Crassus
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| Total Posts: 1191 |
| Joined: May 2004 |
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does anyone know any heuristics on how to calculate capital requirements perhaps in some matrix of on frequency and asset class?
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by office boys, for office boys |
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Nonius
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| Founding MemberNonius Unbound |
| Total Posts: 11347 |
| Joined: Mar 2004 |
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| duderino, of what kind of capital you speak? Reg Cap? |
An a=a etc moment....http://www.dinbali.com/?page_id=74 |
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Crassus
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| Total Posts: 1191 |
| Joined: May 2004 |
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hi dude, more investment / working capital,
e.g. if I am long equities stocks with holding period in the months, then I could probably say, I need this amount of $ to buy this portfolio (to achieve this expected return).
On the other hand if I am trading futures intraday, then I presumably have some margin requirements, and a lot less capital will be tied up therein, and it's more of a working capital.
So if I say, "Nonius, what is the minimum $ you need to run your intraday, or weekly strategies?", how would you estimate that? |
by office boys, for office boys |
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| You could use something like annual vol * 10 to have a 10% vol, or max drawdown * 5 to have a 20% max drawdown. Adjust according to your investor's risk appetite. |
Inflatable trader |
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| For liquid us equities I use the heuristic of 1/4 * buy/sell price for each security under Portfolio Margin plus a safety buffer over all strategies (10% of my capital). |
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Crassus
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| Total Posts: 1191 |
| Joined: May 2004 |
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good responses, especially the reminder about backtesting results. thanks.
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by office boys, for office boys |
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