153: Xiao Qiao – Research Analyst Shares Practical Ways to do Better Research
Chat With Traders
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The Disconnect Between Academic Research and Real World Implementation
Sharp ratio is one of the measures you use to determine how much decay you're happy with. It's by no means the only metric and I think different people may focus on, may put different weights on the following metrics. All look at returns, cumulative returns, volatility, sharp ratio, cumulative drawdown, maximum drawdown, and probably some sort of tail correlation. So in extreme events, what happens to your strategy? Did your strategy drop with equity markets? If so, that means when equity markets perform really poorly, so does yours - even if normally your strategy may not be closely correlated with equity markets. These tail events are really bad outcomes at the extreme end.
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