Played poker for a really long time and at pretty high levels of the game.
If you read this and conclude that all I have to do is to wait for the top 5 hands, you WILL, on average, do better than a vast majority of players - because the number one mistake is being too loose, and
Every quant knows the secret to alpha is:
1) Download 5 years of SPY data from Yahoo Finance
2) Backtest 47 different indicators until ONE works
3) Curve fit until your Sharpe is 8.7
4) Show it to NO ONE who might ask questions
5) Paper trade for 3 days
6) Go live with your life
There are only 4 ways to make money:
1. You are selling a service - e.g. providing liquidity/options for willing buyers.
2. You are earning a risk premium for doing something risky with your cash, e.g. you are willing to buy growth stocks before they have become empirically
very good point - his podcasts sample from a large space of knowledge, the probability of being wrong increases as a fn of the num of podcasts.. if he does 2 podcasts, chances of being wrong is 40%, if he does 6 podcasts, chances of being wrong is 120%, but that's another matter
I should have known the Quant Trading X Poker intersection is large. Since there is some engagement here, let me share something interesting that is relevant to both sides of the house.
Non-ergodicity. If you google this word it will tell you something about something not
Played poker for a really long time and at pretty high levels of the game.
If you read this and conclude that all I have to do is to wait for the top 5 hands, you WILL, on average, do better than a vast majority of players - because the number one mistake is being too loose, and
Love seeing people discover that "momentum works" after backtesting QQQ for 6 months.
Congrats, you just rediscovered a risk factor that's been in textbooks since 1993, has 10,000 academic papers written about it, and is currently being harvested by $500B in AUM.
Your 200-day
An Introduction to Statistical Arbitrage In The Form Of Books:
Big Picture:
โข Quantitative Portfolio Management (Isichenko)
A-Z of statarb, greatest hits: Forecasting, Forecast Combining
Creating Signals:
โข Quantitative Trading (Chan)
Mean reversion and momentum intro,
You cannot build edge in markets you don't understand.
Harris teaches you how markets ACTUALLY work and who are the participants you are trading against, and WHY they trade, not the fantasy version you learned from YouTube.
Most rookie mistakes come down to not understanding
"The difficult part is not to make some money with high sharpe - it's to make A LOT of money with sufficiently high sharpe.
15 million dollars a year with 30 sharpe, who cares.
15 billion a year with 2 sharpe, that's hard."
This is honestly the biggest take-away anyone that's
Multi-Manager Hedge Funds & Thinking Deeply About Simple Things with @__paleologo
In this episode I chat with Giuseppe Paleologo โ or Gappy as he likes to be called. Currently on garden leave, Gappy has previously worked in Risk & Quantitative Analytics at Citadel, as Head of
A lecture to stanford grads from a CEO of a PE firm, having ran it for 23 years to > 15B AUM.
Summary:
1. Don't play to not lose, play for an asymmetric upside.
Loss is often capped to 1x your capital. Figure out levers in business that stack exponentially: strong management
I make money because:
[ ] I am harvesting risk premia
[โ ] I have alpha from superior models
[โ ] I have alpha from superior data/information
[ ] I have superior access to cost/rebates
[ ] I don't
I keep my money / sustain a moat because my strategy:
[ ] Has
