Talking stocks, trading, and investing in general

Discussion in 'Business, Careers & Education' started by mikeman, Feb 2, 2011.

  1. NameBack

    NameBack Senior member

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    Too small a sample yet, but I'm (in simulation) up about 3.2% on SPY and 10% on UPRO since Oct 24th. The Market is up by less than 1% since then. Also today is looking good. Long yesterday, made some fake money, short today, hopefully this holds.
     


  2. otc

    otc Senior member

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    Its not hard to make a profit....

    the question is whether or not you can beat some indices. Of course when most of your holdings are in funds designed to track those indices...you don't really worry too much.
     


  3. stevent

    stevent Senior member

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    What's your tracking error and Treynor ratio right now?
     


  4. NameBack

    NameBack Senior member

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    No idea. Let me wiki what those are and get back to you. :)
     


  5. stevent

    stevent Senior member

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    You should build spreadsheet with all the typical ratios, you'll need it eventually for your prospectus anyways
     


  6. NameBack

    NameBack Senior member

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    Yeah, I need to figure out how to calculate Sharpe ratio and all that.

    I'm not sure what the Treynor ratio on our backtesting is, but I'm sure it's quite high -- there's no way our beta is particularly high in the long run. Our returns tend to be fairly consistent irrespective of what the market is doing. The thing our performance is most closely linked to is volatility. Higher = better.

    edit: bluh, and today just turned shitty.
     
    Last edited: Nov 8, 2011


  7. GreenFrog

    GreenFrog Senior member

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    I'm legitimately scared that Italy might go under.. if that happens.. hello, double dip..
     
    Last edited: Nov 9, 2011


  8. Saltricks

    Saltricks Senior member

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    Yeesh, owned today. Day trading SIRI has softened the blows at least.
     


  9. stevent

    stevent Senior member

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    I'm debating whether I add to my bank positions or close out. I think I'll add Friday if things get a little better.
     


  10. NameBack

    NameBack Senior member

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    I think the vicious circle has already begun. I don't know that the ECB is going to rise to the occasion -- they certainly haven't demonstrated any capacity for that thus far. I think this is the end of the Euro as we know it.

    Brutal day, but we were short so we're looking good still in simulation. up about 19% since beginning on oct 24th.
     


  11. Charley

    Charley Senior member

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    The ECB is specifically prohibited from directly buying bonds of the member nations. But the Euro Zone has never followed or enforced any of the other governing rules so this one may not hold either. The game is over when the German public becomes informed of the liabilities that are being piled upon them.
     


  12. Charley

    Charley Senior member

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    A Sharpe ratio is a measure that is commonly presented and is supposed to possibly be some measure of risk. Generally, it is supposed to tell you if you were paid adequately for the risk you took. However, look a bit further into these types of ratios and I believe that the logic behind the Ulcer Index for risk comparison is much better. Sharpe does not really give the possiblilty of a large drawdown adequate weighting. Just because the model or plan survived it does not make it any more pleasant in real time, or keep you from questioning the plan during those periods. Most people find it hard to continue with a program that has generated a 30% or greater drawdown.
     
    Last edited: Nov 9, 2011


  13. NameBack

    NameBack Senior member

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    Yeah, I find all these ratios pretty questionable for anything other than ranking a set of similar strategies under a single roof -- and even then it's debatable how useful they are. Our Sharpe isn't great -- about 0.14. Which is odd, because we never really have huge drawdowns, but there's a lot of variation before we close our positions. There's a lot of paper losses that never get realized but that get factored into a Sharpe. Without those, our ratio is more like 0.27. We have a pretty great beta though, at about 0.078, and our Treynor ratio is quite high.

    But, again, how useful these all are -- who the fuck knows. Still, some hedge fund guys we're in talks with want to see this shit, so see it they shall.
     


  14. chogall

    chogall Senior member

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    Double dip or not, Eurozone is going to be a repeat of Japan, in a jersey shore manner. It has to let bank fail and let countries default. Or have a common fiscal entity and print the fuck out of it, like the Fed's strat.
     


  15. RSS

    RSS Senior member

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    Rather than stock tips ... I'm looking more defensive for the moment.
     


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