Benjamin - Systematic Trader

One more short thread while the equity keeps on climbing (so far 35% ytd). There seems to be this misconception that because big institutions can barely beat the market the same must be true for retail. After 16 years of trading I can comfortably disagree and here’s why..

@UnForgeron @JoachimMo1985 Imo the unfortunate reality is that the few traders the are smart enough to generate meaningful returns are also smart enough to understand that they shouldn’t share in detail how they do it. So then all that’s left is super vague advice and sharing of returns / bragging

@JoachimMo1985 The systematic trading community is mostly about bragging tbh. Very few meaningful exchange of ideas. I’ve just had a few with a few people that’s all.

If you do a weekly recap: do it on a WEEKLY basis, not just when you win. Show some useful KPIs or something. Not just a f%#$>ing line. Nobody is interested in your bragging.

In trend following it matters relatively little if you enter right when a potential trend starts or in the middle of it. In mr it matters relatively little if you exit after a day or 2 or you use simple indicator based exits. You’ll make money anyway

In other words .. in trend following you make money by measuring when the trend is most likely over an exiting then. In mean reversion you make money by finding price overreactions and entering before they correct.

Just a quick thought but imo it’s very important to understand if your edge comes from your entries or exits. Trend following is all about exits and you should focus on that. In mean reversion it’s all about good entries and exit rules can be super simple

@GoshawkTrades Good post! Just imo exits being more important than entries is mostly true for trend following and not a statement that’s generally true. it’s pretty much the opposite for mr where you really need to enter correctly before the price reverts and specific exits matter much less

@ethanrkho Potential big losses when markets don’t mean revert is the downside of mean reversion strategies and not of systematic trading. You can systematically trend follow just like you can discretionary trade mean reversion

An Ex-Goldman MD who traded nat gas for 12 years thinks systematic trading models can have fatal flaws when applied to commodities. "If you had this strategy running in 2015, there would not be a possibility of the gold market trading 4,000." - let alone 5000 The model has no data for what's never happened. "What you've seen in the last eight weeks — prices going vertical — that is not found in the history of the gold market anywhere." So the algo fades it. In week two. In week three. "I think humans matter." Every quant who thinks they've solved regime detection needs to answer this.

@GoshawkTrades Agreed! And interestingly this goes both ways. You have retail thinking that hedge funds making 20% yearly is low and institutional traders thinking that making 50%+ yearly as retail is impossible. Both sides often don’t understand that they play completely different games

This is a huge misconception around hedge funds. "40% CAGR… that's literally nothing." Doing 40% on a $1,000 account may feel like "nothing". But replicating that on hundreds of millions or billions is a completely different game. Most people also miss the point that not all funds even target high returns. Investors often don't want high volatility and uncertainty. They'd happily take lower returns for lower vol, or more importantly, returns that are uncorrelated to their other assets. Most allocators aren't putting everything into one fund, they want diversified exposure. This is exactly why Simons doing 66% on billions was so extraordinary. That level of compounding at that scale and correlation is almost unfathomable. Strategies degrade the more capital you push through them. The edge gets arbitraged away, competition increases, liquidity dries up. Meanwhile, on a small account you can quite easily find pockets of alpha, or just leverage up to the balls and post those kinds of returns. No hate on Alex G specifically, just a common misconception I see worth clearing up.

@momentmal2022 I actually do both and both work well overall! The last few weeks intraday breakouts and daily mean reversion perform the best but that can quickly change again

@Benjamin1524928 Impressive. Breakout on daily bars or intraday?

One more short thread while the equity keeps on climbing (so far 35% ytd). There seems to be this misconception that because big institutions can barely beat the market the same must be true for retail. After 16 years of trading I can comfortably disagree and here’s why..

@EvaSnuggles Yes for sure! Trading is super hard but it’s much easier to long term outperform the market as a retail trader with a somewhat small account than as a hedge fund managing billions. I kinda sucked at this for the first 10 years, since 2020 70-80% average annual returns

@Benjamin1524928 What’s your return over the 16 year span? Last year many hedge fund performance also have been 50%+. Sadly retail underperform market on avg long term, its not a misconception. Ofc there are outliers like you, so congrats keep up the good work :)

@JoachimMo1985 Thank you! Conceptually it’s really a lot of breakouts and mean reversion with short holding periods. Works really well these days because it pretty much makes money whenever trump does something unpredictable and then again when he reverses

@Benjamin1524928 Man, congrats! What strategies are you trading?

Now of course this topic is complex and there is much more to say but the point is this: Don’t compare % returns on billions of dollars to % returns on 7 figures or less. Completely different games. Play games suitable for your account size to maximize returns.

So instead of trying to compete with them in what they are good at just do something that they won’t even touch because it isn’t worth their time .. and you’ll probably still be happy making 6-7 figures yearly.

@eragon_160 Realtest for anything where daily data is enough and quantconnect is an option for intraday strategies. LLMs like Claude and Gemini are quite decent at implementation if you don’t have coding experience. As for strategy selection you can read my posts here for some insights

@Benjamin1524928 Hey man, how are you backtesting and automating. Openclaw? I’m also trying to shift from discretionary to systematic, would appreciate if we could chat. Thanks man

Adding this strategy to my live portfolio after running it on demo for a while. CAGR 34%, max dd 25%, sharpe 1.1 modeled with realistic fills and fees since 2012. Simple rules, no biases, holdout performance and trading on demo went well. Let's see how it performs

@ehkluo Thank you! Quantconnect and realtest. I prefer realtest for anything where daily data is enough. Quantconnect is good for true intraday strategies but the backtests are really slow and I discovered a lot more weird bugs than I ever faced in realtest.

@Benjamin1524928 Congrats on the result! Do you use Quantconnect as your main platform? Any recommendations?

I mostly stopped using X but have to share my most recent performance as it looks almost comical. 3 months of break even and then for 2 weeks every single trade just seems to work. Pretty uncorrelated 7 strategy portfolio, no big winners but just small gains adding up.

@Flectornft Thank you! All kinds of strategies, long and short

@Benjamin1524928 Congrats bro! Systematic short trading?

@garcciiaz Systematic trading of a portfolio of strategies. I posted a thread here a few months ago talking about what kind of strategies I use and how I evaluate them so you can have a look at that if you’re interested

@Benjamin1524928 How did you do this?

@Yagooker777 @AmaUmaKar Yes, 100%. And in my opinion that’s exactly why intraday strategies work so well. Institutions just don’t care about these inefficiencies because they face these scaling issues. But as retail we can still make 6-7 figures a year from them

@Benjamin1524928 @AmaUmaKar Anything intraday will have scaling issues when your account gets too big