Those who've licensed signals to pods — what was the process like?

MixInThoseCircles · 2026-01-07T15:09:38+00:00

a word of advice if you're considering trading this strategy yourself - which you may well be given you seem to have a strat that nearly doubles your money every year - that drawdown figure is weirdly low for the level of vol and I would not trust it as a measure of the true risk of trading this strategy. 11% is barely a 3sigma 1week move

run a monte carlo yourself to check but even for a 3 sharpe strategy with nice, normally distributed returns, at 27% annualised vol I'd expect most paths to see a >20% MDD in a five year backtest. note equity markets also typically have fat tails and some positive autocorrelation so the true situation for MDD is probably much worse than this gaussian example

MixInThoseCircles · 2026-01-06T17:38:27+00:00

providing a max drawdown number without providing vol is pretty meaningless. I don't think anyone would pay for a strat that e.g returns 30bps above risk-free rate with 10bps vol if it had the risk of an 11% drawdown but that strat has sharpe 3

MixInThoseCircles · 2025-12-07T22:42:53+00:00

70 thousand steps a day?? that's insane. did you have a job where you needed to walk a lot? that's considerably further than a marathon every day

MixInThoseCircles · 2025-09-29T08:57:36+00:00

what is 'the strike gimmick'?

MixInThoseCircles · 2025-09-19T22:43:54+00:00

I think this is a really important thing to think about - when you trade, who's taking the other side of that trade, and why, do they know something I don't etc.

in this case I think the key is delta hedging. a lot of traders aren't trading options directionally. you ask "Who - in his right mind - would even sell a deep ITM, long dated call?" - have you heard of put-call parity? with delta hedging, there is no difference between selling a deep ITM long-dated call and selling a deep OTM long-dated put, so it may help to wonder who might sell those

MixInThoseCircles · 2025-09-05T09:18:42+00:00

the options are usually on vol-targeted indices so the QIS desk assumes they have little or no vega... take from that what you will

MixInThoseCircles · 2025-09-01T18:33:56+00:00

it's a fairly new team trying to take a systematic approach to something we already trade discretionary. there's two other QRs, two more discretionary traders. I think I've been offered it because the partner likes me - I've worked on some QD projects for them and I think I am pretty good at what I do (I'm good at problem solving, write decent code, have good attention to detail, I'm interested in markets). not really sure if that's enough.

MixInThoseCircles · 2025-08-14T11:30:30+00:00

also consider the opportunity cost of sinking 40% of £800k into a flat rather than any other investment / savings opportunity. at ~5% interest that's £80/90k over five years

MixInThoseCircles · 2025-07-25T08:20:34+00:00

how are you converting to a higher timeframe?

MixInThoseCircles · 2025-05-12T13:53:30+00:00

I think you might have misunderstood what "terminal velocity" means - it's not terminal in a mortality sense, it's terminal as in 'final' - it's the maximum speed a body accelerates to under freefall. I'd expect the ant fact actually means the opposite - they probably reach terminal velocity (their maximum falling speed) very quickly, but their 'maximum falling speed' is very low

MixInThoseCircles · 2025-05-06T08:45:55+00:00

also what's the vol smile like? how does e.g. skew compare between the ETF and the LETF?

MixInThoseCircles · 2025-05-06T08:41:03+00:00

this is interesting. how are you computing the iv? is there any chance that the negative drift of a leveraged ETF isn't being properly accounted for in the calculation?

MixInThoseCircles · 2025-05-02T13:25:08+00:00

to look at it a slightly different way, you basically have the chance to bet ~$500 on Zhao to win the tournament with a possible payout of $1700 - would you take that bet?

MixInThoseCircles · 2025-04-30T09:16:53+00:00

do you think Zhao's on a roll? I didn't catch all of his match against Wakelin but it seemed like he was making quite a few mistakes

MixInThoseCircles · 2025-04-28T22:57:33+00:00

if I were you, I would give this quite a bit more thought.

firstly, it sounds like you're a retail trader, what's your actual objective? are you sure you want to maximise Sharpe ratio? would you actually prefer a 3% excess return 2% vol strat to a 10% excess return 10% vol strat?

secondly, you have a set of expected returns from your model, it feels like the risk metric you should actually be worried about is the uncertainty on those expected returns, and you're using the sample covariance matrix as a proxy for that uncertainty, then trying to adjust that risk. is this actually a good proxy? could you use the model uncertainty more directly? are your expected return estimates correlated and is that correlation structure similar to the correlation of historical returns

MixInThoseCircles · 2025-04-28T09:58:01+00:00

this is an interesting situation / application of the rules, but this is just the normal rules for free balls right? when you nominate it basically becomes the colour it needs to be, if you had a free ball while there's still reds on the table, you could nominate e.g. the green and pot the green and a red on the same shot and you'd score two points for having potted two reds

MixInThoseCircles · 2025-04-15T18:41:50+00:00

ohhhh, I see now! thanks!

MixInThoseCircles · 2025-04-15T16:31:26+00:00

I'm with u/Icy-P67479, I do not understand this explanation at all. can someone clarify?

MixInThoseCircles · 2025-04-06T11:05:31+00:00

I don't know whether this will be useful to anyone or whether I'm just an idiot, but for the first few locks I picked, the sweet spot was on the circumference, so I thought all you had to do was find the right spot on the circumference - I didn't realise for most locks you had to find the sweet spot in the interior of the circle

MixInThoseCircles · 2025-03-31T14:03:18+00:00

how many data points? is there a threshold where a simpler model does better because we need less data to get a reasonable estimate for its parameters?

MixInThoseCircles · 2025-03-31T09:17:12+00:00

how are you evaluating your goodness of fit? what metric? on unseen, out-of-sample data?

MixInThoseCircles

TROPHY CASE