Invent another Ivory Tower metric that leads traders down the garden path of destruction, no doubt.
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Should I cut position size on Monday?
- Thread starter macintash
- Start date
Invent another Ivory Tower metric that leads traders down the garden path of destruction, no doubt.
i think i've seen great advice given based upon the input received.
without knowing more about what you are doing, simply posting here asking a group of strangers what you should do further, i think the range of answers you've gotten could serve you well for the price paid.
i was being honest with my reply. from your other thread, i have assumed you would like to keep your Sharpe ratio up. if you think volatility is going to rise and/or the market roll over here, what would you need to do to tweak your system and/or portfolio to keep up to your goals if this should happen?
again, without knowing what you are actually doing, and since you are only offering us "cutting position size" as an option for change, there are really two choices here; pull the trigger or watch. since you are posting about it here, that says enough about your concern, that's the only real data point we have to go on.
without knowing more about what you are doing, simply posting here asking a group of strangers what you should do further, i think the range of answers you've gotten could serve you well for the price paid.
i was being honest with my reply. from your other thread, i have assumed you would like to keep your Sharpe ratio up. if you think volatility is going to rise and/or the market roll over here, what would you need to do to tweak your system and/or portfolio to keep up to your goals if this should happen?
again, without knowing what you are actually doing, and since you are only offering us "cutting position size" as an option for change, there are really two choices here; pull the trigger or watch. since you are posting about it here, that says enough about your concern, that's the only real data point we have to go on.
I don't understand how someone who is talking about maintaining Sharpe > 4+ is coming to us asking what they should do in terms of risk management/position sizing in what is frankly a minor "blip" in terms of market volatility.
2008 makes this pullback look like a gentle pat on the head. Were you actively trading in 2008? Anyone who survived that (I mean didn't blow up, not just start over from scratch) would:
A. Not be pondering/expecting Sharpe ratios > 4 for any extended period of time unless you are selling convexity or you have a structural/arb/hft advantage.
B. Wouldn't be coming on here asking us what to do when they see volty lighting up (ever so slightly), they would already know what to do based on the trading 2008 - the worst market environment in the last ~80 years.
2008 makes this pullback look like a gentle pat on the head. Were you actively trading in 2008? Anyone who survived that (I mean didn't blow up, not just start over from scratch) would:
A. Not be pondering/expecting Sharpe ratios > 4 for any extended period of time unless you are selling convexity or you have a structural/arb/hft advantage.
B. Wouldn't be coming on here asking us what to do when they see volty lighting up (ever so slightly), they would already know what to do based on the trading 2008 - the worst market environment in the last ~80 years.
Quote from TD80:
I don't understand how someone who is talking about maintaining Sharpe > 4+ is coming to us asking what they should do in terms of risk management/position sizing in what is frankly a minor "blip" in terms of market volatility.
2008 makes this pullback look like a gentle pat on the head. Were you actively trading in 2008? Anyone who survived that (I mean didn't blow up, not just start over from scratch) would:
A. Not be pondering/expecting Sharpe ratios > 4 for any extended period of time unless you are selling convexity or you have a structural/arb/hft advantage.
B. Wouldn't be coming on here asking us what to do when they see volty lighting up (ever so slightly), they would already know what to do based on the trading 2008 - the worst market environment in the last ~80 years.
You are raising a legitimate point, will answer. Havenât traded in 08. Found a specific edge last year; start using it consistently this year. So far this year Sharpe is over 6 (with 35%+ return), can I keep Sharpe 4 over for rest of yr? Definitely seems like a real possibility.
Two days ago you were saying...
"However since it seems market is very volatile, it makes it harder to perdict how good the hedge will hold, so I cut position size by 5% on Friday. The question is if I should become more aggressive on Monday and cut an additional 20 % in size."
Now you were predicting a bounce?
"However since it seems market is very volatile, it makes it harder to perdict how good the hedge will hold, so I cut position size by 5% on Friday. The question is if I should become more aggressive on Monday and cut an additional 20 % in size."
Now you were predicting a bounce?
Quote from Random.Capital:
Two days ago you were saying...
"However since it seems market is very volatile, it makes it harder to perdict how good the hedge will hold, so I cut position size by 5% on Friday. The question is if I should become more aggressive on Monday and cut an additional 20 % in size."
Now you were predicting a bounce?
Look on my last post from yesterday afternoon (seems like you have a lot extra time, this is probably your sixth post here like âclose 100% of your positionsâ etc.). In any case I cut 2% of my position today, will probably cut a little more tomorrow.
My (probably worthless) opinion is: Become obsessed with understanding what might break this edge you've found, how to detect it is breaking, and when (not if) it breaks (even if just temporarily), what is going to happen to you at X size when it breaks in a catastrophic way.
Then position/operate according to the principle of last man standing rather than best risk/return metric. Or you can go right out on the bleeding edge of optimal F and take the opposite side of my opinion..to each his own.
Then position/operate according to the principle of last man standing rather than best risk/return metric. Or you can go right out on the bleeding edge of optimal F and take the opposite side of my opinion..to each his own.
Quote from macintash:
You are raising a legitimate point, will answer. Havenât traded in 08. Found a specific edge last year; start using it consistently this year. So far this year Sharpe is over 6 (with 35%+ return), can I keep Sharpe 4 over for rest of yr? Definitely seems like a real possibility.
Quote from AAAintheBeltway:
Two thoughts. If we learned anything during the financial crisis, it is that correlations go out the window in a true shitstorm. Long-short strategies are vulnerable because the smart money often have similar positions.
Too true.
Also long-short strategies are never neutral, nor are they ever hedged. Sure, a long-short trade has generally taken the directional risk out of the market but you've swapped that risk for the risk or 2 shares moving against each other, and that risk can be very large as many have found out over the years.
Long-short strategies can also offer false security in that because there's little risk taken on the outright market the player thinks his strategies are generally safe and low risk. Most of the time they are just that, until they're not....