For my core trading strategy, I have written and evaluated many rules over the past year. Only two has really withstood the test of time. One of them is: Trade what you know, and avoid marginal trades. My system is based largely on qualitative analysis, so it doesn't lend itself to hard ruels.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Trying to make it on my own
- Thread starter doublet83
- Start date
For my core trading strategy, I have written and evaluated many rules over the past year. Only two has really withstood the test of time. One of them is: Trade what you know, and avoid marginal trades. My system is based largely on qualitative analysis, so it doesn't lend itself to hard ruels.
Quote from Soon2Bgreat:
What are you seeing for volatility?
...Stern huh, what are the burgers like at West 3rd Common?
I posted my equity curve in the first post. Those show you daily p/l from the core strategy, assuming I traded that day. That should give you a good sense of volatility.
As for my long term strategy..well I have about 30 positions. Average position size about 3% of total account value. TZOO previously was one of the largest at around 7.5% of account value, it was also one of the most volatile. Currently have 60% net long exposure. This is just your traditional L/S portfoilo.
As for my new quant strategy..I'm long and short about 300k respectively. However, its beta neutral and sector neutral, spread across many trades. Only seeing about 300 to 800 dollars of swing a day on average so far. Yesterday was the worst day with a 2k drawdown when two of my longs hit bad earnings.
The burgers aren't really the most memorable thing about Stern..
When I did eat school food I usually ate at Hayden or Weinstein. If I remember I think they outsourced partly to Burger King at Weinstein. Why do you ask?
Quote from doublet83:
what do you base that on? I don't appreciate being called a liar
Ok - then expand on how you achieved/measure beta neutrality (this must be easy given your 'quant' strategy) and how/why you think West 3rd has anything to do with NYU.
...or better yet, simply the standard deviation of your returns.
Quote from Soon2Bgreat:
Ok - then expand on how you achieved/measure beta neutrality (this must be easy given your 'quant' strategy) and how/why you think West 3rd has anything to do with NYU.
...or better yet, simply the standard deviation of your returns.
What's so complicated by being net neutral on a beta adj. basis. The simple idea is that you can be long 100 value of one stock and short 100 value of another and still have macro risk since one stock has more beta than the other. The idea is if one stock has a beta of 2, and another has a beta of 1, to hedge your self from macro risk you would short 50 dollars of high beta stock for every long 100 dollars of low beta stock. I also use an adj beta which I feel is more accurate.
Std dev is not something I care to calcuate. I know my drawdowns and win loss ratios and profit factor.
West 3rd or west 4th, fact of the matter is that NYU has dorms all across manhattan, down from fidi to 30th street. Tish hall isn't even on west 4th.
I suppose I should expect rude sketicism from people like you. I will tell you that Stern is not that great or selective of a school, and I have no reason to lie about going there. You will have more reason to be skeptical when I post my overall results this month, I assure you.
If you really think I did not go to Stern, I am willing to bet you 10k that I did. We can forward the money to a reputable 3rd party escrow service that we both agree upon, and they will transfer the funds to the winner of the wager after they verify my diploma, and transcripts.
Fine, I'll try a different tack and give you the benefit of the doubt. What I'm interested in is comparing your sharpe to your profit factor and knowing over what timeframe you calculate beta. That's all.
...as for adjusted beta, I'm not sure that makes sense to use in this context and probably underestimates your risk.
...as for adjusted beta, I'm not sure that makes sense to use in this context and probably underestimates your risk.
I don't like to sharpe or st dev as a measurement of risk for various reasons.
Lets say you have two strategies. In one strategy you take small losses quickly but let your winners run. In the other strategy you let both losers and winners ride until your strategy gives you an exit signal.
The returns would look something like this, in returns by trade
strat 1, strat 2
(2.0) 5.0
(1.0) (3.0)
(1.0) 7.0
(2.0) (5.0)
19.5 3.0
(1.0) (4.0)
(2.0) 7.5
Both have a average return of 1.5%. However the first strategy has a higher standard deviation, at 7.95% vs 5.38%. Does this mean strategy one is the riskier strategy? I think most agree since you are capping your losses, that it is in fact the less risky strategy.
Also, there is an issue of what time period to us. If I calculate the daily returns of my core trading strategy and compound them, I would be at about 900% returns over a 2 year period so far. However, this grossly overestimates the true return potential of this strategy, since the capital that can be deployed is limited during any day. Some days, I don't see good trades and I only deploy 30k, while others I see a lot of good trades and I deploy 600k.
I may just post my daily returns and capital deployed in the future so if I do this, you can calculate anything that you want.
Lets say you have two strategies. In one strategy you take small losses quickly but let your winners run. In the other strategy you let both losers and winners ride until your strategy gives you an exit signal.
The returns would look something like this, in returns by trade
strat 1, strat 2
(2.0) 5.0
(1.0) (3.0)
(1.0) 7.0
(2.0) (5.0)
19.5 3.0
(1.0) (4.0)
(2.0) 7.5
Both have a average return of 1.5%. However the first strategy has a higher standard deviation, at 7.95% vs 5.38%. Does this mean strategy one is the riskier strategy? I think most agree since you are capping your losses, that it is in fact the less risky strategy.
Also, there is an issue of what time period to us. If I calculate the daily returns of my core trading strategy and compound them, I would be at about 900% returns over a 2 year period so far. However, this grossly overestimates the true return potential of this strategy, since the capital that can be deployed is limited during any day. Some days, I don't see good trades and I only deploy 30k, while others I see a lot of good trades and I deploy 600k.
I may just post my daily returns and capital deployed in the future so if I do this, you can calculate anything that you want.
End of July update
July Results
Core trading strategy +84k
New Pairs Strategy -0.4k
Long Term Strategy -2.6k
YTD Results
Core trading strategy +309k
New Pairs Strategy -0.4k
LT STrategy +28.8k
Other discontinued Strategies -11.5k
Solid month for the core trading strategy, with +84k being the second most profitable month ever. The month was highlighted by an incredible week around the start of earnings season, marked by the sharp uptick in the updated equity curve that I have attached. Overall, there remains to be a lot of work to be done, as there were many missed opportunities from names that I still need to ramp up coverage on. Additionally, I should note that I am currently expericing a very tough day today, down over 10k in the core strategy, that is not reflected in these results as of yet. However, this does not change the overall feeling of relief that comes from having a good month after 3 months of modest profitability.
While the new pairs strategy was down slightly, I was significantly adversely impacted by earnings with about 6 earnings events hurting me while 1 benefited me. I esimate that this strategy would be up 6k if not for the impact of these earnings, which would be above plan. While these earnings should go just as likely to be positive as negative, I will probably seek to minimize my exposure to earnings events to avoid this source of volatility.
Not much to say about the long-term strategy. I do not have much time to devote to this strategy this year so maybe I will decide pare back on holdings.
July Results
Core trading strategy +84k
New Pairs Strategy -0.4k
Long Term Strategy -2.6k
YTD Results
Core trading strategy +309k
New Pairs Strategy -0.4k
LT STrategy +28.8k
Other discontinued Strategies -11.5k
Solid month for the core trading strategy, with +84k being the second most profitable month ever. The month was highlighted by an incredible week around the start of earnings season, marked by the sharp uptick in the updated equity curve that I have attached. Overall, there remains to be a lot of work to be done, as there were many missed opportunities from names that I still need to ramp up coverage on. Additionally, I should note that I am currently expericing a very tough day today, down over 10k in the core strategy, that is not reflected in these results as of yet. However, this does not change the overall feeling of relief that comes from having a good month after 3 months of modest profitability.
While the new pairs strategy was down slightly, I was significantly adversely impacted by earnings with about 6 earnings events hurting me while 1 benefited me. I esimate that this strategy would be up 6k if not for the impact of these earnings, which would be above plan. While these earnings should go just as likely to be positive as negative, I will probably seek to minimize my exposure to earnings events to avoid this source of volatility.
Not much to say about the long-term strategy. I do not have much time to devote to this strategy this year so maybe I will decide pare back on holdings.