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ChuchengQian / Take_Home_Test

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Comments on Q4 #1

Open oakthf opened 3 years ago

oakthf commented 3 years ago

do you think you can actually achieve a annualized return of 185% and sharpe > 2.5 every month?

If you think it's not achievable, what do you think it's missing? Overfitting? In-sample? look-back bias? or something else

However about transaction cost, price impact and your portfolio sizing control?

Good job cranking thee question up. I just posted the points above to stimulate your thinking. Not critizing. Let's have more discussion. When you donee the last of the two questeions

Lui

ChuchengQian commented 3 years ago

Hi Lui,

Yes, I also feel that these return rates and Sharpe ratios are not achievable. I am trying to consider reasons, but currently I think one of the major reasons is the insufficient sample. The model is calculated based on the time range from the start date of 2016 to the end date of each month, which means, if I rebalance the portfolio at the end of Jan, I only have data for one month. The results seem to be more realistic when I adjust the start date to one or two years earlier.

By the way, I have finished the last two questions and uploaded them to Github. Thanks for giving me the feedback!

Regards, Chucheng

On Wed, Aug 11, 2021 at 12:29 AM Oak @.***> wrote:

do you think you can actually achieve a annualized return of 185% and sharpe > 2.5 every month?

If you think it's not achievable, what do you think it's missing? Overfitting? In-sample? look-back bias? or something else

However about transaction cost, price impact and your portfolio sizing control?

Good job cranking thee question up. I just posted the points above to stimulate your thinking. Not critizing. Let's have more discussion. When you donee the last of the two questeions

Lui

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/ChuchengQian/Take_Home_Test/issues/1, or unsubscribe https://github.com/notifications/unsubscribe-auth/AQOLIOGOD2J7IQFPQGISVTLT4FHXHANCNFSM5B4NZWZQ . Triage notifications on the go with GitHub Mobile for iOS https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675 or Android https://play.google.com/store/apps/details?id=com.github.android&utm_campaign=notification-email .

oakthf commented 3 years ago

Hi,

I have seen you just finished all the questions. Thanks for the efforts and the works. Please let me know when will you be available for the final round of interview, with our other founders and myself.

My schedule is swamped today, but will be relatively free tomorrow/Friday. See the following slots I propose for the interview:

1) 12th Aug (Thur) 09:00 - 10:30 2) 12th Aug (Thur) 11:00 - 13:00 3) 12th Aug (Thur) 16:30 - 18:00 4) 13th Aug (Friday) 15:00 - 16:30

Thanks, Lui

On 11 Aug 2021, 9:52 AM +0800, ChuchengQian @.***>, wrote:

Hi Lui,

Yes, I also feel that these return rates and Sharpe ratios are not achievable. I am trying to consider reasons, but currently I think one of the major reasons is the insufficient sample. The model is calculated based on the time range from the start date of 2016 to the end date of each month, which means, if I rebalance the portfolio at the end of Jan, I only have data for one month. The results seem to be more realistic when I adjust the start date to one or two years earlier.

By the way, I have finished the last two questions and uploaded them to Github. Thanks for giving me the feedback!

Regards, Chucheng

On Wed, Aug 11, 2021 at 12:29 AM Oak @.***> wrote:

do you think you can actually achieve a annualized return of 185% and sharpe > 2.5 every month?

If you think it's not achievable, what do you think it's missing? Overfitting? In-sample? look-back bias? or something else

However about transaction cost, price impact and your portfolio sizing control?

Good job cranking thee question up. I just posted the points above to stimulate your thinking. Not critizing. Let's have more discussion. When you donee the last of the two questeions

Lui

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/ChuchengQian/Take_Home_Test/issues/1, or unsubscribe https://github.com/notifications/unsubscribe-auth/AQOLIOGOD2J7IQFPQGISVTLT4FHXHANCNFSM5B4NZWZQ . Triage notifications on the go with GitHub Mobile for iOS https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675 or Android https://play.google.com/store/apps/details?id=com.github.android&utm_campaign=notification-email .

— You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or unsubscribe. Triage notifications on the go with GitHub Mobile for iOS or Android.

ChuchengQian commented 3 years ago

Hi Lui,

Thank you very much for the invitation to interview! I confirm that I’m available for the interview on 13 Aug from 3:00 pm.

Looking forward to meeting with you!

Best Regards, Qian Chucheng

On Wed, Aug 11, 2021 at 10:08 AM Oak @.***> wrote:

Hi,

I have seen you just finished all the questions. Thanks for the efforts and the works. Please let me know when will you be available for the final round of interview, with our other founders and myself.

My schedule is swamped today, but will be relatively free tomorrow/Friday. See the following slots I propose for the interview:

1) 12th Aug (Thur) 09:00 - 10:30 2) 12th Aug (Thur) 11:00 - 13:00 3) 12th Aug (Thur) 16:30 - 18:00 4) 13th Aug (Friday) 15:00 - 16:30

Thanks, Lui

On 11 Aug 2021, 9:52 AM +0800, ChuchengQian @.***>, wrote:

Hi Lui,

Yes, I also feel that these return rates and Sharpe ratios are not achievable. I am trying to consider reasons, but currently I think one of the major reasons is the insufficient sample. The model is calculated based on the time range from the start date of 2016 to the end date of each month, which means, if I rebalance the portfolio at the end of Jan, I only have data for one month. The results seem to be more realistic when I adjust the start date to one or two years earlier.

By the way, I have finished the last two questions and uploaded them to Github. Thanks for giving me the feedback!

Regards, Chucheng

On Wed, Aug 11, 2021 at 12:29 AM Oak @.***> wrote:

do you think you can actually achieve a annualized return of 185% and sharpe > 2.5 every month?

If you think it's not achievable, what do you think it's missing? Overfitting? In-sample? look-back bias? or something else

However about transaction cost, price impact and your portfolio sizing control?

Good job cranking thee question up. I just posted the points above to stimulate your thinking. Not critizing. Let's have more discussion. When you donee the last of the two questeions

Lui

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/ChuchengQian/Take_Home_Test/issues/1, or unsubscribe < https://github.com/notifications/unsubscribe-auth/AQOLIOGOD2J7IQFPQGISVTLT4FHXHANCNFSM5B4NZWZQ

. Triage notifications on the go with GitHub Mobile for iOS < https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675

or Android < https://play.google.com/store/apps/details?id=com.github.android&utm_campaign=notification-email

.

— You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or unsubscribe. Triage notifications on the go with GitHub Mobile for iOS or Android.

— You are receiving this because you commented. Reply to this email directly, view it on GitHub https://github.com/ChuchengQian/Take_Home_Test/issues/1#issuecomment-896443491, or unsubscribe https://github.com/notifications/unsubscribe-auth/AQOLIOCVJBDCWSFGCXO2KALT4HLRPANCNFSM5B4NZWZQ . Triage notifications on the go with GitHub Mobile for iOS https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675 or Android https://play.google.com/store/apps/details?id=com.github.android&utm_campaign=notification-email .