This is a summary of links featured on Quantocracy on Thursday, 04/08/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
What P&L Swings Can I Expect as a Trader? [Robot Wealth]Many beginner traders dont realize how variable the p&l of a high-performing trading strategy really is. Heres an example I simulated ten different 5 year GBM processes with expected annual returns of 20% and annualized volatility of 10%. (If you speak Sharpe Ratios, Im simulating a strategy within known Sharpe 2 characteristics.) I plotted the path with the highest ending equity