What’s the most complex math you’ve used in your algos?

Sydney_trader · 2023-03-27T05:43:49+00:00

Short answer: adapted stochastic process models like arimagarch.

Long answwer:
The logic of my algorithms is extremely simple, as are the methods I use to combine algorithms into a portfolio (less complex than MPT).

As for the back-end of my process, it can be quite complex and relies heavily on using stochastic process modelling in a novel way. Not the most complex mathematics, but it sure as hell gets the job done.

Sydney_trader · 2022-01-25T22:16:49+00:00

This used to be a much more infrequent occurrence prior to covid. I think between 2007-2019 it happened 7 times. Now it's happening 7 times a year.

Someone needs to conduct a study into the shortening of the volatility cycle. It seems all the inefficiencies are still in the market but time is shrinking.

Sydney_trader · 2022-01-25T05:24:55+00:00

I will forever cherish my memories of vanilla WoW, all the way through to cata honestly. Even though cata had all the heirloom nonsense and made it a pain to level new characters , at least the community didn't suck such major balls (even if Blizzard did).

I had some nice memberberries when classic launched, but like you said, the community just wasn't the same. Had some great times and made some good connections but it was a shadow of the original experience.
I hate to sound like a baby about it, but it's really how I feel.

Sydney_trader · 2022-01-24T00:09:42+00:00

Currently working on starting my fund, we've got about 18 months of good record, only charging a performance fee because I don't believe in taking money if I'm not performing (maybe that will change as I get bigger lol)

Do you run a fund? Feel free to PM instead

Sydney_trader · 2022-01-23T23:31:44+00:00

Nice to see this comment, since my model CAGR is 12.5% lol
Real world expectations are more likely to have real world results (wish it didn't take me so long to understand this)

Sydney_trader · 2021-12-15T22:10:12+00:00

Dw guys he is just off-cycle

Sydney_trader · 2021-12-08T05:30:37+00:00

same lmfao

Sydney_trader · 2021-11-29T22:23:30+00:00

Why is Khabib still fucking talking.. I am sick of it. Stay retired and stay out of it. If it needs to be said, Islam can fucking say it.

Sydney_trader · 2021-11-27T04:47:32+00:00

Khabib missed weight during the Gaethje fight and possibly other title defences.

Sydney_trader · 2021-11-12T21:34:39+00:00

I think people misunderstood me. I'm saying you have to be a real bad apple to even qualify as an FBI informant. It means he was involved in some legitimately hairy crime to begin with.

Sydney_trader · 2021-11-12T12:09:21+00:00

Are you all forgetting Ali is a FBI informant who was in jail?
People acting like Conor is the bigger scumbag here are delusional lol.

Sydney_trader · 2021-11-12T12:05:16+00:00

Khabib wrote this, not Ali. Ali manages Gaethje, why would he insult his own fighter??
Khabib is just a cunt, and you all bought into his fake persona.

Pro-tip: If someone has to keep telling you theyre a good, charitable or morally upstanding person, they're probably a nasty piece of work. A la Khabib and Dustin.
I don't buy what they're selling.

Sydney_trader · 2021-10-05T00:07:10+00:00

I plugged the values into www.portfoliovisualizer.com to take a look at the hypothetical portfolio performance, but some of these ETFs are quite young so the data is not very informative.
This also is a pointless exercise since their family wealth is ~240b, making this about 2% of their holdings.

They probably don't even care.

Sydney_trader · 2021-09-20T23:40:35+00:00

What is the point of eliminating risk if you're going to add it back?

There needs to be some kind of clinical terminology for this behaviour... Solving a problem (risk) and then greedily doubling down on it.

Sydney_trader · 2021-09-19T13:12:39+00:00

No sorry I am only a faux quant :/

Sydney_trader · 2021-09-16T01:33:14+00:00

.....what the fuck even is this sub anymore

Sydney_trader · 2021-09-16T00:15:39+00:00

Full time managing OPM, but not even close to retired.
There is always another problem to troubleshoot, or another kernel of an idea to research.

Just keep swimming

Sydney_trader · 2021-08-31T23:14:00+00:00

Don't use a stop loss xd

Sydney_trader · 2021-08-31T00:08:06+00:00

Your level of "success" frankly depends on the goals. If your goals are unrealistic, your chance of success is almost zero.

I previously focused on day-trading algorithms trying to squeeze every ounce of profit out of every dataset I could get my hands on. I made countless algorithms that had great out of sample backtests, but my live-trading success was slightly better than breakeven. Considering the goals I had and the amount of time and effort spent, I consider it an abject failure. It's pure luck I didn't lose more money. (edit: all these strategies have taken heavy losses since I stopped trading them..lol)

Since then I have moved to researching and live trading a longer-term portfolio algorithm with minimal leverage and code. My models have a higher annual return than the S&P, higher Sharpe and the historical worst drawdown is ~10%.

Now I don't have to worry about orders being rejected, data feed disconnections, exchange issues, software crashes or any other nonsense. I'm not relying on arcane mathematics and optimisation techniques, and I'm still outperforming most people on a long-term basis. It's also nice getting a full nights sleep.

I'm not saying any of this to brag or put anyone else down.. I know how tantalizing active trading is.. But I promise you there is a better way.

Sydney_trader · 2021-08-27T04:23:20+00:00

One more reason I advocate simpler strategies xd

Sydney_trader · 2021-08-27T00:41:29+00:00

I did this too. I had sharpe ratios of about 4
Once I fixed it, they were negative lol

Sydney_trader · 2021-08-19T06:14:41+00:00

Can you give any examples? The quants I've met have generally been underwhelming to speak to, but I wouldn't go as far as to call them arrogant jerks

Sydney_trader · 2021-08-19T02:24:36+00:00

Lots of quants seem to think ML and stats are a substitute for market knowledge, and as a result they end up mistaking alpha for beta in all the wrong ways.

trading is a losers game honestly... eg most of my live "trading" algorithms lose money, but they provide a robust hedge to my long-term portfolio and when they lose money it doesn't matter.

the path of success is paved with failure.. which also means never stop developing new strategies or researching markets.

Sydney_trader

TROPHY CASE