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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 4 months |
| seen | 38 mins ago | |
| stats | profile views | 55 |
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Jan 29 |
awarded | Editor |
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Jan 29 |
revised |
Empirical or theoretical quant insights that have shaped your thinking? Corrected spelling |
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Jan 26 |
comment |
How do you estimate the capacity of a strategy from historical data? I think I've asked you in reasonably good tone and gesture to keep the discussion meaningful (e.g. not a false claim that "...it's impossible to..."). I appreciate the time you've taken to reply and apologize if you've taken personal affront. |
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Jan 26 |
comment |
How do you estimate the capacity of a strategy from historical data? The quantity that can be traded on the strategy's signals while the marginal revenue exceeds the marginal cost. I apologize but the term is ubiquitous and I did not expect to have to define it further. I have to ask that you kindly resist making unmeaningful comments on my question. It's clear that it is possible to proceed with this discussion without supplying further information; I've already pointed out general ways in which to do this, and it is certainly possible for me to give further elaboration on these approaches even without knowing the strategy specifics. |
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Jan 26 |
comment |
How do you estimate the capacity of a strategy from historical data? I agree that knowing the other constraints imposed (e.g. risk capital, instrument class, holding period) are important. But these steps are relatively trivial. I've gone through the steps up until the last bullet point and have a strategy and an idea of the returns and risk measures to expect. Most people get up to this step and don't have to worry because there is plenty of capacity in the strategy. But especially if your SR is high, I've found that capacity tends to be low and estimating the capacity of the strategy from market impact and historical order flow is nontrivial. |
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Jan 25 |
comment |
How do you estimate the capacity of a strategy from historical data? Awesome, thank you! |
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Jan 25 |
comment |
How do you estimate the capacity of a strategy from historical data? Yes, I wanted to use my own separate account from my boyfriend's stackoverflow account, in case I wanted access outside of home. Please let me know if it's in violation of any user policies. |
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Jan 25 |
awarded | Student |
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Jan 25 |
asked | How do you estimate the capacity of a strategy from historical data? |
