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In fairness, while I agree with your second paragraph, Virtu's example is a very neat case study for the limited dialectic purpose of demonstrating trading cons
by dsacco 9y ago
In fairness, while I agree with your second paragraph, Virtu's example is a very neat case study for the limited dialectic purpose of demonstrating trading consistency, not necessarily profits. I have found that using profits for this particular debate isn't convincing for others, even if it shows a fuller picture; the actual win rate for trades is a simple and quantifiable point to refute comparisons to e.g. coin flipping because it shows that they are capable of doing something over and over in a market that is claimed to be resistant to such a thing.
- kasey_junk 9y agoBut when people are talking about coin flipping, they are talking about real profit, not trade PnL. If your overhead to get into a trade is more expensive than the PnL on that trade, your consistent ability to make that trade is not a good thing, and that negative should be counted against your win rate wrt things like the efficient market hypothesis. Again, I actually don't have strong opinions about coin flipping and trading being equivalent (and I think Virtu is likely a bad place to have that conversation vs a hedge fund because its not really an investment firm its an execution one) but I think claiming trading PnL refutes it is wrong.