Comments for The Geodesic Edge

Comment on Evaluating Trading Strategies with Random Portfolios by Jay Young

Jay Young — Tue, 29 May 2018 03:10:34 +0000

I never realized that their risk parameters were so strict.
My goal, for my own trading, is to keeping drawdowns low compared to buy and hold, by exiting below certain monthly moving averages or after certain weekly “death crosses” occur. Not a panacea, but better than the gut wrenching drawdowns with buy and hold.

Ever read the work of Campbell Harvey on evaluating trading strategies? Like yourself, he warns about how easy it is to gets fooled by random chance when evaluating strategies. Here’s one link: https://faculty.fuqua.duke.edu/~charvey/Research/Published_Papers/P116_Evaluating_trading_strategies.pdf

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Comment on Evaluating Trading Strategies with Random Portfolios by steve98654

steve98654 — Tue, 29 May 2018 00:42:11 +0000

In reply to Jay Young.

This is a common drawdown limit buyside firms place on their portfolio managers. You will surely get a call from risk with a 5% drawdown and in the worst case get shut down.

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Comment on Evaluating Trading Strategies with Random Portfolios by Jay Young

Jay Young — Mon, 28 May 2018 22:20:38 +0000

Hard to believe a trading strategy would be shut down due to only incurring a max drawdown of 5%.

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Comment on Improving Your Sharpe Ratio by Adding Additional Strategies by steve98654

steve98654 — Mon, 04 Sep 2017 05:09:20 +0000

In reply to Thibaut Van Weehaeghe.

Hi Thibault,

I agree with the numerator in your comment but am finding a different denominator. Specifically, in your notation the variance (no sqrt) is given by:

Hope this helps!

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Comment on Improving Your Sharpe Ratio by Adding Additional Strategies by Thibaut Van Weehaeghe

Thibaut Van Weehaeghe — Sun, 03 Sep 2017 12:28:32 +0000

Hi,

Thanks for the article! Is the correct formula for 3 assets the following:

w1mu1+w2mu2+w3mu3 / sqrt( w1^2 * s1^2 + w2^2 * s2^2 + w3^2 * s3 ^2 + 2 * w1w2w3 * s1s2s3 * r12 * r23 * r13)

thanks

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Comment on Improving Your Sharpe Ratio by Adding Additional Strategies by Quantocracy's Daily Wrap for 09/02/2017 | Quantocracy

Quantocracy's Daily Wrap for 09/02/2017 | Quantocracy — Sun, 03 Sep 2017 05:16:09 +0000

[…] Improving Your Sharpe Ratio by Adding Additional Strategies [Geodesic Edge] […]

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Comment on Evaluating Trading Strategies with Random Portfolios by MACD expert advisor

MACD expert advisor — Sun, 23 Jul 2017 05:41:08 +0000

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Comment on Evaluating Trading Strategies with Random Portfolios by What we are reading on 5/30/2017 - UNDERVALUED STOCKS

What we are reading on 5/30/2017 - UNDERVALUED STOCKS — Tue, 30 May 2017 12:43:02 +0000

[…] advice therein. In no particular order: Rebalancing, investment process and portfolio construction The use of monte carlo simulations in performance evaluations Does momentum reverse over the long term? Is low volatility a problem? Inside the world of investor […]

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Comment on Evaluating Trading Strategies with Random Portfolios by Quantocracy's Daily Wrap for 05/28/2017 | Quantocracy

Quantocracy's Daily Wrap for 05/28/2017 | Quantocracy — Mon, 29 May 2017 05:15:26 +0000

[…] Evaluating Trading Strategies with Random Portfolios [Geodesic Edge] […]

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