Over Time #idea
I wonder what a plot of Edge signals over time would look like? Sine wave? Predator/Prey oscillator? I wonder if those plots would be predictive of other things… –h
Category: Creativity
How to Independently Verify a Quant System #idea #alphastreamverification
How to independently verify any quant-based system without using or disclosing any proprietary information One of the biggest problems for prop shops, firms and hedge funds is independently verifying the results of quant-based systems and portfolio managers. Firms need to verify to invest but developers and pm’s don’t want to divulge their proprietary algorithms, their Read more about How to Independently Verify a Quant System #idea #alphastreamverification[…]
Always In #idea
How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model? Where ‘Aways In’ may simply try to capture drift, Place for options? Vig kills? Continuous vs discrete, … –h
[Saturday Ideas] How Does a Quant Practice? #idea
Lacrosse fall season started last night and I got a note from son’s mom: Son is best player on field! Son has worked and practiced hard over the last year, I am proud and happy for him. I get a second note from mom: Son signed up for wrong league, playing against kids 2 grade levels Read more about [Saturday Ideas] How Does a Quant Practice? #idea[…]
Trend Following with Mean Reversion #idea
Trend Following with Mean Reversion Keep a list of markets that are trending (however one likes to define trending) Use a favorite reversion strategy to buy/sell pullbacks from the trend That way you will be trading in direction of the trend, but perhaps using a strategy with a bigger edge – because now you are trading Read more about Trend Following with Mean Reversion #idea[…]
What the Learners and Explorers Know #idea
What the Learners and Explorers Know It’s all metaphors and analogies –h
Old Problems New Solutions #idea
I really want to use Mathematica. But our current solutions are fast and work. We don’t need Mathematica for this problem. If we want to use Mathematica, what we need is a new problem. A problem that adds to the solution space of our current problem from a new/different perspective. We need to build a Read more about Old Problems New Solutions #idea[…]
Patience #idea
In an increasingly ADD world, I wonder if patience isn’t it’s own edge, –h
5-3-1 #idea
5-3-1 I use a program called 5-3-1 in my strength training which I find remarkably effective because it drives me to improve each week. Here’s a way to use (a complete bastardization of) the 5-3-1 program to find and develop new trading edges: Week 1, Foundation Identify and test 5 new trading ideas Week 2, Read more about 5-3-1 #idea[…]
You Can’t Step Into the Same River Twice #idea
“You can’t step into the same river twice.” A flowing river constantly changes its contents: the waters in front of us move on and others replenish them. Heraclitus says the cosmos functions in the same way way: new things come into being, others die, and everything is transformed. Look around: • New laws are enacted and Read more about You Can’t Step Into the Same River Twice #idea[…]