Tag Archives: Performance

Relative Sharpe ratio

I just read Irene Aldridge blog post titled “How Profitable Are High-Frequency Strategies?”. Although no hard facts about the overall profitability of high frequency trading strategies are given, it got me thinking about something else. As Irene does in her blog post, she takes historical data and calculates the Sharpe rato of the absolute optimal, 20/20… Read More »

C++ vs Java performance; It’s a tie!

So a while back I came across this Java vs C++ performance benchmark. It was kind of dated and as the Java VM continues to improve (in addition to the C++ compiler I would presume), I thought it would be interesting to rerun the tests to see what we would end up with. So this is what I… Read More »