AlgoAdvantage | Simon

@Quantocracy Thanks : )

Martyn Tinsley - Beyond the BackTest [@Algo_Advantage] dlvr.it/TSV6MX

With Martyn from @TradeLaMachine : a two part presentation on building robust trading strategies. A veritable masterclass, and it culminates in part two with some innovative new thinking. Check it out and let me know what you think of my write up: "Beyond the Backtest"! algoadvantage.substack.com/p/052-martyn-t…

With @samirvarma once again, this time in great detail about how he beats the market. Pure gold! Thanks again Samir! youtube.com/watch?v=sZynpQ…

@Dan_Trend Yes sir! Right in line with my latest post!!

The big secret is to stop hunting for the secret, stop finding excuses, and get to work ;)

@PKycek Separating the men from the boys! ; )

Recently, we completed due diligence on a trading team as a potential fit for our fund. The team was operating with net exposure of approximately 7x and viewed that as acceptable. In some cases, individual positions reached up to 40x their base size, without this being treated as an outlier within their framework. For us, that was a clear no-go from a portfolio construction and risk management perspective. What is equally interesting is the contrast on the allocator side. When we explain that our net exposure can, in isolated cases, approach 1x, while for the majority of the time the high-volatility portfolio operates within roughly ±40% net exposure, this is often already perceived as elevated. In a number of cases, that alone is enough for allocators to prefer the low-volatility mandate instead.

The Random Walk Is Dead. Now We Killed the Next Best Excuse. The adaptive markets hypothesis is the most sophisticated version of the efficiency story. Its prediction is specific: capital chases the signal, models crowd the trade, and the structure decays. Each decade should show less than the last. We tested it across 68 futures contracts and 40 years of data. The structure has not decayed. Oscillation amplitude is statistically indistinguishable from where it started. Six of eight asset classes are louder now than they were in the first decade. In the most liquid, capital-intensive markets on earth, where adaptive pressure should be strongest, there is no sign of erosion. Three states were possible. Four episodes killed State 1. Episode 5 kills State 2. What remains is State 3: the feedback structure is a permanent feature of how markets process information. The full episode is live. atstradingsolutions.com/the-fractals-o… #SystematicTrading #QuantitativeFinance #TrendFollowing #MarketStructure

5pm EST Tuesday 14th I chat live with members & @laurensbensdorp on “Common Trader Pitfalls”. It’s in the Collective, but hey, with a 3 day free trial anyone can join really. : )

This is big... Anthropic just announced a model so powerful they won't release it to the public out of fear over the damage it will cause 😨 Claude Mythos Preview found thousands of zero-day exploits in every major operating system and web browser... The numbers are hard to believe: > $50 to find a 27-year-old bug in OpenBSD, one of the most security-hardened operating systems ever built > Under $1,000 to find AND build a fully working remote code execution exploit on FreeBSD that grants unauthenticated root access from anywhere on the internet > Under $2,000 to chain together multiple Linux kernel vulnerabilities into a complete privilege escalation exploit For context: these are the kinds of findings that previously required elite security researchers working for weeks. Anthropic engineers with no formal security training asked Mythos to find exploits overnight. They woke up to working code the next morning. The results were so impressive Anthropic assembled Apple, Google, Microsoft, Amazon, NVIDIA, and seven other organizations into Project Glasswing: A $100M defensive coalition. They're not releasing this model publicly. Instead, they're racing to patch the world's infrastructure before models like this proliferate.

@RohOnChain Hi Roan, do you think we could have a good chat on my podcast? Feel free to DM me!

For anyone with very little crypto knowledge and wanting to catch up fast, here is a free Crypto-101 course. Hope it helps someone! Your secret's safe with me: algoadvantage.io/academy/crypto…

@laurensbensdorp @RichardMoglen @TraderLion Can't wait to hear it guys!

New podcast attendance with @RichardMoglen from @TraderLion will be posted later today. Very interesting chats and great questions which can help many traders. Stay tuned.

@samirvarma Loved it! Thanks Samir. Wait till they see Part II. : )

This was great fun!

Someone isn't going to like this! An hour-long chat with a quant fund manager @samirvarma and we didn't talk trading (much). There was so much to talk about (quantum mechanics, AI, Asimov's robots, free-will) that the trading talk had to wait for Part 2. Maybe you'll enjoy it as much as I did, maybe you'll skip it. Either way... : ) algoadvantage.substack.com/p/050-samir-va…

“The sad part is that, as much money and brain hours that go into predicting the market, it is a completely unnecessary activity in achieving success in the market. Trading is about probability and risk management, not about predictions.” — George Soros

@thechartist Nooooo! Haha there’s always something new to discover eh Nick?

Big news: After 40 years of running quant momentum models fancier than a meat pie at a hatted restaurant, I've decided to go full Warren Buffett. I'm burning the data, binning the computer terminals, and I'm now going deep on annual reports like the guy in the leather winged-back chair. My immediate focus is on a ball-bearing company that's been "cheap" since 2011. Enjoy the ride...

Join David Bush @Alphatative & myself on a guided tour of building out a stable, but high performance systematic crypto portfolio. Curious how many of my followers trade crypto and how they do it. Would love to hear in the comments. youtu.be/pALR6X30MEA

This will cause a stir - what do you think about Michael’s methods? He hasn’t had a losing month yet. youtu.be/_kZ9XfApo2s?si…

@GoshawkTrades Indeed! He has some stories! And he tells them well!

I think it is a good time to repost the story of Jim Simon's Gold Trade:

Another foundational chat with @DrTomStarke about building a systematic pipeline for robust strategy creation. algoadvantage.substack.com/p/047-tom-star… Something Tom always likes to mention is Grinold’s Fundamental Law of Active Management: Information Ratio = Information Coefficient × √(Breadth) ​ Where: Information Ratio (IR): This measures the risk-adjusted return of a portfolio manager’s active strategy, i.e., how much excess return (alpha) they generate relative to the risk they take. Information Coefficient (IC): This is a measure of the manager’s skill or the correlation between their forecasts and the actual future returns. A higher IC indicates better forecasting ability. Breadth (B): This refers to the number of independent investment decisions or opportunities a manager makes. In essence, it’s about how diversified the strategies are. In short, for any amount of ‘skill’, alpha increases with diversification (of strategies, of bets, of markets)!