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Quantitative Finance · Begrippenlijst

Wat is Signal smoothing, break-even cost?

Ook bekend als: signal smoothing · break-even cost

Definition 27.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 27 — Transaction Costs in Research

Signal smoothing replaces a forecast by an exponentially weighted average of its recent values, with a half-life chosen for net performance. A strategy’s break-even cost is the cost per unit traded at which its return after costs is zero: its gross return over its turnover.

The net Sharpe ratio of the fifty-name book at $1 billion against the half-life of the forecast’s smoothing; values below -4 are drawn at -4. Data: rs_tcost.smoothing_curve.
Figure 27.2. The net Sharpe ratio of the fifty-name book at $1 billion against the half-life of the forecast’s smoothing; values below −4-4 are drawn at −4-4. Data: rs_tcost.smoothing_curve.
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