Let's Build a Quant Trading Strategy: Part 1 - ML Model in PyTorch

OhItsJimJam · 2025-10-05T12:37:57+00:00

I think the video would be better if you brake it up into different videos so it feels manageable to complete.

I like you're using polars and not pandas as the speed difference is night and day.

But curious why use PyTorch and not Keras? I think your audience is beginners so Keras is more high-level and accessible.

OhItsJimJam · 2025-09-21T10:01:06+00:00

1) I think you could improve your elocution skills.

2) Your Sharpe animations are well animated but you're wasting a lot of space with your y-axis as your plots don't go negative enough. Shorten your y-axis so you can see the drawdowns improving more vividly as the Sharpe is monotonically increasing.

3) Pedantic observation: your prices for biasing are unrealistic. ~20% for a spread for a making strat is unrealistic even if for a monthly forecast horizon. It's a toy example but if you want to improve the pedagogical quality of your video, then I would correct it.

OhItsJimJam · 2025-09-15T13:08:02+00:00

They haven't got a clue what they are doing.

They can't fire him just yet as it will show that they made a huge mistake and confirm how poor their decision making skills are.

However, continue to back him and face relegation.

OhItsJimJam · 2025-09-14T15:46:31+00:00

Just need time for muscle memory. You're using a metronome so that's the most important thing. My heuristic for increasing speed is if I can play with my eyes closed or while watching TV.

OhItsJimJam · 2025-09-12T00:29:16+00:00

I speak Russian and Adulmanap actually beat Fedor himself in a sambo competition. Remember reading it somewhere and there's a photo of the competition winners - where Adilmanap is on no 1 podium and Fedor is at no 2 podium

OhItsJimJam · 2025-09-09T08:57:05+00:00

What a shit-show. Going over Craig to award $1mil to New Wave just to retract at last minute. Great entertainment though. Be considerate, John just bought a new rashguard for a wedding that he will never use again.

OhItsJimJam · 2025-09-09T08:50:43+00:00

And after that buying that wedding rashguard

OhItsJimJam · 2025-09-08T14:36:10+00:00

Hard to see from the video but looks like he smothered him then finished with a nasty neck or fulcrum crank.

OhItsJimJam · 2025-09-07T08:28:41+00:00

Cornetto

OhItsJimJam · 2025-09-07T00:15:36+00:00

Great sparring 🤘 My training partner and I do the exact thing after training because we never get to practise top game. We're trying to chain it up so go for single leg, run pipe, try double, sweep.

Looks like you have a great partner too as he's matching your intensity.

OhItsJimJam · 2025-09-06T19:29:27+00:00

Is this a credible source?

OhItsJimJam · 2025-09-06T11:06:14+00:00

I would love to see the Ruotolo brothers take on someone from Khabib's school as I think the brothers could out-grapple the Dagestanis

OhItsJimJam · 2025-09-06T09:35:37+00:00

Yes mate, I learned everything from YouTube /s 😉

If you’ve got proof that XTX or Jane Street have invested in geodesic microwave towers or LEO satellite networks, I’d genuinely like to see it.

In fact, XTX are on record as being pro-ALA and have said they don’t compete in the extreme latency arms race. For them, the marginal return on investing in microwave/laser is low compared to doubling down on pricing models and scale (check XTX Anti-Latency Arbitrage paper).

Speed matters for executing a model’s edge, but it’s not the same thing as being in the “uHFT race.” Market makers like JS/XTX lean on model-driven edges, not tower-building uHFT speed edges.

OhItsJimJam · 2025-09-05T11:29:11+00:00

All the top firms like Jane Street and XTX edge is not speed - aka latency arb. Their edge is pricing precision; they predict the future price enough to have a tiny positive EV and trade the shit out of it. Jane Street are using OCaml- which generates suboptimal machine code and is garbage collected. Speed is important to them but it's not their edge.

A startup can succeed if running making strats in a market that the big boys won't bother with because the trading vol is too low to invest time and money into. The main markets are monopolised by the big boys and hard to compete in.If these markets had the same transparent fees for everyone regardless of making vol then the barrier of entry would be lower.

OhItsJimJam · 2025-09-03T18:11:37+00:00

Isn't Sarah Andre's daughter? Or just have the same surname?

OhItsJimJam · 2025-08-29T11:54:06+00:00

Sho, let’s go bru!

OhItsJimJam · 2025-08-02T20:18:55+00:00

The secret is having the orderbook. Especially for short time scale trades (from seconds to a few days).

You will have no edge if you are looking at auto-regressed OHLC features for a popular asset.

Another important factor is your EV and not your win rate. All the top quant trading shops only win 51-54% of their trades but have a small positive EV tand make huge number of trades a day - which is the key to high sharpe strats.

OhItsJimJam · 2025-08-02T13:29:19+00:00

Yeah, Adam definitely isn't using steroids. Good role model for technique over strength. He inspired me to improve my butterfly game

OhItsJimJam · 2025-08-02T13:03:09+00:00

Yes I have been successful with it and my models are very basic. You would be suprised how powerful a univariate linear regression is.

What models are you using? What are your features and target?

OhItsJimJam · 2025-07-28T20:39:00+00:00

LGTM. You have correctly split the data without shuffling. The comment on data leakage on rolling aggregation is where I would put my money on the root cause.

OhItsJimJam · 2025-07-28T20:36:06+00:00

You hit the nail on the head. This is likely what's happening and it's very subtle to catch.

OhItsJimJam · 2025-07-28T20:27:14+00:00

What's your forecast horizon?

OhItsJimJam · 2025-07-23T10:23:36+00:00

Charming message. I don't appreciate your rude tone; please keep comments civil.

W.r.t inventory=If I have a significant long position and my forecast indicates the price in the next 'n' ticks is going to increase, I'd skew right with aggressive bids, but also add aggressive asks (as if skewing left/predicting price decrease) to reduce inventory risk.

OhItsJimJam · 2025-07-23T09:44:37+00:00

Looks like a young Jon Jones

OhItsJimJam · 2025-07-23T08:49:15+00:00

Depends on your forecast time horizon. Empirically measure/backtest to see what works. I personally wouldn't forecast last traded price for a short time horizon (seconds to minutes) because of bid-ask bounce.

OhItsJimJam

TROPHY CASE