Tag Archives: capacity

One estimate the maximum capacity of a quantitative trading strategy and analysis



How can one estimate the maximum capacity of a quantitative trading strategy?

This is a Quora people really like on my Facebook page. Check out some of the highlights:

Assuming you’ve got a strategy that captures actual alpha, you’ve got to build in an estimate for execution costs (easily added) and ‘slippage’.


That estimate will typically be concerned with 2 things, overall stock trading volume, and your intended order execution size. As your intended size increases, so does your slippage. When you get to the point that you can no longer add any volume (because slippage is eating all of your intended profit) you can use that number to back into your total strategy capacity.


You will always hear me talk about volume in my analysis I have been doing!






Find yesterdays analysis here

…be doing more of this type of analysis. I mostly focus on CFD and forex looking for patterns and relationships. I think i found some but it would be great if I could automate this whole process. I feel volume will be a big factor for executing orders if the instruments have low volume. As I have shown in this video, it seems Oanda does not update price moves if there are not another order.It seems to throw off the charts so I need to address in the Analytics service.

Analyzing markets today to forecast for tomorrow based on volume filtering

Live market analysis on Nov 1

Warning: As at the end of this video, I received a hater with a dislike and negative comment. This is sort of rampant on Youtube but I may move this type of LIVE analysis over to Facebook Live on my Facebook page of QuantLabsNet. Facebook only allows liking stuff so considering I provide this stuff for free, I am just figuring why tolerate the potential found ‘hate’ and ‘trolls found on  YouTube. Also, Facebook just reached in having more videos engagement vs Youtube anyhow. As a result, Facebook has a bigger and more positive audience as well.

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

HPC: If I created a cluster out of few multi-core machines let say five 4 core with each machine has 8 thread capacity

This may be silly question but I am a little novice to HPC. If I created a cluster out of few multi-core machines let say five 4 core with each machine has 8 thread capacity
(eg. Intel® Xeon® Processor X5687 ) with more than enough memory. How many nodes would I have, 40, 20 or 5. In other words, How many identical processes can I run simultaneously and independently with maximum performance ? Is it 40, 20, 5 or any other number?. Or simply a node means a one machine and has nothing to do with the amount of processes.

Node == physical machine. It really has nothing to do with performance:capacity:parallelism of your given app(s).

Clearly a multi-core node with HT will have more raw capacity than non-multi-core node in terms of raw CPU performance; but overall performance depends on your app and its performance requirements:specs:profile.(IO, Network, CPU, etc).

Strictly speaking, you can run a ‘test cluster’ on a single physical node with virtualization software to carve it up into multiple VMs. This lets you develop your parallel app; but of course is not representative of ‘real world performance’ that would be observed with multiple physical nodes connected by some interconnect (gig, 10gig, infiniband, etc)
I hope the following summary will help you. 🙂
One node Intel X5687 chip-set has 4 physical cores. If the hyper threading (HT) is enabled (via BIOS setup), you can have 4 virtual cores in addition with your physical cores. Therefore, total CPUs=8. You can run 8 application threads on your one node x5687 machine. Even-though you have 8 CPUs and your application is more compute intensive, the performance may not be good due to virtual cores may not do the actual compute (and the computation will happen only in physical core).
I think it is pending your definition.
For example: If you have a sever scheduling tasks to your cluster then you can run one client process per machine and multithread its calculation giving you 5 nodes with up to x8 performance speedup. Or you can run a client per core calculating on a single thread giving you 40 node cluster.
You did confused me with the specs you gave, I prefer a thread per core (physical) ratio to avoid the overhead. if you are talking about 4 physical cores with hyper threading or something like that, then you should benchmark to decide if you want to configure your environment as 20 or 40 working threads.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!