A sharpe of 4 is ok. Most "HFT" type strategies have sharpes so high they don't talk about sharpe anymore as it is meaningless. It is simply a different type of

A sharpe of 4 is ok. Most "HFT" type strategies have sharpes so high they don't talk about sharpe anymore as it is meaningless. It is simply a different type of trading. See Virtu's pnl distribution in their S1. As a point of reference, Blair Hull is on record saying they are interested in nothing below a sharpe of 10 (r-finance talk, should be googleable).