The Sharpe for SPX index for the first 2 months of the year is 9. It is very abnormal. Historically the Sharpe for equity mkt as a whole is about...
I am pretty sure standard DF test is for confidence, ie you cannot reject at 5% / 10% / 1% confidence interval. I have trade pairs for over 3...
i think for spx is more like 9...
do not look at dollar spread. it is not beta neutral. look at the spread in log prices.
cointegration is like pregnancy. either cointegrated or no. there is no such thing as 90% cointegrated. you either reject or not reject. maybe...
It costs me $4-5000 a month to raise two kids and I would not replace them with anything. Pets serve similar purpose. You cannot measure it with...
If your model is intraday and your holding period is measured in minutes or hours, two year of data is not too bad. There were plenty of...
Two things might help: 1. Kelly betting is proportional. As you account bal increases, your betting size goes up with it. You can do as...
+5k njrookie
atticus, I understood sharpe for selling vol or selling skew is not a good measure since you blow up acct when the tail events hit you....
Medallion does not take outside money. I think just like HFT firms they are capacity constrained. It is not like they do not want to have a bit...
The yld makes sense right now. The trouble is further property depreciation. For properties this cheap you cannot get a mortgage. Especially...
RenTech is ~4 Millennium ~2
You can manipulate sharpe. But a good fund is going to have reasonable Sharpe. It is not meaningless, but it is insufficient.
my daily return has positive skewness and positive kurtosis :)
From your equity curve, it does not look very likely that you will keep the high Sharpe. I am not sure whether you are so into it anyway, unless...
You have to limit your max losses, on top of having a reasonable sharpe.
Am I not making sense or this sounds too complex?
add $2.25, it is enough for a one way train ticket :)
80 hours job + daily commute = quick burnout + no time with kids and wife. I need to be paid in 7 figures so I can talk my wife into quitting...
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