Marco

Anybody doing pairs trading? How do you survive that absolute boredom (asking for a friend)? What is your basket/strategy? By the way, do you want a (in the future) thread with everything (very little) I know about pairs trading? Or something else?

@Electrofountain @levelsio Dude, Lisbon is packed with "expats"

@levelsio One thing I couldn't understand in Lisbon is you pick some okay-looking restaurant, not even really in the centre, and you'd be paying like UK prices there. I was sometimes astonished by how expensive eating out was in a country that's so relatively poor compared to the UK

🇵🇹 If you have ever dealt with any Portuguese business (and I have with many in my 5 years here) you know why Portuguese in Portugal simply do not care about work, some foreigners find that refreshing, but it results in a country where you can't find anyone to do work because nobody wants to work And when they do work, the work is generally bad, like imagine stepping into a time machine back to 1970s bad, they also can't follow the spec you agreed upon beforehand, and then when it's 60% done they disappear and ghost you When we did home renovatiom, you hire ppl, they arrive late at 9am (you agreed 8am), they then drive away to get materials, come back 11am, do actual work for an hour, then at 12noon announce they go for lunch, come back around 2.30pm, walk around a bit, do some work, and then leave early at 4pm It's not just construction workers, it's almost every interaction you have here with a Portuguese business, the quality is just low, the service non-existent or customer-hostile, and it's not the language, I speak fluent Portuguese, I'm respectful and friendly which is why I never ever had this amount of issues elsewhere in the world And I know it's not just my experience, it's everyone I know here, even Portuguese complain about Portuguese! It's not completely their fault though, the hostile tax system for both people and businesses literally gives you an incentive to never ever scale your business beyond I believe around €150,000/year, because you end up in a completely different category and tax tier that decimates you with more taxes and more bookkeeping So every business tries to stay small, and doesn't want more customers (how many times have I walked into a Portuguese cafe or shop and the staff or owner *sighed* "not another customer") Add decades of socialist governments that hand out free money to 50% of the country (and even the right wing parties here are socialist btw, they have to be or they don't get votes) and you don't have any incentive to work left Why work when you don't need to work? The majority of the young smart Portuguese people with actual ambitions understandably move elsewhere, because if there's no incentive to grow a business, there's also no jobs for them, and the whole thing becomes a vicious cycle of increasing poverty Which is why I said Portuguese in Portugal at the beginning of this tweet, because Portuguese outside of Portugal are ambitious, want to work, want to improve their lives! Bringing in lots of foreigners like me by the government as a way to pump money into the system, we spend a lot and it pays for the welfare, healthcare and retirements of Portuguese now, but it's not a structural solution (and we also instantly became the scapegoat for the government's decades of mismanagement) It'd be relatively easy to fix this though if people in Portugal would put on their thinking hat: 💡 Make Portugal a great place to start and run a business, model yourself after Singapore but with extremely low taxes (maybe 5-10%) for companies/startups and make it easy for them to hire (and fire) people, the money you lose in taxes you will get back in increased economic activity over time (but it will hurt for a little bit) Because even the foreigners who move here and start businesses get caught up in the reverse incentive spiral of Portugal: Why even work?

@JoachimMo1985 If you can trade negative prices...

Is this tradeable?

@larpcapitalwc What did you short

Lost 100k short vol but filled up the tank last week and saved $40 Now THAT is the kinda asymmetrical trade you can expect from yours truly

@heart_ I just want to know who Imu is

ok reached Elbaf egg head island wasn’t too bad i guess we got some lore which is mostly what I’m sticking around for after 20+ years reading this (sounds ridiculous i know)

@heart_ C'mon, we don't hate Americans

1. we gatekeep the best pizzas in italy because we hate tourists and especially american tourists 2. no, italy doesn’t “live on tourism”, its a single digit % of gdp, we’re mostly an industrial and half-processed export country 3. Japan autism, they come here study 10 years under a pizzaiolo then go back and do it perfectly

@JSmith8286 @sdav1986 Because it's not, as someone would imply, return on your investment

@sdav1986 why? isn't returns money regardless how it is achieved? or is it because you think he is cherry picking only his big winners?

quoting return on option premium disqualifies you from being taken seriously

@EconXFin Mi sa che non conosci bene il tema...

Immaginatevi se una banca bloccasse tutte le operazioni sui conti correnti il giorno stesso della trimestrale.

@investingidiocy At the beginning of the series he is just a low-level safety inspector but already owns his house ;-)

Homer has what appears to be a fairly senior position and presumably well paid job in a nuclear power plant where he is frequently the only employee in the control room.

@lukecannon727 is this like a CFD on oil?

Oil is at 5 year lows So I just filled up my tank for the next 5 years (longed 675 barrels or ~$40,000 of crude oil) Stop complaining about inflation & start hedging

@kaadhalkanmani I am in favor for everyone else to make kids, but not me

let’s extinct happily

@MichaelAArouet Tell me you don't understand economy without telling me....

Germany is a rich country with poor people. It has lower median wealth per adult than Slovenia. Germans rent instead of buying property, don’t own stocks, spend a fortune on insurance, and then blame “inequality.” Folks, you need to take some risks if you want to get wealthy.

@hispanicnomad Stay home

Southern Europe for digital nomads: 🇵🇹 Portugal: "I used to be cheap" (now costs more than Berlin) 🇪🇸 Spain: "Great weather, terrible economics, everyone's broke" 🇮🇹 Italy: "Amazing food, impossible bureaucracy, half the country is Switzerland and the other half is Morocco" 🇬🇷 Greece: "I'm cheap again but my wifi isn't" 🇭🇷 Croatia: "I'm the new Portugal" (give it 3 years) 🇲🇹 Malta: "English + EU + good taxes, but nothing to do" 🇨🇾 Cyprus: "The last great Mediterranean island left; might start a war soon depending on the mood" Which one are you choosing?

@investingidiocy @3xpl0it_ @bennpeifert any spoiler?

@3xpl0it_ @bennpeifert New book covers crypto.

What books would you recommend for a smart high school senior who wants a basic introduction to: 1) fundamental investing (yeah, yeah, I know) 2) trend following 3) stat arb

@0xMerridew are the axis absolute differences in VIX future contracts?

@JamesIvings I genuinely don't know anyone (apart from ppl living in the us/can/au) that earns that

$10k/mo makes me the wealthiest person ever to exist in my entire family history

@noalphadecay That forecast from -20 to +20 is very @investingidiocy

I implemented some signals to get a better intuition about the workings. here you see BTC trend following with vol targeting: - panel 1 shows a fast EWMA crossover (8, 32) and a slow EWMA crossover (64, 256). - panel 2 shows a vol blend estimate (weighted sum of ewma vol and long-term vol) - panel 3 shows the mapping from the EWMA crossover to a signal. a value of 20 (-20) is equal to max long (short) signal. the combined signal is a weighted sum of the two signals - panel 4 shows the mapping from signal to required position risk assuming a target volatility of 40% (annualized) and trading capital of 10k USDT (constant)

@noalphadecay nice! except for plot colors ;-)

signal selection: how do you decide which signals to blend into an aggregate signal that determines the target position in an asset? I look at the correlation between a signal and its forward return at horizon h (daily), also known as the information coefficient (IC). I focus on economic significance rather than statistical significance, since both the predictors (e.g., EWMAC signals) and the target (forward returns) exhibit strong persistence, which inflates conventional test statistics. for a detailed discussion, see [1]. I evaluate a broad universe of coins and look for signals that show somewhat robust information content across coins. for illustration, below are the average ICs across horizons (in days) for BTC and ETH for three EWMAC trading rules (fast, medium, slow): - IC magnitude: weak (as expected) - IC shape: hump-shaped (as expected) for a trend-following signal - slow EWMAC: appears quite sluggish to capture trend information in crypto

@M19HAU @JoachimMo1985 @MarginCall4 "If you’d trade ... and everyone knows it, will it work forever?" yes, it of course! If it is a risk premium, it can persist forever. "Or ... to find inefficiencies..." How many real inefficiencies exists? By trying random data pattern what are the chances to really catch one?

@marmadridd @JoachimMo1985 @MarginCall4 Let’s throw the question right back at you If you’d trade something that works and everyone knows it, will it work forever? Or is it better to find inefficiencies, test them extensively and keep in your portfolio?

I'm going to give you a strategy - an idea, so keep reading When I develop an edge and it works right off the bat Equity curve showing profits straight out the oven It's exciting, wanting me to plug the strategy in However many more tests still need to be done I posted the entry I'm working on below ⬇️ Do you want me to post more of these ready-to-test ideas?

@JoachimMo1985 @MarginCall4 @M19HAU going back to the original problem, why would a random data pattern make money? That is, making someone lose money at your advantage? Because there is an infinite number of such patterns, even among the "robust" ones.

@marmadridd @MarginCall4 @M19HAU The answer would not fit into a tweet, but you are following me, so you know what I mean, I guess.

@JoachimMo1985 @MarginCall4 @M19HAU what do you mean with "properly developed and tested for robustness"?

@marmadridd @MarginCall4 @M19HAU If properly developed and tested for robustness (by myself) + it meets my criteria - of course, why not? The markets are quite ineffiecient over the short term and I don't ask these questions. I try strategies fast with real money and I also quit them fast, if it doesn't work.