are my current figures. In my case, any comparison to a typical hedge fund is statistically limited, because my live sample is only 10 months old. For a meaningful comparison, you would ideally want 5+ years old.
If you want to evaluate your strategy properly, use a strong LLM to calculate all the relevant metrics. Trust me - if it can calculate time dilation from the Schwarzschild metric near a black hole, it can compute your Sharpe ratio.
Risk-adjusted metrics and benchmark choice depend on the type of your strategy. For example, if it is market-neutral FX (like mine), it makes no sense to benchmark it like a long-only stock portfolio. The LLM needs to understand whether you are running trend-following, mean reversion, market-neutral etc. Show it and explain everythig.
Next, show it your daily returns - that gives much more statistical power. Monthly works too, but less accurate.
Make it calculate the fllowing:
• CAGR
• Sharpe ratio
• Sortino ratio
• Calmar ratio
• Beta
• Absolute alpha
• CAPM alpha
• Alpha t-stat
Important: the larger the data sample, the stronger the statistical confidence. Early metrics can look amazing simply because of a small sample size.
Below are my current figures. In my case, any comparison to a typical hedge fund is statistically limited, because my live sample is only 10 months old. For a meaningful comparison, you would ideally want 5+ years old.
