|
PureBytes Links
Trading Reference Links
|
Yeah, but don't forget :
1) with spreads the downside is limited vs. naked sales which have UNLIMITED
liability
2) 80-90% of all options go worthless at expiration so the ODDS are with
this strategy
This strat is super in the environment we've had in the past 3 months with
no big moves.
> -----Original Message-----
> From: Michael Stewart [mailto:mpst@xxxxxxxxxxxxx]
> Sent: Wednesday, September 20, 2000 11:11 AM
> To: Mark Johnson
> Cc: Omega
> Subject: Re: Sharpe Ratios of CTA's
>
>
> Some CTA Sharpe Ratio's > 1
>
> www://www.catranis.com/cta24mo_sharp.htm
>
> No1 is Arcanum Investment Management > 4 they only sell out of the money
> option spreads, somewhat ironic as in any month they could lose
> their entire
> premium and 50% of the account?
>
>
> ----- Original Message -----
> From: "Mark Johnson" <janitor@xxxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Wednesday, September 20, 2000 6:45 AM
> Subject: Sharpe Ratios of CTA's
>
>
> > Bob Fulkes writes of Sharpe ratios of mechanical systems.
> >
> > Why not disuss the Sharpe ratios of CTA funds such as
> > John Henry's, David Druz's, and so forth? They are
> > 100% mechanical, they have a proven track record
> > (audited, to boot), they have actually made money for
> > clients as well as themselves.
> >
> > It is reasonable to expect that the very best Sharpe
> > ratios are produced by the very best CTA funds -- they
> > have the most experience, the most market-battle-tested
> > savvy, and (very importantly) the largest research
> > budgets to investigate the widest possible spectrum
> > of trading system ideas.
> >
> > Go ahead and look. You'll find that CTA's, even the
> > best of the best, the ones who test out EVERYTHING,
> > have a Sharpe ratio less than 1.0.
> >
> > There are plenty of CTA's reading this list and
> > indeed reading this very message. These CTA's are
> > tracked by a variety of Managed Futures advisory
> > services, some in traditional ink-and-paper print
> > media, some on the web, some doing both. I will
> > guarantee you that none of these CTAs will respond
> > with a message, "Go look at such-and-such website
> > containing my audited results, you will see that
> > I achieved a Sharpe ratio greater than 3 for five
> > straight years." No way, Jose.
> >
> > Mark Brown is a CTA, he advises a managed futures
> > fund. Go look up his Sharpe Ratio to see what is
> > actually possible in the real world. See if he
> > routinely achieves 3 or greater. (answer: no).
> > See if he even hits a Sharpe Ratio of 1 (answer: no).
> > This doesn't necessarily mean Mark Brown
> > is a poor trader, it means that (sharpe ratio > 1)
> > is a poorly chosen threshold-of-acceptability for
> > the real world we actually live and trade in.
> >
> > Get used to it: what can actually be realized
> > using actual trades and actual fills and actual
> > markets, is a Sharpe ratio slightly less than 1.
> > Not 3, not 3-to-5, not greater-than-5. Less than 1.
> > That's the bad news. The good news is, you can
> > make >100% profits per year, even with a Sharpe
> > ratio less than 1. Larry Williams proved it.
> > Richard Dennis and the Turtles proved it. Michelle
> > Williams proved it. You and $395 worth of Pinnacle
> > Data, and $3000 worth of Trading Recipes software
> > can prove it too.
> >
> > --
> > Mark Johnson Silicon Valley, California mark@xxxxxxxxxxxx
> >
> > "... The world will little note, nor long remember, what we
> > say here..." -Abraham Lincoln, "The Gettysburg Address"
> >
>
>
|