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by spitfire 4826 days ago
How about risk and money management?
1 comments

Cash management is built already. We track how much you have, dividend payments, all that stuff. We've built many risk measurements, too: alpha, beta, Sortino, Information Ratio, etc.

Risk management is far more complex. Risk management is more a part of the algorithm itself than a feature that we can build. That said, we can add more risk tools. We're very open to suggestions, if you have some in mind.

I see cash and risk management both as separate domains in their own right equal to if not more important than the actual algorithm. I don't think they can be folded into the algorithm itself - there is a reason banks have separate risk departments.

Eg: For risk management I might not allow any trading whatsoever when the VIX is over 40, and the 5 day stddev of the S&P is above some threshold.

Similarly, I might scale my capital usage based on my risk metrics. Or scale the capital available to a particular algorithm based on its individual risk profile.

Recreating risk management in each algorithm seems like a bad idea. But even worse is pushing off risk to the user to do in an ad-hoc way.