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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 10 months |
| seen | Apr 8 at 1:52 | |
| stats | profile views | 29 |
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Aug 23 |
answered | Python library for Portfolio Optimization |
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Aug 23 |
comment |
How to normalize different instruments by volatility? Mathematically they aren't equivalent at all. Returns can be stationary processes and levels can not (as the integral of a stationary process is not stationary) -- therefore volatility measures simply can not be equivalently descriptive for returns and levels. See this SE question for more, including helpful pictures. |
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Aug 23 |
comment |
Appropriate method for calculating negative returns on a trading strategy? @Freddy I can't tell if you're joking... so let's start with round numbers. (A) A stock is at \$100 and moves to \$99. It is now -1% from its previous value. Agree? Of course you do, because 100 * (1 + -0.01) = 99. (B) Now with the numbers from your answer: An equity balance moves from 5.2735 to 4.3922. The new value is -16.71% lower than the old. Let's check your work: 5.2735 * (1 + -.1671) = 4.3922. (C) Now my numbers: A negative equity balance starts at -7.30 and moves to -7.18. It is therefore -1.64% from its starting place. Let's prove it: -7.30 * (1 + -.0164) = -7.18. |
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Aug 22 |
awarded | Supporter |
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Aug 22 |
comment |
Appropriate method for calculating negative returns on a trading strategy? Freddy, can you be more specific? I see I overlooked a negative sign in the third paragraph, but that's not a calculation -- Since the only percent I do calculate is unquestionably -1.64%, is it possible that you are confusing my natural logs for base-10 logs? That's pretty standard notation. |
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Aug 22 |
awarded | Editor |
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Aug 22 |
revised |
Appropriate method for calculating negative returns on a trading strategy? Added missing negative sign to -7.30 in third paragraph |
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Aug 22 |
answered | Appropriate method for calculating negative returns on a trading strategy? |
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Aug 21 |
awarded | Teacher |
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Aug 21 |
answered | Implied forward rates puzzle |
