SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
Advaita
Topic Author
Posts: 188
Joined: April 20th, 2005, 1:54 pm

Any suggestions on maintaining a paper-trading book?

January 2nd, 2008, 6:22 pm

Maintaining a paper-trading bookHi,I have a few trades that I follow on a daily basis. Is there an optimal fashion in which I can understand how the trade is performing?For instance I am long the 10s/2s swap spread starting Jan 2 2008 and want to see how the trade performs on daily basis.How would I look at the p/l on a daily basis. How would I discount it? Is there some way I can look at the risk, VaR, etc? How about changing stops, etc.?Is there a book/article that talks of this? Or anybody has any ideas?Thank you
Last edited by Advaita on January 1st, 2008, 11:00 pm, edited 1 time in total.
 
User avatar
msperlin
Posts: 608
Joined: July 10th, 2006, 6:21 pm

Any suggestions on maintaining a paper-trading book?

January 2nd, 2008, 6:28 pm

QuoteOriginally posted by: AdvaitaMaintaining a paper-trading bookHi,I have a few trades that I follow on a daily basis. Is there an optimal fashion in which I can understand how the trade is performing?For instance I am long the 10s/2s swap spread starting Jan 2 2008 and want to see how the trade performs on daily basis.How would I look at the p/l on a daily basis. How would I discount it? Is there some way I can look at the risk, VaR, etc? How about changing stops, etc.?Is there a book/article that talks of this? Or anybody has any ideas?Thank youThere has been some past discussion about this topic over the forum. Basically you can pick from static measures (eg. P/L, sharpe ratio), bootstrap procedures and to filtering techniques (static measues across time). Use the search link and you'll should be able to find the threads.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On