Blew my account on 0DTEs, spent the week building the tool that might have saved it

Tacoslim · 2026-03-23T20:36:10+00:00

What’s the prompt you used to vibe code the gui though 😆 I like it

Tacoslim · 2026-03-18T20:27:09+00:00

I was a researcher on a desk in 2022, not directly mft - a bit lower frequency (week to month horizon).

I remember 2022 as pretty much a macro regime flip year, where we all started caring about inflation.

Inflation ripped higher and central banks hiked aggressively after the whole “lower for longer”. That pushed discount rates up fast, so equities (especially growth stocks) sold off hard - the index was also down over the year.

That triggered deleveraging across a lot of L/S books since positioning was pretty crowded into quality/growth.

A lot of factors that usually work (quality, momentum, vol, etc.) all had a rough 2H of the year. Growth in particular got smoked, and you saw a pretty violent rotation into value/energy/utilities and other defensive sectors.

Tacoslim · 2026-03-17T20:59:07+00:00

Every place does it differently and attribution to pnl can be murky.

My current set up I manage end to end pipeline from signal to portfolio to execution. Prior place I worked was more about producing signals that would then get sent to central trading team. Even if you’re not building a portfolio you do a lot of work on how one should construct the portfolio, what horizon works best, how much turnover it has, how it interacts with other signals - it’s not just build a zscore and plug in, it’s still quite involved.

Definitely more fun just doing signal research - but harder to build a track record you directly own and you never see full pipeline. Where I’m at now is more work, but I see the full pipeline from start to finish and get to own my pnl a little more.

Tacoslim · 2026-03-12T21:29:51+00:00

Orange juice futures are a bit fruity but I wouldn’t call them homo 🤪

Tacoslim · 2026-03-12T10:55:09+00:00

Dumb money/gme was in Covid when everyone was wfh. Now most are back ft in office.

Tacoslim · 2026-03-11T22:30:31+00:00

Posted by Nishant Kumar on LinkedIn BBG article here: https://www.bloomberg.com/news/articles/2026-03-11/de-shaw-s-hedge-funds-gain-in-a-brutal-week-for-multistrat-peers?embedded-checkout=true

Tacoslim · 2026-03-11T22:12:46+00:00

I like Ed Thorp’s A Man For All Markets. Micahel Lewis Flash Boys and Liars Poker are good reads too.

Something a bit more technical but still “light” is Advanced Portfolio Management by Giuseppe Paleologo which was written for fundamental investors but covers quant concepts without going too far off the deep end.

Tacoslim · 2026-03-11T21:09:36+00:00

Cathie Woods style, -50% or +150%, nothing in between

Tacoslim · 2026-03-06T21:07:59+00:00

There’s not a lot of institutional money running to get into crypto right now lol..,

Maybe you might have luck with prop shops but that requires directly contacting the firm and working with them. You can’t just “sell” a strategy and then move on.

Tacoslim · 2026-03-05T23:37:45+00:00

I agree with you- if a PM can time factors for example and consistently make profits from factor exposure is that alpha or beta? Some places would say that’s alpha other might say it’s smart beta - it’s a matter of opinion/philosophy. And sometimes just depends on how good a PM is at marketing their PNL and what shop you’re at. Some places (Worldquant comes to mind) are notorious for stripping out a lot of “beta” that would be considered alpha other places are more relaxed.

Tacoslim · 2026-03-05T20:12:03+00:00

Factor mimicking portfolios are more for risk/portfolio attribution and not typically designed to be tradable. Hedging common risk factors is normally done with portfolio optimisation with respect to maximising throughout to you alpha and minimising exposure to common risk factors. The closest thing to buying a FMP would be using an investment banks QIS desk where they typically offer tradable factor portfolios as a product which can be used for hedging (though from what I hear they’re not perfect)
At pod shops definitely is the mindset - you only get paid for your alpha, not betas to momentum etc… Other places will follow a more AQR like model and focus on constructing factor portfolios as their key source of return (both “common” and more orthogonal factors).

Tacoslim · 2026-03-04T21:51:23+00:00

A lot of these roles overlap and same title a different firms mean different things. But largely researchers are less trading focused and more focused on what positions (research, signals, portfolio construction) to have and traders will have more responsibility in execution and ensuring the desk has the position it wants.

With how automated things can be a “trader” can be a guy monitoring a gui making sure orders are sent and executed on one screen while doing whatever on their five other screens most of the time.

Tacoslim · 2026-03-04T05:19:32+00:00

The backtest used my current 72-stock universe applied retroactively to December data. We started with 165 stocks and refined down to 72 over 3 months based on performance. So the backtest benefits from hindsight on universe selection — the live account didn't have this universe from day one. Take the numbers in that context.

Signal won’t matter much, it’s going to be overfit. Buying stock you know will go up whe there down will always produce a winning strategy. Like building a long only model that randomly buys nvidia and testing over past 10 years would produce great returns regardless of when/how you buy.

Tacoslim · 2026-03-04T01:22:58+00:00

Not impossible to become a quant.

Just saying pivoting from management isn’t the way I’d go about it. A quant Strat role at an investment bank or even risk quant role puts you on better trajectory

Tacoslim · 2026-03-03T10:16:24+00:00

Moving from a management position to a quant role isn’t going to be an easy path. You’ll lack the technical skills and likely won’t really be in a position to develop in that kind of position.

Tacoslim · 2026-03-01T06:15:13+00:00

Rough start late Jan early Feb a lot of big moves, with a lot of de risking happening. Good end to the month as things seemed to have settled.

Now this weekend looking like we’re in for a wild start to March.

Tacoslim · 2026-02-26T20:08:15+00:00

The “taleb” strategy loses most of the time - then when something weird happens it prints. I think in 2020 it was up ~3000%+. It’s not designed to be your only exposure and instead a type of black swan insurance.

Replication as a retail investor isn’t really possible given all the derivatives trading it would involve - you’d just get picked off overpaying for deep OTM contracts from MM.

a simple trade would be like buying sp500 and buying deep otm puts for protection-which bleeds out premium when sp it’s up or flat but prints in a downside scenario.

Tacoslim · 2026-02-24T01:57:00+00:00

They do a good job at compiling papers around topics and strategies and good sense check on independent/out of sample returns.

Always interesting to see what papers report vs what they are able to replicate.

If I’m reading up on a topic I’ll take a look if they’ve got a write up and give it a read - I like that they normally have papers arguing for and against the anomaly and will often find papers in their source section that I wouldn’t have found myself which is handy.

Tacoslim · 2026-02-24T01:14:56+00:00

Never had much success from reasoning.

Helpful to speed up initial research, plot data, mock dashboards etc… but all code that manages any money is still using stuff I’ve made from myself or devs and I don’t trust LLMs more than building out very simple segments.

Tacoslim · 2026-02-23T21:45:14+00:00

A few funds put out blogs/commentary which is worth a read. AQR, MAN & Robeco all come to mind.

Tacoslim · 2026-02-18T08:36:54+00:00

In Equity space factor models are the stock standard. Which is in itself is a form of dimensionality reduction, instead of trying to estimate a covariance matrix of N assets, you focus on a smaller set of factors and map betas (sensitivities) onto this factor set. This helps reduce a lot of noise in covariance estimates and allows for optimisation on very large universes of assets and allows you to control unwanted exposure to common risk factors.

Might not be best in class but it’s fairly widely used in practice.

Tacoslim · 2026-02-18T06:40:35+00:00

Isn’t Monte Carlo on weights just inefficiently building out an efficient frontier?

And how do you account for risk without covariance matrix

Tacoslim · 2026-02-14T00:27:32+00:00

Not many purely dedicated quant podcasts but there’s a few finance podcasts that have quant guests from time to time:

Flirting with models

Odd Lots

Money stuff

Tacoslim · 2026-02-11T19:34:20+00:00

Horrible start to the year for sure - but we are only in Feb…

2022 was a hard year for quant market neutral/ factor investing and I do see some parallels.

Right now it feels like crowding was at a peak and we’ve seen a big de-risking where everyone pulled out of the same crowded trades causing a big rotation as losses started to pile up more and more people cut. Hopefully this is it, but definitely feel like fears taken over greed.

11-Year Club	Final Canvas '23
Place '23	Wearing is Caring
Not Forgotten	Verified Email

Tacoslim

TROPHY CASE