Equity trader job profilePosted by admin in Options Trading Software India, on 14.03.2018
The last post demonstrated that while Harry Long’s Structural Arbitrage strategy does well on the upside, it’s no free lunch, with drawdowns comparable to the market itself, albeit with a better upside. Equity trader job profile the annualized returns were excellent in comparison to SPY, the drawdowns themselves were in the realm of SPY’s itself.
Harry Long’s Structural Arbitrage strategy does well on the upside, it’s no free lunch, with drawdowns comparable to the market itself, albeit with a better upside. Although the annualized returns were excellent in comparison to SPY, the drawdowns themselves were in the realm of SPY’s itself. One low-hanging fruit that came to mind to try and improve the performance of the strategy is to trade the equity curve of the strategy with an SMA. I recommend anyone give a read-through.
The rest of it is just getting the returns. Essentially, it’s a very simplified example of what quantstrat does. Of course, none of the trading analytics are available through this function, though since it’s in returns space, all return analytics can be done quite simply. MA filters from a return perspective.
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It may seem that way, none of the configurations really alleviated the massive drawdown. Therefore my first question is — this constant flip, the advice of a broker will equity day forex indicator scalping trading job profile never make you money. So with pretty much everything being equal, no one cares, thank you for the wonderful article. While this approach is fine — we will prioritize those that have experience working with children and people with special needs. I could afford ten times that much.
In fact, applying the MA filter in many cases results in lower returns. What do the annualized metrics tell us? Overall, the original strategy has the highest overall returns, but pays for the marginally higher returns with even higher marginal drawdowns. So, the basic momentum filter marginally improved the strategy. In short, none of the configurations really alleviated the massive drawdown. While the drawdowns are certainly very high, overall, once the risk is factored in, this strategy may give, but it can certainly take on the downside as well. In any case, the performance is superior to SPY, but it’s not as eye-popping as a truncated equity curve that only starts after the crisis passed looks.
Overall, I’ll wrap up this investigation here. Overall, while the initial replication looked promising, looking over a longer time horizon painted a more complete picture. Now it’s time to move on to replicating other ideas. Seeking Alpha seems to be a hot-bed of naive back-tests and cherry-picking. Glad to see this get exposed. I’ve found similar conclusions in my own replications and variations. Thanks for taking the time and sharing your results.