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| bio | website | |
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| visits | member for | 4 months |
| seen | 5 hours ago | |
| stats | profile views | 45 |
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May 9 |
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Best way to store hourly/daily options data for research purposes @Freddy: Thanks, Freddy. Please read point (2). It's expensive to colocate your persistence server and the trade-off is unnecessary for the OP since his latency/bandwidth objectives are not just smaller by several orders of magnitude, it's smaller by astronomical orders of magnitude (28 per second vs 30,000,000 per second). |
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Apr 17 |
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Best tool to generate cashflow diagrams Yes I could, but it appears from his question that he asked for a good tool, not specific commands. |
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Mar 8 |
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Predict Market Direction, What is forecastable/unforecastable? Just adding my opinion that this sounds like a homework question so you might not get your desired answer. I'd consider giving some intuition behind your question. |
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Feb 3 |
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Kelly criterion and Sharpe ratio Thanks, Freddy. |
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Feb 3 |
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Kelly criterion and Sharpe ratio (1) I agree that the Kelly formula has no place in standard practice, but this is off-topic. (2) However, with regards to the jessica's question, there is an intuitive relationship and it is well-defined in the original literature (edwardothorp.com/sitebuildercontent/sitebuilderfiles/…, equation 7.3) though glossed over because it is akin to redundant substitution. I should point out to you that the Sharpe ratio is defined as the excess return over the standard deviation of return. |
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Feb 3 |
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Kelly criterion and Sharpe ratio Few comments. (1) Excess returns, volatility and position sizing should not be looked at separately. (2) There is logical intuition that drives the relationship between the Sharpe ratio and the Kelly leverage; you want to increase your allocation to a strategy that you believe to have better risk-adjusted returns (Sharpe ratio). (3) In mathematics, when you derive a theorem or equation, then it holds. You cannot ignore the relationship between its variables on the basis of emotion, opinion or religion as suggested. You can, however, challenge the assumptions and steps of your derivation. |
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Feb 3 |
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Kelly criterion and Sharpe ratio Maximum compounded growth rate of your portfolio. – |
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Feb 3 |
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Kelly criterion and Sharpe ratio Yes, your Sharpe ratio changes with the volatility of returns. That's why a corollary of the Kelly criterion requires you to rebalance your portfolio constantly. The continuity comes from the continuity of prices - a "loss" can be perceived as a continuous range of outcomes where your exit price is {0 ticks + commissions, 1 tick + commissions, 2 ticks + commissions, ...} less than your entry price. The probability of the outcome is implicit in $S_i$ and $\sigma_i$, which specify the probability distribution. |
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Jan 29 |
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How fast is QuickFix ? You're welcome. Thank you very much for compiling those results. |
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Jan 29 |
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How fast is QuickFix ? I noticed a typo in your tables. "Average µs/msg" should read "Average s/msg". |
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Jan 26 |
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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 |
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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 |
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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 |
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How do you estimate the capacity of a strategy from historical data? Awesome, thank you! |
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Jan 25 |
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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. |
