z*********r
发帖数: 298 | 1 前面讨论到Sharp和Size的问题，可以接着讨论点别的 |
J******d
发帖数: 506 | 2 搬板凳听一姐讲故事。
【在 z*********r 的大作中提到】
: 前面讨论到Sharp和Size的问题，可以接着讨论点别的
|
s******a
发帖数: 22 | 3 Oh yeah we are not dead yet :(
【在 z*********r 的大作中提到】
: 前面讨论到Sharp和Size的问题，可以接着讨论点别的
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l**1
发帖数: 219 | 4 like what ?
【在 z*********r 的大作中提到】
: 前面讨论到Sharp和Size的问题，可以接着讨论点别的
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z*********r
发帖数: 298 | 5 至于这么惨么？ 最近应该都不错吧. 你是做什么的？
【在 s******a 的大作中提到】
: Oh yeah we are not dead yet :(
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G*****3
发帖数: 71 | 6 Me! Me!
I trade interest rate futures, stock indices and fixed income future for a
prop trading group. |
z*********r
发帖数: 298 | 7 你这么激动干嘛：-） Interest Rate Future 有的做么？ 我一个朋友刚拿了一个类似
的Offer，正在犹豫有没有前途。既然你做这个就给科普一下吧。不过你做Future能做
到Sharp 5 还是很Impressive的。你们是更侧重Infrastructure 还是Strategy啊。我
做Equity的
【在 G*****3 的大作中提到】
: Me! Me!
: I trade interest rate futures, stock indices and fixed income future for a
: prop trading group.
|
z*********r
发帖数: 298 | 8 GY 同学说某些公司不看重Sharp，看中LOng Term Return。你听说过类似的公司么？
【在 l**1 的大作中提到】
: like what ?
|
G*****3
发帖数: 71 | 9 I am just excited, because finally I found someone doing similar things on
this board. Interest rate has really volatility. It is good for mean
reverting and arbs. It wont be anything interesting for you hedge fund guys,
but there is quite bit of money there, if you are a market maker.
I think I didnt make myself clear about Sharpe. All companies care about the
ratio, but it has to be related to the capacity of the trade. 3 is a good
sharpe for huge capacity. Higher sharpe can be achieved by sac |
s********m
发帖数: 122 | 10 quant trader到底是做什么的呢
【在 z*********r 的大作中提到】
: 前面讨论到Sharp和Size的问题，可以接着讨论点别的
|
|
|
G*****3
发帖数: 71 | 11 Quant trade uses quantitative method to design trade strategies, which buy/
sell stuff and make money. |
D*******a
发帖数: 3688 | 12 有人做FX的么？
【在 z*********r 的大作中提到】
: 你这么激动干嘛：-） Interest Rate Future 有的做么？ 我一个朋友刚拿了一个类似
: 的Offer，正在犹豫有没有前途。既然你做这个就给科普一下吧。不过你做Future能做
: 到Sharp 5 还是很Impressive的。你们是更侧重Infrastructure 还是Strategy啊。我
: 做Equity的
|
z*********r
发帖数: 298 | 13 是纯做FX还是FX Future之类的Derivative？ |
p****u
发帖数: 2596 | 14 I really like this jiafei cat in your head picture, haha...
【在 z*********r 的大作中提到】
: 至于这么惨么？ 最近应该都不错吧. 你是做什么的？
|
p****u
发帖数: 2596 | 15 haha, funny.. Maybe she/he is talking about some chinese companies...
【在 z*********r 的大作中提到】
: GY 同学说某些公司不看重Sharp，看中LOng Term Return。你听说过类似的公司么？
|
o*****c
发帖数: 241 | 16 女trader奏是不一样哈.sharpe几次都没写对过.
嗯,pnl重要,pnl重要.
【在 z*********r 的大作中提到】
: 前面讨论到Sharp和Size的问题，可以接着讨论点别的
|
G*****3
发帖数: 71 | 17
You obviously didnt read or understand I have written...
【在 p****u 的大作中提到】
: haha, funny.. Maybe she/he is talking about some chinese companies...
|
c**********1
发帖数: 359 | 18 what is sharpe ratio guys? and what does it imply if u got 5 in sharpe? |
l*****i
发帖数: 3929 | 19 It implies they are big niu.
【在 c**********1 的大作中提到】
: what is sharpe ratio guys? and what does it imply if u got 5 in sharpe?
|
N******r
发帖数: 642 | 20 5 in sharpe does not tell anything. a mm can cook up really high sharpe if
he sells options before hit by fat fails. |
|
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l*****i
发帖数: 3929 | 21 Hehe, I agree with that. We are market makers but no one in my company looks
at the sharpe ratio.
【在 N******r 的大作中提到】
: 5 in sharpe does not tell anything. a mm can cook up really high sharpe if
: he sells options before hit by fat fails.
|
c**********1
发帖数: 359 | 22 I should go MFE since I know nothing abt what they r talking abt , brother
longhei |
G*****3
发帖数: 71 | 23
looks
Well said and totally agree. One of my strategy is exactly like that, which
suffers big draw down every 2 months and I never calculate Sharpe or RoC on
that because there is no point.
On the other hand, My sharpe 5 strategy's return distribution is very
symmetric. It is not a market making or quoting strategy.
【在 l*****i 的大作中提到】
: Hehe, I agree with that. We are market makers but no one in my company looks
: at the sharpe ratio.
|
N******r
发帖数: 642 | 24 your sharpe 5 strategy seems to have relatively low capacity to me. is it
sensitive to the transaction cost? did you run it with real money? if your
system is robust, then you need to get into the market, maybe talk to funds
like millennium. |
G*****3
发帖数: 71 | 25
funds
The point I was trying to make here is high sharpe can be achieved by
sacrifice capacity. You cant access strategy performance by looking at
sharpe only.
I have been running it for the last 7 months, but not with a lot of capital.
I am working for a prop trading company and I hope I can run it with a lot
more money next year.
【在 N******r 的大作中提到】
: your sharpe 5 strategy seems to have relatively low capacity to me. is it
: sensitive to the transaction cost? did you run it with real money? if your
: system is robust, then you need to get into the market, maybe talk to funds
: like millennium.
|
g****3
发帖数: 49 | 26
hey, Bears continue sucks this year!
【在 o*****c 的大作中提到】
: 女trader奏是不一样哈.sharpe几次都没写对过.
: 嗯,pnl重要,pnl重要.
|
g*****u
发帖数: 14294 | 27 You are very sharpe. 呵呵。
【在 o*****c 的大作中提到】
: 女trader奏是不一样哈.sharpe几次都没写对过.
: 嗯,pnl重要,pnl重要.
|
z*********r
发帖数: 298 | 28 汗一个。偶一直以为Sharpe 就是那么拼的。反正也没人纠正俺。 看来拼写不是最重要
的， 数字Matters。嘻嘻
【在 g*****u 的大作中提到】
: You are very sharpe. 呵呵。
|
z*********r
发帖数: 298 | 29 又有点迷糊了，各位的Sharpe都是多久的结果啊，要是两个月Big Draw Down一下Shapr
怎么会那么高，怎么也得一年以上的值吧。偶倒觉得PNL没什么意义。Size不一样，
PNL数量级肯定不同啊。应该是Return更贴切吧 |
c**********1
发帖数: 359 | 30 我更迷糊了。
你们各位都在什么地方啊？芝加哥的多少，纽约的多少。
Shapr
【在 z*********r 的大作中提到】
: 又有点迷糊了，各位的Sharpe都是多久的结果啊，要是两个月Big Draw Down一下Shapr
: 怎么会那么高，怎么也得一年以上的值吧。偶倒觉得PNL没什么意义。Size不一样，
: PNL数量级肯定不同啊。应该是Return更贴切吧
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k**g
发帖数: 1558 | 31 Da Niu! prop trading firm是不是都是high to medium frequency？他们一般都不招
low frequency的trader?
capital.
lot
【在 G*****3 的大作中提到】
:
: funds
: The point I was trying to make here is high sharpe can be achieved by
: sacrifice capacity. You cant access strategy performance by looking at
: sharpe only.
: I have been running it for the last 7 months, but not with a lot of capital.
: I am working for a prop trading company and I hope I can run it with a lot
: more money next year.
|
l*****i
发帖数: 3929 | 32 不是
【在 k**g 的大作中提到】
: Da Niu! prop trading firm是不是都是high to medium frequency？他们一般都不招
: low frequency的trader?
:
: capital.
: lot
|
s*******b
发帖数: 42 | 33 很多都招,还招floor trader呢
【在 k**g 的大作中提到】
: Da Niu! prop trading firm是不是都是high to medium frequency？他们一般都不招
: low frequency的trader?
:
: capital.
: lot
|
h******d
发帖数: 4 | 34 If the sharpe ratio is calculated over a half year and the ratio is
consistantly over 5 for some long period, you can definitely claim it's a
sharpe ratio 5 strategy. Otherwise, it's not rock solid number. Excuse my
words if offending.
which
on
【在 G*****3 的大作中提到】
:
: funds
: The point I was trying to make here is high sharpe can be achieved by
: sacrifice capacity. You cant access strategy performance by looking at
: sharpe only.
: I have been running it for the last 7 months, but not with a lot of capital.
: I am working for a prop trading company and I hope I can run it with a lot
: more money next year.
|
k**g
发帖数: 1558 | 35 low frequency的呢？比如一个月才rebalance一次。
【在 s*******b 的大作中提到】
: 很多都招,还招floor trader呢
|
G*****3
发帖数: 71 | 36 Majority of the prop trading house I know are high frequency based. Low
frequency is typically quite risky, as many of them hold over night or over
weekend position. Also majority of floor traders I know are high/med
frequency base.
I do think Sharpe ratio has to be calculated over a period of at least 12
months. Mine is calculated over the last year and a half and I still dont
think it is enough.
Btw, just to make it clear, only part of my portfolio suffers drawdown every
two months. The sharpe |
z*********r
发帖数: 298 | |
g*****u
发帖数: 14294 | 38 空谈sharpe没用的。 看看吧。
"Simons wracked up a ten-year Sharpe ratio of 1.89 throughout the 1990s,
with a 2.52 ratio for the last five years of the decade." |
m*********g
发帖数: 646 | 39 新人弱问，Sharpe不就是简单的 return/std(return) 么？那么Sharpe 5 就是说他做的 trading strategy 可以达到 return/std(return)=5? |
p******i
发帖数: 1358 | 40 请问怎么算return？
做的 trading strategy 可以达到 return/std(return)=5?
【在 m*********g 的大作中提到】
: 新人弱问，Sharpe不就是简单的 return/std(return) 么？那么Sharpe 5 就是说他做的 trading strategy 可以达到 return/std(return)=5?
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G*****3
发帖数: 71 | 41 You normally annualise to compare with benchmark.
(AvgDailyReturn * 250) / (std(return) * sqrt(250)) |
g****l
发帖数: 214 | 42 how to calculate daily return if you are trading pair,
i.e. long google, short microsoft?
if you are trading futures, margin 10%, how do you calculate return?
if you trading a pair of futures with portfolio margin, i.e. long a contract
short a contract, margin less than 20%.
i am always confused about return when calculating sharpe ratio.
【在 G*****3 的大作中提到】
: You normally annualise to compare with benchmark.
: (AvgDailyReturn * 250) / (std(return) * sqrt(250))
|
N******r
发帖数: 642 | 43 dont matter. if you jerk up the returns, the vol will be higher too. |
G*****3
发帖数: 71 | 44 Exactly. Sharpe ratio is the ratio between return and return volatility.
Margin doesnt matter, because capital will be canceled out in the formula.
In fact, you can just use your absolute PnL as return. |
C*A
发帖数: 63 | 45 GYW, u r doing well with five high sharpe running strategies. On fixed
income side or equity side? |
g****l
发帖数: 214 | 46 也就是说，
假定某人100元，1年赚了10元，
另外一个人200元，每一次买卖都和第一个人一模一样，也赚了10元，
这两个人的sharp ratio是一样的？
【在 G*****3 的大作中提到】
: Exactly. Sharpe ratio is the ratio between return and return volatility.
: Margin doesnt matter, because capital will be canceled out in the formula.
: In fact, you can just use your absolute PnL as return.
|
