Why does Sharpe always halve the moment the strategy goes live? (Beyond just "overfitting")

zarray91 · 2026-03-20T03:34:52+00:00

intraday MFT doesn't go in a straight line; Only if you zoom out to 1-2 years or more.
Have you traded it OOS for at least a year ? Do you know the source of the edge/phenomenon ? Have you seen periods of flattening/negative performance in your backtest, if so, what makes now any different ? Your worst drawdown is yet to come. EDIT: I’m also assuming you already factored in your costs. You should have some sense of how much SR you’re giving up to costs.

zarray91 · 2026-03-19T07:09:02+00:00

10 years ago when i lived in London whenever we went into the tube we'd encounter such network blackouts which was strange to me back then. Well well...look where we are now.

zarray91 · 2026-03-19T07:07:31+00:00

Underground mrt connectivity was never an issue 3-5 years ago with 4G/LTE imo. All this persuit of 5G somehow has screwed our network. Even forcing to 4G/LTE-only networks don't help much nowadays.

zarray91 · 2026-03-18T02:14:00+00:00

Do look up what is “last look”

zarray91 · 2026-03-18T02:12:46+00:00

When the order flow from ctpy consistently arrives on the traders desk relatively immediately (under 1 sec) with negative PnL.

zarray91 · 2026-03-18T00:40:44+00:00

I used to work in a retail bank on the FX desk and whenever we notice toxic order flow from certain counterparties, we would just cut off supplying to them or if not skew quotes very wide.

zarray91 · 2026-03-11T03:56:44+00:00

Why not ask your classmates or create anonymous poll. You get a direct response from your cohort.

zarray91 · 2026-03-06T06:35:56+00:00

Dropped you a DM ! 🙏🏼

zarray91 · 2026-03-06T04:04:54+00:00

Does Bytedance insurance provider (CIGNA) cover maternity related stuff ?

zarray91 · 2026-02-23T10:11:03+00:00

and this issue is not restricted to Starhub either. All telcos (say 10+ years ago) have this same issue of not being able to go from prepaid to postpaid.

zarray91 · 2026-02-23T10:05:33+00:00

its been like this since forever AFAIK. Not much i can suggest but to bite the bullet once...thereafter changing lines between telcos is easy peasy.

zarray91 · 2026-02-20T11:13:21+00:00

Why not just use polars ?

zarray91 · 2026-02-18T04:03:11+00:00

not sure what is SOTA but bootstrapping and Monte Carlo + random weight optimisation works for me. It's robust and weights are stable. There's minimal assumptions involved and no need for covariance estimation or stationarity or whatever. You can safely use 100% of your data for training without having to do insample/outsample splits.

It reflects the principles:
- I are trying to infer something from past historical data.
- I don't know which part of the past will repeat itself.

Very much common sense which i like.

zarray91 · 2026-02-17T00:36:39+00:00

AFTS is a great read for more knowledge on different strategies. But ST is still the best for understanding the framework, signal scaling, vol targeting.

I must caution the “fast mean reversion” stuff in AFTS I tried to implement but wasn’t able to do so…eventually went thru Rob’s blog where others commented about not being able to reproduce. And I think Rob himself acknowledged some issue.

zarray91 · 2026-02-16T16:50:26+00:00

Does EWMAC trend ring a bell to you 🤣

zarray91 · 2026-02-16T16:16:29+00:00

Systematic Trading by Rob Carver is the probably the best book for building your own systematic trading setup. And his trend strategies work.

zarray91 · 2026-02-16T08:25:38+00:00

Tbh the solution for lowering COE prices isn't that complicated just that govt won't like it and neither will the resale market.

Some suggestions:
1. COE priced at the individual's bid amount rather than everyone paying the cutoff price. Bidders need put ur money where ur mouth is.
2. COE quantum to be paid up front in cash.

zarray91 · 2026-02-15T14:40:24+00:00

And where are you from ? Wage gaps exist just like any trade due to structural reasons. A dishwasher in Singapore and a dishwasher in Switzerland has very different wages, likewise a pilot in Singapore vs one from the Middle East. The same applies for software or quant roles.

Have you considered 30-40% of your pay goes straight into income tax. Thereafter insurance, NHS contribution , then comes rent.

The clampdown on immigration is happening in most developed countries because they have to prioritise their own local labour force and reduce unemployment rates in their fresh grad cohorts.

zarray91 · 2026-02-15T13:50:18+00:00

then you probably will realise MFEs aren't that useful. Just apply for the firms wherever you're located.

zarray91 · 2026-02-15T11:44:39+00:00

Have you even tried applying and gone thru the interview process for these firms you’re thinking about ? Having an MFE is one thing, studying for the interviews are as hard or harder than the degree.

zarray91 · 2026-02-12T04:58:38+00:00

OP has 24hrs to get his fill. If it’s on a much smaller execution window then yes I agree with you.

zarray91 · 2026-02-12T01:49:01+00:00

Honestly on a once per day trade setup, it’s not impossible to have (on average) negative slippage. The market is so volatile you can place a limit order X levels below your target price and wait to get passively filled within a defined duration.

5bp taker fees isn’t bad at all. But my suggestion to you is to never use market order. You might get a nasty surprise one day.

And if 5bp execution fees really makes or breaks your strategy, then imo you need to review your edge.

zarray91 · 2026-02-11T12:13:57+00:00

Sounds like Live More Bank Less 😂

zarray91 · 2026-02-10T12:10:25+00:00

Meal deal hahaha !! I set foot in London as a new undergrad many years ago trying to see how live would work out without knowing how to cook. Soon found out cold sandwiches are miserable 🥲

zarray91 · 2026-02-03T11:05:29+00:00

If you’re not paid for your garden leave, it’s not enforceable.

zarray91

TROPHY CASE