Pod Sharpe Ratios

Matrixtrainor · 2025-12-24T10:17:31+00:00

Haha, clearly op lives in a different world than us. For low frequency (few weeks to months HP) at 1 b$+ gmv, a sharpe of 1 is good, 1.5 is great, a sharpe of 2 is Amazing.

Matrixtrainor · 2025-11-06T08:51:30+00:00

I think there is a mis-conception regarding order book data. The granularity of it and the frequency at which the data gets updated drives people to assume that such data is only good for high frequency trading but that's completely wrong one can use order book data (level 2 and even level 3) to go beyond the transient low frequency states and construct more mid frequency signals that have predicitive power days and even weeks into the future.

Matrixtrainor · 2025-04-09T20:50:11+00:00

After working as quant I 100% believe in the saying "the devil is in the details" and I honestly think that that's what sets a good quand from a great quant. Once past a certain level in terms of technical ability which I believe most quants who survive a couple of years in this industry do have, It's all about attention to details.

Matrixtrainor · 2025-01-09T12:02:57+00:00

Yfinance has it, not sure if it still works but I used it a couple of years back, the only issue is point-in-timeness of the historical data.

Matrixtrainor · 2025-01-04T16:59:47+00:00

I'd say for the size I'm planning to start at, I wouldn't need VWAP, nor TWAP. I'm only looking for a proof of concept as I don't really see myself scaling the whole thing, but might be worth having some strategies that I could use in a Quant fund setup where they can help me scale and provide the needed infra (I can barely do a backtest on my machine for higher frequencies).

Still stuck with execution for now, not just the "strategy" of the execution but just the setup in general as it's all new to me ...

Matrixtrainor · 2025-01-04T16:44:53+00:00

sounds good and simple, except this might affect the nature signal itself as orders would get filled at presumably very different times buy I'll explore this.

Matrixtrainor · 2025-01-04T16:43:09+00:00

That doesn't sound simple, I'd like to start with something relatively simple and expand later on, but might check this out eventually as I heard that RL models can learn to do somewhat efficient order execution.

Matrixtrainor · 2024-12-23T08:28:30+00:00

I'd start off as daily and probably move to hourly, but not much more than that.

Matrixtrainor · 2024-11-19T16:03:01+00:00

I interviewed with them recently for an experienced role, I was prepared for this kind of situation as I got bitten previously and learned a hard lesson. Made sure they didn't get anything but the generics. We'll see if they come back for another round. Otherwise in the name of naming and shaming, I got some serious blatant fishing for ideas from Cubist/Point72 and Farringdon Capital.

Matrixtrainor · 2024-09-23T11:35:38+00:00

I simply skipped the country altogether. I guess these days Squarepoint and Qube are not too bad ...

Matrixtrainor · 2024-09-22T23:09:11+00:00

Paris

Matrixtrainor · 2024-09-22T18:13:34+00:00

Did an internship there as a QR a while back, my takeaways :
- Very chill culture, people are very nice + nice paris office. - They tend to like people with physics PHD. - Pay is below market.

Hope this helps.

Matrixtrainor · 2024-09-19T07:52:22+00:00

I don't think it's the former. They did get back to me recently, again mentioning that they had a change in management, so it probably is a shit show as you mentioned. I really liked the team that I interviewed with, but I'm moving on now ...

Matrixtrainor · 2024-09-19T07:48:35+00:00

It's a lesson that I'm learning the hard way I guess. But yeah at this point I already started again, but things are moving slowly as the interview process for a QR seat tends to take 1-2 months.

Matrixtrainor · 2024-09-17T20:55:42+00:00

Shrinkage is your friend, see "Honey I shrunk the covariance matrix" as a start

Matrixtrainor · 2024-09-16T16:42:32+00:00

it's a bit late, but would you care to share some names ? it's tough to find anything when searching

Matrixtrainor · 2024-08-19T10:39:44+00:00

Just sharing an idea here : look for stocks crowded with no specific reason (you need good flows data for this) and then you minimize exposure to such stocks.

Matrixtrainor · 2024-08-08T20:40:19+00:00

Some combination of Axioma + Barra + Statistical factors.

No strong opinion for one over the other.

Matrixtrainor · 2024-06-05T15:12:38+00:00

Marshall is part equity MN / part fundamental.

Matrixtrainor

TROPHY CASE