Designing trading models which are adaptive to a wide set of risk parameters is always a challenge. Beatings the hedge funds took this year always reveal liquidity issues which develop when models are implemented and ramped to achieve a high dollar returns. A net per unit return performance as represented in this chart allows for limited trade clock exposure and rampage. The debt models and their leg positions were helpless targets to trend reversals, squeezes, and poor management. Over trading big or small will eventually break your heart.
Saturday, December 29, 2007
Same Lesson
Designing trading models which are adaptive to a wide set of risk parameters is always a challenge. Beatings the hedge funds took this year always reveal liquidity issues which develop when models are implemented and ramped to achieve a high dollar returns. A net per unit return performance as represented in this chart allows for limited trade clock exposure and rampage. The debt models and their leg positions were helpless targets to trend reversals, squeezes, and poor management. Over trading big or small will eventually break your heart.
