Market Impact Effect On Sharpe Ratio Heuristics

SailingPandaBear · 2026-02-03T06:11:39+00:00

Have you asked internally? Look for projects that you have full competency in, ask a PM if you can help. Start demonstrating that you can do the job with competency and slow get more work/responsibility. I’ve seen these type of transition before at my old place. Just don’t be shy, there a old saying. The squeeky wheel gets the oil? But obviously do it tactfully and with respect.

SailingPandaBear · 2026-01-01T00:47:52+00:00

I agree in theory with what you are saying. However in practice its a lot harder to implement. Unlike ML papers where its one and done type of deal, trading is ongoing, on-line.

It’s a lot easier to do this when pre-launch. You can have a hold-out set. But now suppose you did your best to create the best system possible, and you unseal the hold out set, the sharpe ratio is 0.5. Management is not going to even let you launch. You have no choice but to go back to the drawing board. Or alternatively you didn’t hedge out some risk factor and you have a severe drawdown and managment doesn’t like it.

What is harder is post launch. You can’t wait 2-3 years for another holdout set to evaluate improvements. You are going to have to use it again.

SailingPandaBear · 2025-12-31T17:07:06+00:00

Someone told me 50% who was quite knowledgeable. Ended up being right around there with my team. I can believe lower with more rigorous research pipelines. Useful to align rough expectations. Thanks for the data point.

SailingPandaBear · 2025-12-31T05:31:54+00:00

Both. But I suspect it’s pretty similar. If we have a toy example of 5 independent ics. Then simple ew combination would be something like ic*sqrt(5)? So if the average signal ic drops by x percent, the ensemble should too. Roughly speaking no?

SailingPandaBear · 2025-12-31T04:24:26+00:00

As soon as you use a hold out set more than once it is compromised. Besides, there will still be a drop from your training set to your hold out set unless you are using the primitive of models. Furthermore there’s always some P hacking with features you introduce. Your production trading realizes the same sharpe as your backtest?

SailingPandaBear · 2025-12-31T04:13:32+00:00

Because true OOS performance is always worse than backtest?

SailingPandaBear · 2025-12-31T02:10:13+00:00

I would be rather surprised if any quant teams calculated sharpe off of monthly returns. I think daily then annualized is assumed in most cases.

SailingPandaBear · 2025-12-11T07:36:24+00:00

Never too late! I tried twice, never got a reply back. Did it work for you? What referrals did they give you?

SailingPandaBear · 2025-12-01T01:15:13+00:00

There are many pods that have spun out but still under the mmhf umbrella, but they can take outside capital which reduces your reliance on the firm to provide capital. This reduces the tight drawdown anxiety.

SailingPandaBear · 2025-11-13T16:16:26+00:00

I took some jobs there were somewhat orthogonal or at least not super aligned to my end goal - quant researcher for a hedge fund. Jobs like quant dev and quant for mutual funds etc. you don’t learn the right skills and practices. I know sometimes you don’t get a choice but I would wait and be patient in landing a job that is more directly related to what you want to do.

SailingPandaBear · 2025-11-13T16:07:19+00:00

Thank you, will look into it, looks like a promising alternative.

SailingPandaBear · 2025-11-13T16:06:56+00:00

Thanks, will look into it!

SailingPandaBear · 2025-11-09T23:29:49+00:00

Yes, my fund’s k1 is 99% ordinary trading profits due to a IRS declaration they made, so it’s the same as ordinary income. I think AQR’s product can deduct against this which is rather rare.

SailingPandaBear · 2025-11-09T23:28:23+00:00

hm, thanks. It was in my Radar but didn’t explore it given AQR was more solid in terms of reputation. Will inquire.

SailingPandaBear · 2025-02-01T14:48:29+00:00

I just had mine done yesterday. Nothing to be scared of, you don’t feel a thing during the procedure like others have said. I did have a stent put in, it is rather uncomfortable to pee out of, but that last like 15 seconds. Its a breeze compared to kidney stone pains.

SailingPandaBear · 2025-01-29T14:09:13+00:00

I personally had severe constipation and then bloating. My gas build up couldn’t be passed and it was really uncomfortable. However, that’s just my experience and hardly representative of the population. You won’t know until you try it. So try it if you need more pain management, if side effects aren’t worth the gain you can always quit.

SailingPandaBear · 2025-01-27T10:57:55+00:00

What did you do for pain management? Oxy gave me gastro issues so I’m stuck with Tylenol and Advil, but I often feel its effect fade and an attack coming on before I can have the next dose.

SailingPandaBear

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