njrookie's random thoughts

A collection of my posts on investment, trading, and life...
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Where is your trading edge?

(2014-10-30 08:03:47) 下一个

 

An edge in trading means positive statistical expectancy.

1 there are no sure things; but given combination of signals, sometime you have positive expectancy;

 


2. holding passive low cost etf gives you a sharpe about .3-.4, which is really a reward for taking on risks, ie risk premium; not an edge, but an upward bias for stock mkt;

3. many TA rules have slight edge, but when combined they are less than 1 sharpe;

4. there are many other biases, but none more than 1 sharpe.

Instead of finding ONE holy grail, spending time to accumulate a basket of small edges. 10 uncorrelated edges with 1 sharpe, can combine to have >3 Sharpe.

Just my 2c
 
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