Loan sharking
A systematic cash approach—Loan sharking—defined by explicit rules, testable on history, and fragile when costs or regimes change.
Overview
Loan sharking sits in the Cash chapter of the systematic catalog. On QUSXFI we treat it as a testable hypothesis: specify entries, exits, sizing, and costs—then ask whether edge survives out-of-sample scrutiny.
Discretionary traders often arrive at similar ideas intuitively; the quantitative version forces you to write the rule before you see the next bar. That discipline is what makes results reproducible—or exposes them as luck.
Based on the research catalog 151 Trading Strategies (Kakushadze & Serur, 2018), section 17.6. Educational summary—not a replication of the full formal definition.
How the Strategy Works
Data alignment for Loan sharking (rolls, corporate actions, holiday calendars, contract specs) is part of the strategy, not housekeeping.
In Cash, microstructure around opens, rolls, and fixes can dominate small statistical edges on Loan sharking.
Implementation and Research Process
Decompose Loan sharking into signal, portfolio construction, and execution modules—each must be path-independent given the same historical tape.
Log regime tags beside Loan sharking performance slices—vol level, rate cycle, liquidity stress.
Archive Loan sharking failure modes with dates—research firms learn from documented breaks, not from erased losing months.
Risk: What Breaks This Strategy
Loan sharking looks safe until funding markets seize—haircuts rise and collateral that passed yesterday fails today.
Counterparty default transforms a spread trade into a unsecured claim.
Operational and compliance constraints can block the very repo line the strategy assumes.
Common Mistakes to Avoid
- Stacking Loan sharking with correlated sidebar strategies without netting exposures.
- Using academic §17.6 definitions for Loan sharking while ignoring borrow, margin, or contract specs.
- Confusing this educational Loan sharking summary with compliance-approved investment advice.
- Erasing losing Loan sharking months instead of documenting regime breaks—that is how research firms stop learning.
How to Study This Strategy
- Add conservative costs to Loan sharking; rerun with 2× spreads and compare drawdown paths.
- Write a one-page Loan sharking failure memo: three break modes and early warning signs.
- Compare Loan sharking to one sidebar alternative net of costs—document why you chose this structure.
- Restate Loan sharking (§17.6) as numbered rules another researcher could implement cold.
- List every data field Loan sharking needs in Cash; verify point-in-time integrity.
Key Takeaways
- Loan sharking in Cash is a testable rule set—a systematic cash approach—loan sharking—defined by explicit rules, testable on history, and fragile when costs or regimes change.
- Translate every clause of Loan sharking into code or a checklist; judgment steps are not yet quantitative.
- Costs widen when Loan sharking signals fire most aggressively—stress at 2× baseline spreads.
- Stacking Loan sharking with correlated sidebar strategies without netting exposures.
- Loan sharking looks safe until funding markets seize—haircuts rise and collateral that passed yesterday fails today.
Learning Tip
Chart the worst Loan sharking month beside the best; careers are shaped by the left tail, not the peak equity curve.
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