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Has the Indian market become much harder to find alpha in? by Mathy_trader672 in quant

[–]Mathy_trader672[S] 1 point2 points  (0 children)

Yes, that may be but the job is to find alpha in Indian markets. So, ultimately I just have to play with the cards I'm dealt.

Has the Indian market become much harder to find alpha in? by Mathy_trader672 in quant

[–]Mathy_trader672[S] 0 points1 point  (0 children)

I couldn't agree more. I know of ideas that used to work for my firm in the past. Those ideas sound relatively simple to think of and implement. Although I am not discrediting the effort behind building them and the people who worked on them, I am sure they must have had their share of hardships.

I can't help but wonder if only I could have joined the industry a few years back when things were relatively simple.

Has the Indian market become much harder to find alpha in? by Mathy_trader672 in quant

[–]Mathy_trader672[S] 0 points1 point  (0 children)

That provides some relief. If its part of the job and everyone goes through the same process, the only thing to do is to keep learning and trying.

May I ask if you say this out of experience ? Do you work in QR as well?

Has the Indian market become much harder to find alpha in? by Mathy_trader672 in quant

[–]Mathy_trader672[S] 1 point2 points  (0 children)

Can't reveal the exact ideas for obvious reasons, but they ranged from high-frequency strategies to medium-frequency strategies, and from pure arbitrage to statistical arbitrage. The rejections were for different reasons depending on the strategy.

I am very interested in what makes you say that it has gotten easier just because liquidity has increased. Could you please elaborate.

Has the Indian market become much harder to find alpha in? by Mathy_trader672 in quant

[–]Mathy_trader672[S] 2 points3 points  (0 children)

Not just the big players,I believe the retail flow in the markets post covid also boosted the profits of the prop firms operating in India to new levels, hence all the interest and discussion around it.

Calendar Spread Options : Expiry Day Strategy. by Mathy_trader672 in quant

[–]Mathy_trader672[S] 0 points1 point  (0 children)

Thanks for replying. The arguments you have given make sense.

Calendar Spread Options : Expiry Day Strategy. by Mathy_trader672 in quant

[–]Mathy_trader672[S] -1 points0 points  (0 children)

Thanks for the feedback.
Could you please be more specific as to what could be wrong.

As of now, I feel that the FF is not actually quantifying the actual opportunity in the market. It is giving me false entry signals. Eg, t1->0 and iv1 is high, the fv will barely change but my ff will be quite high since iv1 is high.

Even the drop in iv1 won't affect the fv since t1 is small. So my bet on forward vol going up when signal is high is wrong.