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Sharpe ratio: What a good one looks like on real data
The Sharpe ratio is the return you earned above cash, divided by how much the returns swung. Holding the S&P 500 with dividends since 1988 has given…
Stocks. Options. Futures.
Trader Markus
A trader’s notes on US stocks, options, futures, forex and crypto: technical analysis, risk management and trading psychology, with the stops and targets shown.
The Setup Lab · leaderboard Classic chart signals, backtested on real daily data. Ranked by how each did against simply holding the same market.
- 1 Fibonacci 61.8% bounceEUR/USD · 2004–2026 1.5%Per year −0.4%Buy & hold 57%Win rate −10%Max drawdown
- 2 Ichimoku cloudEUR/USD · 2004–2026 −0.41%Per year −0.44%Buy & hold 32%Win rate −28%Max drawdown
- 3 Golden crossS&P 500 · 1970–2026 7.5%Per year 8.4%Buy & hold 81%Win rate −34%Max drawdown
Long only, no costs, signals on the close, trades at the next close. Past results don’t predict future ones. All tests and the method
Weekly levels · week of Nov 9, 2026
The levels I’m watching this week
S&P 500, Bitcoin, gold and EUR/USD: the trend, two supports and two resistances, and what would change the picture. Last week’s levels are scored in public.
See this week’s levels- S&P 5007,377MixedR17,422S17,334
- Bitcoin74,725MixedR176,248S173,591
- Gold4,074.9DowntrendR14,100.0S14,046.2
- EUR/USD1.1228DowntrendR11.1275S11.1200
Latest writing
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Blog
Head and shoulders pattern: I tested 70 of them
The head and shoulders is the best-known reversal pattern in technical analysis: three peaks, the middle one highest, and a break of the neckline is…
Blog
Doji candle: What 12 years of S&P 500 and Bitcoin data show
A doji candle is a day that closes almost exactly where it opened. Textbooks call it indecision and say that after a rally it can warn of a turn. I…
Blog
Leveraged gold ETF: What 2x gold really returned since 2008
A leveraged gold ETF like ProShares Ultra Gold (UGL) aims for twice gold’s daily move, not twice its long-term return. Since it launched in December…
Blog
Stock market correction: every 10% drop since 1950
A stock market correction is a fall of 10% or more that stops before 20%. Since 1950 the S&P 500 has had 29 of them, about one every 2.6 years. The…
Blog
Sharpe ratio: What a good one looks like on real data
The Sharpe ratio is the return you earned above cash, divided by how much the returns swung. Holding the S&P 500 with dividends since 1988 has given…
From the book library
All 72 reviews
Psychology
Fooled by Randomness
Recommended — about bias, probability and luck; newer traders should read it twice.
Interviews
Unknown Market Wizards
I enjoyed it and recommend it; fans of earlier Market Wizards books will be eager.
Psychology
Trading in the Zone
There are more good insights; I recommend it if you want to trade in the zone.
Systematic Trading
Stocks on the Move
An educational read if you want to study systematic momentum trading in stocks.
Lessons Learned
All 35 lessonsDrawdowns are like scars showing that we have survived
Drawdowns are an inevitable part of taking risk; surviving them within expected ranges is nothing to regret.
Every trading strategy has drawdowns
Accounts are in drawdown most of the time; know your strategy's expected distribution and stick with it.
Focus on process, not results
Market outcomes are random; follow your trading plan and judge the process rather than individual results.
Live to fight another day
Take small losses to preserve capital so you can make big profits when the right time comes.
Cut losses quickly, let profits run
Respect your plan's profit targets, and exit losing trades quickly; re-entry is only a commission away.
About
I read the chart, and the chart tells me where I’m wrong.
About ten years in the markets, trading US stocks, options, futures, forex and crypto. The tools, the tests and the mistakes are all on this blog.