From theory to practice. Part 2 - page 135
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In terms of matstat, the python is still quite rubbish compared to the R. There's nothing there, but the future is clearly ahead of it.
R loses in flexibility to python and in terms of utilitarian and aesthetic criteria, although I agree it's a matter of fashion and the spirit of the times. There are also people who are addicted to Matlab, no big problem, all the same then transfer to the pluses, and the results of research there can also be conveniently derived.
if it's not too much trouble, a couple of questions:
what is the position holding time ofhedge funds ?
what is the maximum allowable drawdown for hedge funds ?
Yes, you're right, but I'm horrified by python's lack of control over many important things, without which you can't trade at all, especially the absence of strict typing...
Well, it's all right, as they say to each his own.)
Technical details are the bane of "plus-like" languages...
contrived problems
Why? I think it depends on the zigzag algorithm, if the "zigzag" is necessary (in my opinion, it is).
The point is that such a construction has physical sense (estimation of maximal profit on a period, which can be taken on the market) other constructions of zigzags have less evident sense.
This very zigzag is used by fxsaber.
If spread is floating, then it is quite possible to imagine a situation where Ascus fluctuations have larger amplitude than the zigzag parameter, and Bid is smaller than this parameter. Then we will have many tops from Ask and none from Bid. You can, of course, take the minimum price change as the zigzag parameter, but even then it is quite possible that one price is not decreasing (increasing or constant), and the other is fluctuating. It is probably possible to make something up here, but you have to bea fxsaber to benefit from it)
You went out and asked to be removed...
Then you insistently asked the moderators why you weren't deleted...
Why come back? Not enough attention?
And as someone used to say, "Who calls himself by that name?
What's that got to do with you, sicko? What? Your dreams and dreams didn't come true, poor guy?
What's that got to do with you, sickie? What? Did your dreams come true, miserable?
-"what you call yourself is what you call yourself."
And as someone used to say,"Whoever calls himself by that name, calls himself by that name".
At least you learned that lesson from Vladimir Vladimirovich Putin.
But on the theoretical side, you need to learn, learn and learn again.
far-fetched problems
It is clear that the main thing is desire. you can at least do it in assembly language.
if it's not too much trouble, a couple of questions:
what is the position holding time ofhedge funds ?
What is the maximum allowable drawdown for hedge funds?
It varies everywherefrom seconds to years. Different organizations have different trading styles and therefore different portfolio types, assets and trading strategies .Somecompanies specialize in HFT, on average 1-5 minutes position lasts, this is the most common thing that aims the minds of quantum traders, it is believed that within about 10 minutes, 95% of all relevant information is absorbed by the market and reflected in the price, that is, on this scale sometimes there is something in the price regularly, in a larger scale the price is already "effective" and is determined only by indirect (alternative) data, or unpredictable actions of large players .Having a decent flow of alternative data, it all depends on how this data changes, at what pace.
There are old-school funds that do not tolerate any "quants ", atleast in one office, they wear suits, play golf and talk not about data and ML, but about mergers/mergers/gutting of companies, intricate legal stuff and what politician is going to announce to the public tomorrow. Such dudes and ordinary quants are as different as a surgeon and an architect, there is little in common. They usually play for the long haul (months, years) and on the inside.
But more bums, they buy indexes and hedged with derivatives, they walk together with the market and they are lucky, 1-2% drop capital, they do not starve, and if the market goes into space on inflation like now, they get bonuses))))
A drawdown of 10% of the initial investment isvery bad,20% is a problem that should not happen, especially if the organization has not yet proven its ability to make money. But sometimes it happens and 50% and 90%, although it is the collapse of the fund. On average, hedge funds have worse profitability than indexes, more than half of them are not profitable at all, but there are a lot of funds that give more than 10% for a decade stably.