Search results

While that might be true in case of psychology, which is (at the introductory level) mostly a descriptive science, there are plenty of things where learning something requires knowing another 5-6 things. A good education takes care of that and makes it easier to learn things on your own. I...

In almost every sub-field of finance, there are things that are hard to learn on your own. Nobody is suggesting that he gets vocational training in "finance". Good education teaches you how to learn. For example, I got a PhD in biophysics and yet look where I ended up. Well, no. Someone...

Interesting. My thinking was that random trading is more or less is a random draw from the market which should asymptote to the distribution of the market. I am guessing that once you start chaining random returns that is not true any more, but it's not intuitive to me yet. Very interesting...

You're gonna be RICH! Can I have an autograph?

You know, this was a question that always interested me and finally you managed to explain it!

Because to be a trader in the modern world you need an education. It does not even matter what type of trading he wants to do, be it global macro, quant or fundamental long/short. He is not going to get exposure to that knowledge on his own. Additionally, if he wants to manage OPM (either as a...

Why not? If nobody has any skill, it becomes a random distribution more or less, with a zero mean. Once you account for the transaction costs, it would make the majority negative, but by a small amount. Not any different than roulette, except with much lower transaction costs. It's a...

Ah! Cross-sectional more or less means that you achieve statistical significance by increasing the number of assets instead of increasing the trading frequency. As an example, when the guy is dating 5 girls at the same time, it's a cross-sectional strategy.

Hmm (waiting for my friends to show up for dinner so bored stiff). In a frictionless world the expectation would be that half makes money and the other half loses it, with the whole group normally distributed. Once you account for the frictions, the mean should get skewed by the average...

Not sure what you mean, but yes, longer hold strategies. Usually in equities or credit (i.e. bonds or preferred stock).

Because equities or bonds are investable assets (so they have real world drifts) while FX is stationary. So you get roughly 50/50 winners and losers, with a small tc scrape

Think of it this way - if you are running a strategy with a Sharpe of 1, you have a real chance of having a down year and still be within the strategy parameters. That’s even without messing up or overriding anything

Do people really believe that anything the government does gets reflected by the longer-term market performance at all? PS. I have a strategy that is trading on the tweets of the Great Leader. SR of 2.2 :)

I would choose death instead!

As a person that trades systematic volatility strategies for a living, I'd say that (a) pure vol strategies are very capital intensive, even with PM or SPAN (b) options are a pain unless you can execute by hand at least some time (c) if you have good directional ideas, it's better to trade them...

LOL, it's hilarious that I was just answering a question in the options section that was more or less dealing with "verification periods" for S/R. Here is a snippet of code that does the opposite - gives you a table of how much time you need to prove to yourself that a strategy's SR is stable...

It's stuff that takes advantage of the market micro-structure in one or another form. Frequently, you'd find stuff that would not be profitable on it's own (e.g. round trip commissions would make it not interesting to players that have better tools) but since you have a longer-term strategy, you...

I can't find your stats (was Sharpe Ratio in there?), but 5 months is not statistically significant as a testing interval unless, so it's possible that your approach works but you pulled out too early.

What's the IR on this strategy? Does not look too smooth to me. The number of time periods that you need to verify a Sharpe ratio with 95% confidence is Q(0.95)^2*(1+0.5*SR^2)/SR^2. PS. Here is a a handy table of performance days needed for different confidence intervals for a range of Sharpe...

Actually, if prospect theory is a guide, most people tend to cut their losses too late and take profits too early. So the above is probably a fair guidance.