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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.
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.
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.
comment Computing FX forward delivery dates
Great, thanks Phil
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?
comment Optimality of Kelly criterion in non-normal environment
That's not an issue, it generalizes easily to a continuous distribution. The danger lies instead in not knowing the precise distribution of your returns. There's an excellent summary of the good and bad properties of the Kelly Criterion here:…