1,161 reputation
726
bio website twitter.com/shabbychef
location San Francisco, CA
age 42
visits member for 3 years, 6 months
seen Feb 5 at 18:32

matlab/stats/linux nerd. proud, sleepless, new parent. HCSSiM alum. faking it as a quantitative analyst at a small quant fund in San Francisco.


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comment How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
This is one thing that burns my butter: Sharpe ratios published without units! I cannot tell from Exhibit 2 shown above whether the SRs are monthly, quarterly, or annualized. It matters! (Although in this case, not terribly).
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comment How are risk management practices applied to ML/AI-based automated trading systems
@wonghang at the current point in time you have to decide how to deploy your money over the next time delta. You can use all the data available to you to both select the best model and estimate its performance. If you do so, your estimate of performance is biased upwards 'by selection.' You can instead partition the data into two sets, one for selection, the other for estimation. This increases the chance of making a selection error and increases the standard error on your performance measure. Representation length can easily be confounded by introns, BTW ...
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revised How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
clarify who the target audience is.
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comment How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
@Freddy I don't believe it either, and find it absurd. The number is from a backtest performed by a third party. My job is to convince someone that this figure is suspiciously high. If I just tell them I think it is too high, it is my word against someone else's. This is why I am looking for a published account that, presumably, has been vetted and is representative of achieved performance.
Aug
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asked How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?