Quant case studies, worked step by step

Cases
100
Traced to a firm
43
Topics
11
Hard
30
Topic
All topicsSignal research and data tasks10Options and volatility trading10Market-making games14Portfolio construction10Strategy evaluation and backtests9Execution and market microstructure8Fixed income and credit8Regression and model review8Risk measurement and limits9Statistical arbitrage and event trades8Position sizing and bankroll6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–2 of 2 · filtered from 100Clear filters
  1. 005A backtest shows 18% gross return at 9% volatility, turning the book over 60 times a year at an assumed 5 bps a side. Live, costs are 14 bps a side and only 70% of signals fill. Reconcile the backtest Sharpe with a live Sharpe near zero and decide what to fix first.Strategy evaluation and backtestsHardJump TradingChicago · 2018
  2. 081Palashvan reports a monthly Sharpe ratio of 0.35, annualised to 1.21 with the square root of 12, but its monthly returns have a lag-one autocorrelation of 0.4 because illiquid positions are marked slowly. What is the corrected annual Sharpe, and what does the smoothing hide?Strategy evaluation and backtestsHardSystematic hedge fundsRisk quant

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