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Dec
22
revised How can i build a portfolio of n assets that maximizes sortino ratio?
Fixed links, grammar
Dec
21
suggested approved edit on How can i build a portfolio of n assets that maximizes sortino ratio?
Oct
13
awarded  Yearling
Oct
12
comment What is an acceptable Sharpe Ratio for a prop desk?
I think it comes down to the fact that it's easier to make more reliable short-term predictions than long-term predictions, since there is less chance of interference from other factors not captured by the strategy model. In the special case of arbitrage strategies, the distribution of the returns can be almost non-negative, since you either successfully complete the set of trades and lock in a profit, or you don't.
Oct
11
comment What is an acceptable Sharpe Ratio for a prop desk?
As MichaelJ states below, you can usually expect higher Sharpe ratios for higher frequency, higher turnover strategies. For these strategies, yield becomes far more important than Sharpe. But it's a trade-off: a lower Sharpe ratio strategy that rebalances infrequently (daily or higher) is likely to have a far higher capacity, and give potentially higher returns. The devil is in the details, really.
Oct
9
answered What is an acceptable Sharpe Ratio for a prop desk?
Jun
1
awarded  Popular Question
Feb
25
awarded  Notable Question
Oct
2
awarded  Popular Question
Oct
16
comment Statistical significance of trading systems that use indicators with long lookbacks
I don't think he's talking about quantity of backtesting data, but instead the timespan over which each value of the indicator is taken (the 'lookback'). If this lookback timespan is comparable in size to the backtesting timespan, then there will be strong serial correlation in the indicator.
Sep
7
accepted Computing FX forward delivery dates
Sep
7
comment Computing FX forward delivery dates
Great, thanks Phil
Sep
6
comment Computing FX forward delivery dates
Thanks Phil, I agree there are a lot of factors to consider. However, I was trying to ask: calendar issues and such-like aside, are delivery dates for short dated outrights (say, 1W) computed by 1) adding a week to today, and then adding T+2 business days, or, 2) adding a week to the spot value date?
Sep
6
revised Computing FX forward delivery dates
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Sep
6
revised Computing FX forward delivery dates
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Sep
6
asked Computing FX forward delivery dates
Sep
5
awarded  Editor
Sep
5
awarded  Scholar
Sep
5
accepted Interpolating FX forward points
Sep
5
revised Interpolating FX forward points
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