Читать книгу Quantitative Trading - Ernest P. Chan - Страница 31

Since this book is about starting a quantitative trading business from scratch, and not about starting a hedge fund that manages multiple millions of dollars, we should not be concerned whether a strategy is one that can absorb multiple millions of dollars. (Capacity is the technical term for how much a strategy can absorb without negatively impacting its returns.) In fact, quite the opposite—you should look for those strategies that fly under the radar of most institutional investors, for example, strategies that have very low capacities because they trade too often, strategies that trade very few stocks every day, or strategies that have very infrequent positions (such as some seasonal trades in commodity futures described in Chapter 7). Those niches are the ones that are likely to still be profitable because they have not yet been completely arbitraged away by the gigantic hedge funds.