Epidemic Math #idea #ebola
Epidemic Math Population of Liberia, Guinea and Sierra Leone is about 21,000,000 There have been 6500 Ebola cases Reachingh 0.03% of the population In poorest Africa Since March 2014 –h
Month: September 2014
Strategy, +24.8%, -2.6% MDD, Sharpe 5.6, Looking for Home
I’m looking for a home for my quant strategy. It has been traded with $40,000,000 over the last 7 months but needs to grow. Out-of-sample results for last 11 months are: Annual return: +24.8% Max DD: -2.6% Sharpe: 5.6 Strategy primarily trades Bonds, Bunds, SP, Stoxx futures and is scalable to $200 million without worrying too Read more about Strategy, +24.8%, -2.6% MDD, Sharpe 5.6, Looking for Home[…]
A Quant’s Trading Journal #idea
A quant’s trading journal is a spreadsheet –h
August P&L
Vertical Solutions Forecast Performance thru August 2014 (out-of-sample ) Annualized un-leveraged return: +16.3% Max intraday drawdown: -4.3% Sharpe Ratio: 3.4 Profitable 11 of last 11 months (see Monthly Returns, below) Monthly Returns In October of 2013 we developed some really nice Overbought/Oversold math that helps maximize expectation and minimize risk. This math, called Read more about August P&L[…]