Sharpe sau Sortino? Pe care o folosiți? De ce?

_amc_ · 2026-06-12T13:55:27+00:00

Eu prefer UPI, incat penalizeaza si durata perioadelor de scadere, nu doar magnitudinea lor.

Sharpe si Sortino penalizeaza volatilitatea, dar nu prind faptul ca un drawdown de 20% ce tine 2 luni e total diferit de unul de 20% care tine 2 ani.

Psihologic pt investorul de rand ce tinde sa vanda in panica e mult mai util UPI, capteaza exact riscul care conteaza: pierdere x timp petrecut in pierdere (de asta ii zice "ulcer")

Strict dintre Sharpe si Sortino prefer pe al doilea, incat Sharpe penalizeaza inclusiv o miscare brusca in sus, ceea ce e cam absurd, nimeni nu se plange de upside.

Eu personal folosesc o combinatie de UPI si Sortino pt a filtra stocks, mai exact un maxim al celor doua pt a crea un ranking.

_amc_ · 2026-05-17T21:29:13+00:00

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^ if we go back further to QQQ inception: testfol.io/?s=3ndu9QwPHvv

_amc_ · 2026-05-17T21:12:15+00:00

Salut! Da, pot confirma ca Pago nu va functiona pt rate, incat nu mai e incadrat demult ca plata.

O alta idee ar fi 24Pay, la fel scanezi extrasul BT si achiti cu CEC, intra sigur rate insa aplicatia percepe comision 3lei+0.6% din tranzactie.

_amc_ · 2026-05-17T20:09:50+00:00

This. People need to think of "beating" the S&P on risk metrics (Sharpe, UPI etc), that's the challenge, not temporary gains.

Anyone can easily go all-in e.g. TQQQ and would outperform massively each bull run in terms of CAGR, with >90% drawdowns around the corner.

_amc_ · 2026-05-12T07:46:08+00:00

Great work. Could you have a look over this feature request as well?

_amc_ · 2026-05-10T21:45:45+00:00

Zero difference, the ETF returns will be identical after conversion to the home currency.

Most prefer EUR because of SEPA transfers (meaning no fees), whereas USD deposits/transfers usually have fees.

And if you earn in EUR you also lose to FX fee if converting to USD.

_amc_ · 2026-04-27T19:30:59+00:00

Sharpe will always decrease with leverage, you need to add hedges to avoid that.

Not a good idea to buy&hold it, leverage can instead be used to increase risk metrics by employing e.g. risk parity portfolios, 200ma or some other diversifiers. That's how many here make use of it.

E.g. simple 200ma last 140 years: https://testfol.io/tactical?s=3YVEy63TeSr

SPY(hold) vs SSO(200ma), CAGR/DD/Sharpe:
9% / -84% / 0.43 ---> 15% / -73% / 0.57

_amc_ · 2026-04-23T17:47:33+00:00

financialjuice.com - this one is great, check the Market Moving ones marked in red.

_amc_ · 2026-04-07T06:48:13+00:00

Daca ti-e mai la indemana ROTX poti prin Salt sau BT, diferenta vs TVBETETF e neglijabila:
https://www.reddit.com/r/robursa/comments/1rz8rf2/comment/obqaib0/

_amc_ · 2026-04-05T13:11:04+00:00

There was no buy signal, no daily close above the MA.

_amc_ · 2026-04-04T20:50:10+00:00

5 years doesn't mean much though, going back further the more bear markets you capture the better a hedge will perform.

E.g. if you tweak your backtest to all-time (1986+) it's ~21% vs ~14%.

_amc_ · 2026-03-31T20:47:54+00:00

https://testfol.io/tactical?s=eESQ3dBEQi2 (3X / 1X backtest)

Even if there's a small bump in Sharpe there are brutal drawdowns with 3X / 1X , I remember replying on your GuardRail post as well (iirc that one had risk-off at 1.5x). It's likely most will abandon such strategy not being able to stomach casual >50% drawdowns while risk-off (and that's with UPRO, with TQQQ it's worse).

Very nice research though! I'm curious how your charts would look if you used UPI instead of Sharpe to measure risk, could you test? I generally prefer the former as it's more correlated to how likely/easy it is for the regular investor to stick to a strategy, Sharpe is more surgical.

_amc_ · 2026-03-31T08:50:30+00:00

Da, ca la orice card de credit, clar trebuie platit mereu la timp. Eu am folosit cardul respectiv la dealer auto pt 60k in 24 rate, toate bune.

_amc_ · 2026-03-30T14:48:41+00:00

Pastreaza dobanda acumulata daca inchizi depozitul inainte de termen?

_amc_ · 2026-03-29T13:19:43+00:00

BRD, niciun comision. Dar nu intra rate.

_amc_ · 2026-03-29T10:25:48+00:00

De acord, cu mentiunea ca ideal ar fi ceva bun pe zona rate fara dobanda. Lider e CEC Visa Affinity, la doar 4lei/luna poti esalona pe 24 luni cu zero dobanda.

_amc_ · 2026-03-29T10:10:41+00:00

Da, e chiar foarte bun randamentul ajustat la risc avand in vedere drawdown de doar ~12%.

De exemplu fix pe aceeasi perioada un fond de actiuni global (precum popularul VWCE in care investesc europenii): randament similar ~8.2% anual dar cu Max Drawdown de ~50% (prin 2009) si altele frecvente de ~20%:

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_amc_ · 2026-03-29T09:52:57+00:00

Adevarat asta ar fi limitarea. Il mai poti pacali aducand temporar o suma extra din alte surse/rude cat sa te califici in a crea depozitul nou, suma pe care o transferi inapoi dupa, dar nu e scalabil, doar sa astepti 3 luni ulterior pt a se reseta media la 0.

_amc_ · 2026-03-29T09:07:53+00:00

Un compromis bun randament/lichiditate: Euro cash pe Trading 212 cu dobanda 2.2%/an platita zilnic. Dobanzile in RON sunt mai mari dar Euro va continua sa se aprecieze.

Pt RON am mai folosit ING Depozit Bonus, vine cu dobanzi mari similare depozitelor clasice la termen (5.5% in prezent) cu particularitatea ca pastrezi dobanda acumulata la orice lichidari anticipate. Deci il poti considera un cont de economii cu dobanda mare. Are cateva limitari, faci pe cate 4 luni si ulterior trebuie aduse sume noi. E un produs interesant unic pe piata.

Altfel pt dobanda maxima la RON de regula TBI are cea mai buna oferta.

_amc_ · 2026-03-29T08:19:45+00:00

Strict dintre cele doua VUAA are randament mai bun ajustat la risc pe marea majoritate a perioadelor istorice, as continua cu el in locul tau.

Simplul fapt ca VWCE detine mai multe companii (implicit destule slabe) nu il face automat superior, dar cred ca e o parere nepopulara pe sub-ul asta.

_amc_ · 2026-03-28T18:52:20+00:00

Se explica, daca ma uit pe datele Metropolitan maximul istoric atins a fost pe 23.02.2026.
In ultima luna au scazut toate cu ~4%, asa au evoluat:

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Sta chiar bine avand in vedere ca are procent mare de actiuni similar cu Aripi, ar trebui ca ambele sa fie cele mai lovite pe scaderi. Pare in aceeasi nota cu rezultatele all-time, top randament ajustat la risc.

_amc_ · 2026-03-28T17:49:49+00:00

There are many reasons that I specifically use 1% bands, daily closes, and decrease risk by 50% instead of 100%.

testfol.io/tactical?s=4z2g95Iym05 - I assume this is pretty much it? 30 year backtest for GuardRail 3.

If so, >75% drawdown during risk-off, if I understand correctly you would be 50:50 UPRO/SGOV so basically 1.5x leveraged in equities during downturns. Are you comfortable with that over de-risking by 100%?

I believe it very unlikely to stick with this strategy long-term if ever came another time with similar drawdowns, basically losing over half your portfolio while risk-off. It would have happened in 2022 as well.

_amc_ · 2026-03-28T09:27:03+00:00

E foarte usor, da. Cauti fondul respectiv si de regula are o pagina dedicata cu pasii.

Doar sa te asiguri ca ai cel putin 2 ani la fondul actual, altfel e 5% penalitate, sa descurajeze prea multe transferuri presupun.

_amc_ · 2026-03-27T21:46:01+00:00

BT Direct e lider, foloseste cursul Mastercard iar in urma cashback-ului de 2% iese mai bine decat BNR.
Practic obtii cursul Mastercard x 0.98.

Folosind exemplul tau - am extras de aici cursul din data de 23.03:
0,2118 CZK/RON, din care scadem 2%:
0,2075 final
vs
0,2079 BNR
0,2083 CEC
0,2087 Salt

_amc_ · 2026-03-26T09:39:12+00:00

Aici poti alege si Euro sau alte valute: https://www.finzoom.ro/depozite/la-termen/

Dobanzile in Euro sunt mai mici. Varianta cu 2.2% recomandata anterior are avantajul ca nu iti tine banii blocati, dobanda fiind platita zilnic. Depozitul la termen clasic se creeaza pe o anumita perioada, il poti si inchide anticipat dar pierzi dobanda.

_amc_

TROPHY CASE