MichaelJ
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 Oct 10 comment What is an acceptable Sharpe Ratio for a prop desk? I believe that daily is most common. Intraday would require some kind of mark-to-market accounting of open positions, which opens up a pandora's box. Should positions be marked to prices at near-side of book? far side? midpoint? What if the position is larger than the quotes on the top level? Intraday strategies can have high Sharpe ratios while earning less than one minimum tick size per trade so estimates will depend very strongly on the procedure used. There is no such ambiguity for daily profits when not holding overnight. Oct 9 answered What is an acceptable Sharpe Ratio for a prop desk? Nov 21 awarded Yearling Nov 21 answered What math concepts are used in designing volatility models Sep 24 awarded Autobiographer Jun 30 awarded Revival Jun 30 answered How to better understand trading signals? Jun 30 answered Distribution of profit/loss for retail traders in FX Jun 30 answered Does mean-variance portfolio optimization provide a real edge to those who use it? Jun 30 answered Do hedge fund trading desks use portfolio optimization? Jun 12 comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians Richard- I didn't write $E\{...\}$ for any distributions. Also, I don't understand what your point is RE: $\mu_0 = \mu_1$. In that case the solution is a constant, but this is just a special case. In any event, since the OP is trading based on an HMM, it is quite unlikely that $\mu_0 = \mu_1$ here. Jun 12 awarded Editor Jun 12 comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians Added detailed proof of Sharpe ratio <> mean-variance equivalence. This is a standard result though. Jun 12 revised Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians Explained Sharpe ratio optimization step Jun 12 comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians Richard- The forward backward algorithm is exact, so no. Jun 12 answered Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians Jun 12 answered Determining optimal trading signals (buy/sell) from past data Jun 10 awarded Supporter Jun 10 answered Directional/Non-Directional Risk Jun 10 answered Why shrink the covariance matrix?