Blackthorne: We use an AI algo to find features in the data, and then we use KNN to fit the spline between feature and future risk adjusted returns, then a neural network to allocate weights across features optimising the omega ratio.
Mariko: The anjin is overfitting.
Fun thing you can do is see my trade history or positions or whatever in github. Go to Then select a date. Click on <> to browse the commit. Click on trade report or risk report to see positions.
When I started in IB was massively hung up on how many screens I had, as it was a clear status symbol. Now I realise that the CEO had only 1 screen and the guy with the most screens in the entire building was the security guard.
@jposhaughnessy
Never understood the assumptive that more screens = better trader.
If you need a billion screens it's to watch correlated markets. If you need to watch correlated markets then build an algo to spot the deviations for you.
Multiscreens=retrofit spoiler on your family hatchback
People who describe market moves in points should be shot. Immediately. I have no idea if 900 points on some random index is a lot. Percentages at a minimum please, and when I am world-king moves will have to be described as multiples of recent daily standard deviations.
@yawaramin
You don't code until sunset then you're so desperate to code you code too much far too quickly in a really rich expressive language, probably LISP related, and end up feeling slightly sick.
@WifeyAlpha
You could be right, but I can't help thinking that the guy who stood against him in the last election didn't have a great record of standing up to Putin...
Please join me for a minutes silence today at 11.55am when the last ever LIBOR rate is published.
And remember all those who have been unfairly hounded, prosecuted and jailed for doing their job.
Well it's time for one of my periodic discretionary macro calls (last one was during COVID). I'm calling the top of the rate cycle. Today I've increased my risk allocation in bonds from 5% to around to 16.5%...
Nothing amuses/saddens me more than seeing systematic HF managers pontificate on market movements and activity (an unfortunate necessity for marketing)...they literally have a computer for forecasting, so why should they know any more than the next person with a BB terminal?
Astonishing to me that the vast majority of investors have zero trend following allocation.
"But Meb, there's just not any managers with a long history..."
Here's DUNN back to 1985...printed +60% in 2022!
via
@rcmAlts
database
@d_feldman
I'm not an architect but it's my understanding that internal walls in US houses are made of wood. In the UK we use bricks. So you need a lot more mesh units. Personally I wish I had cabled my house when we had it renovated.
@alexdowsett
You hit the front for your turn. After 5 minutes you elbow flick. Nothing. You wave your arm aggressively, turn and give your team a hard stare. Nobody moves.
An hour later, battered and broken, a mere shell of a man, you are finally relieved and fall sideways into the gutter.
@TheJeditor
Set of precision screwdrivers missing the one you actually want. A hammer to ensure the draw is nice and heavy and will break entirely. Curtain hooks even though you only have blinds now. The base unit of an electric toothbrush you had 3 house moves ago.
@MarkDiStef
One of the best things about strict gun control is people are forced to use food instead. I look forward to similar 'attacks' by the "Croissant Christians", "Jam on toast Jew", and "Strudel Sikh". Do Buddhists eat Bacon? If not, is it stil okay to hit a fascist with a bacon roll?
The Nasdaq 100 rallied more than 2% intraday to set an all-time high, then reversed to close down by more than 1%.
It's done that twice. Today was one.
March 7, 2000 was the other.
Can the
#lumber
/
#gold
ratio be a leading indicator for
#stocks
?
We made a strategy that returned 11.8% annually by rotating between stocks and bonds:
Working with matplotlib:
1. Google how to do plot
2. Find strange incantation on stack exchange
3. Check that strange incantation works
4. Wrap in function
5. Relax until you need another type of plot.
One reason I don't trade crypto (except CME futures) is I don't understand a single word of this thread and it would seem a bit stupid to be potentially on the other side of the tabke from this guy.
As MGNR used to say, "discretionary traders should only pick up free money a few times per year and stay flat the rest of the time."
This week there was quite a bit of free money laying around
Little thread about an interesting trade I took this week
1/x
I think Sunak genuinely thinks that people are homeless through choice and if they would just get a job as a hedge fund manager like he did they'd be fine.
Sunak asks a homeless man in a homeless shelter whether he "works in business", then proceeds to talk about the financial services industry. Utterly bizarre
@yawaramin
At the end of the lunar month you get to spend the whole day programming in whatever language you like, well in theory, mostly its the language your mother likes best.
'But mum I only use object oriented languages!'
'Shut up and write your FORTRAN. Who wants more punched cards?'
The most concerning part about this is that most Europeans don't realize how stagnant Europe has now become
Europeans are literally blue-pilled and are mostly concerned with climate change, immigration and the Ukraine war
Nobody in Europe is thinking why increasingly everything
The Japanese Yield curve is now the steepest in history.
This is also the fastest move in the Japanese yield curve's history.
A BOJ pivot is coming. The world isn't ready.
All my dad friends with 10-18 year old sons can’t get them to do anything with them.
Want to go camping? Nope.
Want to go on a hike? Nope.
Want to ride bikes? Nope.
Want a girlfriend? Nope.
Want to get your license? Nope.
They’re all addicted to video games.
Daughter: I need help with my maths homework
Me (smug): Of course! What is it? Algebra, statistics, probability...
Daughter (quietly): Geometry
Me: Actually I just remembered I have to wash my hair...
@quantymacro
I used to have a strategy like that, but I stupidly sold it. Mine also had a nice right tail, once a year I got a really big return. But I have heard of people running this who have experienced it stopping working quite unexpectedly so be careful.
I am down 4% in my trading account today but I would happily pay that for the joy of seeing the entire crypto universe and meme stock universe imploding.
I'm on TTU this weekend. Guess what I plan to talk about?
My latest blog post, perhaps?
"Vol targeting: A CA(g)R race"
[Lights blue touchpaper and runs away]
Been off this 'x' thing as on holiday but here's a short thread on fitting. Suppose we have some exogenous factor (like momentum) that predicts (we hope) risk adjusted return. So we need a response function to map from the factor to a forecasted risk adjusted return -> position.
Kwasi Kwarteng worked in finance but obviously didn't learn anything useful. If he'd ever had to hedge a 30 year Sterling barrier swaption with 2 hours to expiry then we wouldn't be in this mess.
most people 'using machine learning' actually have one 22 year old kid with a bootlegged copy of Matlab and a couple of half remembered college classes in econometrics they were too hungover to concentrate in.
Many investors think 'Carry' is a four-letter word.🤬
They couldn't be more wrong.🫠
Diversified carry is the OG risk premium strategy. 💪
NEW PAPER: Managed Futures Carry: A Practitioner's Guide
Links below: 👇
I just noticed that surpassed 1 million page views in the last few days. Okay, at least half of those were just me or members of my immediate family. But to the rest of you, thanks.
So Ethereum is moving to proof of stake whereby you get paid a yield to validate transactions. And the yield is somewhere north of 4%. So it costs 4% a year to run the network. This is many, many orders of magnitude higher than the cost of running the 'fiat' banking system :-)
1/ Flash Crash: A Trading Savant, a Global Manhunt, and the Most Mysterious Market Crash in History (Liam Vaughan)
"It is the story of a new financial elite and what happens when one man refuses to accept the cards he is dealt and decides to fight back."
I've just pushed a major upgrade to my open source python backtester, psystemtrade so you can: getting data from , storing in and , and allowing back-adjustment of futures prices. Read:
The best thing about trading futures is the opportunity for terrible puns. Like the lack of liquidity in milk futures. And with only a few days to expiry I will have to do my cheese roll. Can anyone think of anything worse?
I used to have a hard time wrapping my mind around recursive functions. Recently, though, I learned three characteristics of recursion that makes these functions easy to understand.
I used to have a hard time wrapping my mind around recursive functions. Recently, though, I learned three characteristics of recursion that makes these functions easy to understand.
For anyone who thinks stop losses are a panacea, my shares in GOG.LSE are down 19% on the open, well below my stop, but I'm still holding because there is literally nothing on the bid.
In my experience there are a lot of people who waste time on 'learning' the combination of self help nonsense and meaningless waffle that is 99% of current published non fiction and 99.9% of youtube. They would be better off spending 10% of the time reading five decent textbooks.
Optimal hedge ratio is 1.2 bitcoin (assuming current price of 60k) which guarantees 28k whatever happens (BTC over 100 or hits zero). And your hedge ratio wouldn't depend on your 'view' but on the delta of the option you're trying to hedge.
The Bitcoin Bet
@profplum99
payout profile for the 5:1 bitcoin bet with
@PeterMcCormack
Optimal hedge for a guaranteed Zero loss is at 0.53 Bitcoin. One can buy more or less bitcoin based on your bias of future bitcoin price move.
The whole target uni thing is total HR laziness to avoid screening too many applicants. "We want more diverse applicants, but everyone has to have done a Phd in one of 3 subjects at one of these 6 universities before even being considered"
Disclosure: BA Manchester, Msc Birkbeck
I have received some questions either in DM or LinkedIn on universities and PhDs that can help you A LOT land a role in a top quant fund. I am probably not the best person to answer but here is what I think:
In Europe there are 6 universities that are considered targets pretty
OUT NOW!
Advanced Futures Trading Strategies is the new, highly practical guide to futures trading strategies - by bestselling author
@investingidiocy
(author of Systematic Trading, Smart Portfolios and Leveraged Trading)
"What is needed is an electronic payment system based on cryptographic proof instead of trust, allowing any two willing parties to transact directly with each other without the need for a trusted third party, which is wrapped in an ETF and traded on NYSE so we can gamble on it"
"Rigged" by
@andyverity
is an absolute must read if you want to know what was really going on in the LIBOR 'fixing' that put
@robilypj
and my ex colleague Carlo Palombo amongst others behind bars and from which another ex Barcap trader
@SteliosConto
had a narrow escape.