[smabie]

Returns don't matter. People always compare strategies to the S&P 500's return, but it doesn't make any sense. In finance, strategies are compared on their Sharpe ratio, not on their returns. This is because leverage can be applied to make the returns better. For example, if you had a strategy that, unlevered, returned 5% with 2% volatility, that would be pretty amazing. If you wanted, you could lever up 4x and get around 20% return and 8% volatility (though, it's not that simple, since you are going to pay a volatility tax, but we'll ignore that).

Another thing to look at is correlation to the market. The less correlated to the market your strategy is, the more valuable it is. This is because investors like uncorrelated strategies. For example, lets say you have n strategies, each with a volatility of sigma and mean return of mu. Allocating all of your money to one strategy or two or all of them won't change your return, it will still be mu. But if the strategies are uncorrelated, and you equal weight each one, your vol will be sigma/sqrt(n) and your return will be mu. This is the essence of Modern Portfolio Theory (MPT): add as many uncorrelated assets that you can.

In no particular order, here's a list of things that matter when evaluating an (equity) strategy: turnover, size of alpha being exploited, Sharpe ratio, correlation to market and sector, correlation to style factors (value, momentum, oil, etc), and net exposure (long or short).

[nv-vn]

I mentioned the idea of adjusting for risk in the GP post, though you are correct that I didn't call out any specific measure like the Sharpe ratio by name. If your risk-adjusted returns are worse than S&P 500 then obviously leverage isn't going to fix that problem. Simply put, I don't think OP's strategy really has any of these desirable features like a good sharpe, market neutrality, low exposure, etc. I think OP is just naively building a portfolio based on price predictions extrapolated from price data, and it happens to work in a bull market. Since OP probably doesn't have the resources to really evaluate risk (good simulation tools, good historical data sets, & even the industry know-how of how to look at risk) it seems rather meaningless to hear "I used to have very good returns."

Apologies if I misinterpreted your comment, just my thoughts when reading it.

[smabie]

I guess all I'm saying is that a strategy that has a worse Sharpe ratio than the market but zero correlation could still be valuable to a lot of investors for the same reason that sometimes it makes sense to add a asset to your portfolio that lowers your expected return. It's possible that that one strategy with the worse Sharpe ratio when combined with your pure beta investments would yield a portfolio with a better Sharpe ratio than either allocation alone.

[nv-vn]

That's an interesting point that I didn't really consider. Thanks!