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Virtu does high frequency trading so it makes sense that they don't have many down days. Also HFT strategies can have ridiculous sharpe ratios of like 100
by nomnombunty 10y ago
Virtu does high frequency trading so it makes sense that they don't have many down days. Also HFT strategies can have ridiculous sharpe ratios of like 100
- brobinson 10y ago>HFT strategies can have ridiculous sharpe ratios of like 100 Yeah, I've heard similar and it explains their basically linear equity curves...
- makeset 10y agoTrue, although conventional metrics like Sharpe ratio or ROI are not very meaningful for HFT models, because they can't scale with any additional capital (you can safely assume they are scaled to the max). Their returns are extremely consistent, but also ultimately limited in magnitude. Rather than magical money-making machines who have cracked the "secret code" of financial markets, HFTs are essentially a fixed-cost utility service for reducing market inefficiency through improved price discovery.