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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@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. Lily.wav‏ @nope_its_lily 2 Mar 2021

      How do you calculate Sharpe on a position with a dynamic size? Asking for a friend... who is doing something.

      9 replies 0 retweets 19 likes
    2. macrocephalopod‏ @macrocephalopod 3 Mar 2021
      Replying to @nope_its_lily

      For each day sum up total *net* P&L from all positions held at start of the day and all trades during the day, inc financing costs, slippage, comms etc. Daily return is daily P&L / start of day account size and Sharpe ratio is E(daily ret)/StDev(daily ret). Annualize if you like.

      1 reply 3 retweets 21 likes
    3. macrocephalopod‏ @macrocephalopod 3 Mar 2021
      Replying to @macrocephalopod @nope_its_lily

      Any other method is incorrect.

      2 replies 0 retweets 5 likes
    4. tanguy bretagne / bzh macro‏ @pauleluard 3 Mar 2021
      Replying to @macrocephalopod @nope_its_lily

      problem you would have is if trading becomes infrequent Lily. Then is sharpe a good measure etc...

      1 reply 0 retweets 1 like
      macrocephalopod‏ @macrocephalopod 3 Mar 2021
      Replying to @pauleluard @nope_its_lily

      Yeah if you have a significant number of days with zero P&L (ie no positions held at sod and no trading) then you probably want to use a different metric.

      5:09 AM - 3 Mar 2021
      1 reply 0 retweets 0 likes
        1. Radon-Nikodym‏ @RadonNikodym2 3 Mar 2021
          Replying to @macrocephalopod @pauleluard @nope_its_lily

          Any favorites for alternative metrics when 80%+ of days have 0 PnL?

          0 replies 0 retweets 0 likes
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