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Determining Strategy Capacity
Posted: Fri Oct 24, 2008 3:23 pm
by breadfan
I'm looking for guidance on how to determine the capacity of a strategy.
The only paper on the topic I can find is here: http://www.qwafafew.org/filestore/download/469.
Additional papers, or examples on how to do this are appreciated.
Determining Strategy Capacity
Posted: Sat Oct 25, 2008 3:48 am
by opmtrader
Breadfan, In my opinion the paper does a good job of laying out some decent rules of thumb. In the past I've also tracked my backtested position size as a percentage of daily volume and things of that nature. For further detail you may want to take a look at average size in the order book at different levels and estimate how much you are going to move the market if you executed a market order of X size, how long it would take to chew threw a limit order of X size, etc. It is fairly basic stuff, but the fact that you are looking into these types of things should be applauded as it is a level of realism most system designers take for granted.
Determining Strategy Capacity
Posted: Mon Oct 27, 2008 4:23 pm
by Dynamic Turtle
Quite simply, whatever AuM MAN/CQS/RAB/GLG run the strategy at, divided by ten.
DT