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macrocephalopod's profile
macrocephalopod
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@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 11 Feb 2021

      macrocephalopod Retweeted Tong

      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 …

      macrocephalopod added,

      Tong @o_wutang
      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?
      Show this thread
      3 replies 14 retweets 62 likes
      Show this thread
    2. Tong‏ @o_wutang 11 Feb 2021
      Replying to @macrocephalopod

      right on. strategies come and go in systematic trading no need to freak out about a 12 sharpe as long as it's reliable, and the focus here is the quant aspect of "why".ofc there are qualitative fun facts eg. friend had one strategy went from 12 to 0 when reg NMS kicked in in 2007

      1 reply 0 retweets 1 like
      macrocephalopod‏ @macrocephalopod 11 Feb 2021
      Replying to @o_wutang

      The nice thing about strategies that supposedly have a Sharpe of 12 is that you can just start trading them in small size and it becomes clear very quickly whether their true Sharpe is 12 or not!

      10:35 AM - 11 Feb 2021
      • 3 Likes
      • SwissQuant 🇨🇭🇪🇺 🇩🇪 🇺🇦 Tong
      0 replies 0 retweets 3 likes

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