People are saying I am not posting enough finance content. FINE. Once you have decent alphas a lot of the skill in running a systematic strategy is reducing turnover. Alpha is unknown but trading costs are certain. Keep trading to the minimum needed to monetise your alpha.
Net pnl is gross pnl minus costs. Turnover always increases costs. If it increases gross pnl more than it increases costs, that’s good! But it’s easy to overestimate what gross pnl will be, whereas costs are certain, so better to err on the side of lower turnover.
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Can't agree The paths through the same dataset are so varied it's better to agitate the system to try and avoid getting stuck on a sub-optimal path
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It's a trading cost overhead driver and an opportunity cost mitigation I suppose
End of conversation
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