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Is anyone else suspicious about the results? Claiming a 4000% return while staying market neutral seems a little too good to be true. First: those levels are
by d--b 7y ago
Is anyone else suspicious about the results?
Claiming a 4000% return while staying market neutral seems a little too good to be true.
First: those levels are insanely high, so the algo must be taking some absurd risks and have the worst sharpe ratio, or getting pretty close to being 100% accurate.
Second: if you can scale this across markets, and assuming the same return, that investment will turn into 12 billions in 4 years. I doubt that you'd write a blog post about it if you had found such a gold mine.
- kungito 7y agoIs't it so that many of these strategies don't scale well? When you are in low volume trading you are collecting all the best trades but as soon as you go 10x you are affecting way too much
- jotakami 7y agoBack in 2017/2018, not at all surprising. I don’t see that kind of opportunity in the crypto markets anymore though, they’ve gotten a lot more efficient. Used to be able to scalp 1% on big price moves in altcoin futures at least once a week, now the prices move in lockstep with spot.
- crazypyro 7y agoNaively using linear scaling on financial models provides zero guidance to how the model would actually perform... Scaling financial models is an extremely hard problem. See RenTech limiting the size of their Medallion fund because it was getting too large to scale....
- throwawaymath 7y ago> Second: if you can scale this across markets, and assuming the same return, that investment will turn into 12 billions in 4 years. Scalability and profitability are orthogonal. If it could scale indefinitely, you'd be right. But no trading strategy can scale indefinitely. That doesn't say anything about whether or it "works", and it's not a reason to be suspicious of the results, in of itself. All successful trading strategies are capacity constrained.