A fun questions for quants: if I tell you that I have a 5 sharpe strategy, how much data do you need to believe it? How would you go about expressing that it is reliable?
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Replying to @o_wutang
First I would ask how many parameter combinations you tried to come up with the strategy.
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Replying to @macrocephalopod @o_wutang
Also the length of the backtest (in years).
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Replying to @macrocephalopod @o_wutang
Would this also depend on the frequency of strategy as well?
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macrocephalopod Retweeted macrocephalopod
Yes -- tried to explain a bit herehttps://twitter.com/macrocephalopod/status/1359810762991144962?s=20 …
macrocephalopod added,
macrocephalopod @macrocephalopod
This is a really interesting question, and of massive practical importance if you are managing systematic strategies. To generalize a bit -- someone tells you they have a strategy with a Sharpe of S. What questions should you be asking about the strategy to verify that it's real? https://twitter.com/o_wutang/status/1359686542466445312 …
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2:26 AM - 11 Feb 2021
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