@SetupAlpha Yea but that’s just curve fitting , there will always be 1 parameter that will look good
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Sam Weil
336 posts
Quants hate candlestick patterns.
So I tested 5 popular "Buy the Dip" setups on SPY (2000-2026) to see if they work. The truth? 4 of them lose to the benchmark. But one weekly timeframe shift generated $551k net profit.
Full data + copy-paste RealTest code below 👇
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@qibbler 100% glorified useless academia
Pretty soon in my second brain 🤭
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The author first examines which MACD combinations work best during 2015–2021, observes that volume-related indicators appear helpful, creates VPVMA from that observation, and then evaluates VPVMA on the same period. This is a classic form of researcher overfitting.
Quant Beckman@quantbeckman
The two most serious problems are a mismatch between the stated and implemented objectives, and assumptions that largely remove adverse selection.
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I'm excited to announce Databento's $97M Series B led by @NEA, with participation from @DRWTrading, @Redpoint, @tribecap & more.
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@MarketPalmer_ Your 30s are whatever you want it to be. Career or business. Some are built to raise a family, some aren’t. Don’t do it because others pressure you to conform
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Your 30s are for raising a family while growing in your career and settling into a home as you save for retirement and find time and funds to travel and stay involved in your hobbies and be there for your friends' special moments and cooking your own meals while keeping a regular fitness routine and a clean house and still getting enough sleep to function.
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That’s a very poor take, there’s a lot of hedge funds that look for raw quant talent that don’t have to be Citadel or Point72.
These guys getting hired by funds as he mentions are not traders anyway, they are operations, compliance, execution trading etc.
If you actually want to run your own book, and have a systematic and algorithmic process, track record counts. It at least puts you on the path to PM.
There’s thousands of hedge funds out there.
I don’t know why he doesn’t mention that.
Many smaller shops absolutely look at track record.
If you love trading, why the hell not would you not want to trade your own money?
So his basis makes absolutely no sense.
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There's a fantasy in trading: build a track record on your own account, get noticed, get hired by a fund.
Someone who's actually been inside those funds says it almost never happens:
Rob Carver — ex-Man AHL, ran the fixed income desk before going solo — explains:
"A lot of people assume there's a career path where you trade your own money, get noticed by hedge funds, and they hire you."
"That almost never happens. It's a one-in-a-billion probability."
"You've got a much better chance of being hired by the world's best hedge fund from a non-target school with no qualifications."
"It's just not a path that really exists."
"So if you're going to trade your own money, do it knowing that's not necessarily a route into the industry."
Ethan Kho@ethanrkho
Ex-Man AHL ($70B firm) fixed-income head on breaking into quant: "You've got a much better chance of being hired by the world's best hedge fund from a non-target school with no qualifications than by trading your own money." Rob Carver (@investingidiocy) — ex-Man AHL, ran a multi-billion systematic fixed-income book | now a one-man shop across 200+ futures markets "I don't really believe I've found any inefficiency — basically all the money I make is risk premia." We cover: - The career myth that won't die — getting "noticed" by trading your own money is a one-in-a-billion event - Why he insists he's found zero market inefficiencies — it's public risk premia anyone can harvest - Skepticism as the #1 trait — every career error he's seen traces back to overconfidence in a backtest - Why "the best quants come from physics" is mostly path dependence — the Yale-historians thought experiment - His actual process: ~1 new strategy a year, a 1-in-5 strike rate — & he thinks more research would lower it - The real innovation of his last decade — running 200+ futures on a small account, not finding edge - Why he'd never join a pod shop — even though he reckons he could land an offer every couple of weeks Highlights: (00:50) The $1B loss week — why the desk stayed calm (02:45) Why he turned off his P&L email (06:40) Do the best quants really come from STEM? He pushes back (09:55) The Yale-historians trap — path dependence in quant hiring (11:35) The one trait that matters most — skepticism (13:00) The Sharpe ratio's blind spots — & the LTCM case (15:55) Geometric return vs Sharpe — the leverage catch (17:40) Avoiding overfitting — explicit vs implicit fitting (21:55) Why an honest backtest should look worse (23:05) Alpha decay by trading speed — HFT vs slow systems (25:35) Inside the portfolio — the full 10-rule suite (30:30) The career myth — trading your own money won't get you hired (31:55) Why he calls his returns risk premia, not inefficiency (33:55) His real innovation — 200+ futures on a small account (35:40) How Man AHL reviewed, vetoed & shipped new strategies (39:30) Will capital consolidate at Citadel & Millennium? (41:45) "My DMs are open" — & why he'd still never join a pod shop (42:45) The AI talent-war parallel — who you actually want to hire
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@ethanrkho It’s because they thought their math was perfect. They didn’t model extreme exogenous events.
Their ignorance caused the cascade in the first place because they tried to fit the market in a rational box.
Hopefully they took some accountability
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LTCM had the right trades on the books the day it collapsed. The trades were never what killed it:
Victor Haghani co-founded LTCM, finance's most famous blow-up. Now runs Elm Wealth.
Victor Haghani explains:
"Investing is really two decisions: what to invest in, and how much."
"Almost all the focus — media, training, education — is on what to invest in."
"At LTCM, we found some genuinely good things to invest in."
"The question we got wrong was how much of those good things to own."
"Sizing is just as critical — and it's actually the easier one to get right."
"Our mistake was never the selection of the trades. It was the sizing."
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True but it’s always with lag. You need to find alpha first through testing, then see if hmm actually does anything. You need a strategy that works before applying hmm.
Intraday strategies that rely on short time signal generation may actually filter the regime for you without relying on HMM by session z-scoring etc.
It’s not always a given, and trying to use hmm intraday on 1min bar architecture is very different from daily hmm
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as a quant architect, the hardest part of HFT modeling is deciding the timeframe.
You're always choosing between microstructure noise and macro trends.
This paper just cracked it with a Neural HMM that adapts its own granularity.
2.78 Sharpe. Game changer.
Bookmark and Read the article below.
venus@RitOnchain
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Dude he’s a great legend, but he did lose money. He was long tech stocks due to FOMO in 2001 and lost billions of dollars at George Soros’s fund. Please read about it.
Yes he had a good track record after that, but he left his old fund due to tech bubble burst losses.
It was a lesson for him.
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Most investors have dozens of rules.
Stanley Druckenmiller has one.
He ran money for 30 years without a single losing year.
$1,000 invested with him in 1981 became $2.8 million by 2010.
No losing year. Ever.
And it all comes down to one principle most investors do the exact opposite of.
🧵 A thread
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@AceTrader But that’s just attracting gamblers you guys can profit from. Evals are needed for a reason
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We're funding traders directly without evaluation.
Up to $24K capital. Keep 90% of profits.
30% off all AceTrader plans: first time users only.
Not click bait. Stop hesitating. Start trading.
app.acetrader.com/?utm_source=x&…
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@AgustinLebron3 Yup. Means the code and fail safes are in check. That’s why I love systematic trading. No human emotion, just data.
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The best part of being a systematic quant is not even looking at your holdings.
Meb Faber@MebFaber
Best part of being a quant is looking at my top holdings, not recognizing any except the one I absolutely hate the company and would never buy the stock.
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@Midnight_Captl Growth expectations have to be RIGHT. 80x PE and 10x P/S. Little room for error.
Any earning surprise or things don’t go to plan, (usually happens) there’s little margin of safety left.
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Today I made Corning ( $GLW) a 9% position in our portfolio
It’s the first tier 2 supplier we’ve added to the portfolio so far
American made glass. Co-packaged optics are going to explode over the next 1-2 years
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I have never seen this much hype behind an ETF in my life 😮
Is now the time to buy? $DRAM
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In addition to being an investor, I also like to collect investment books.
This one is special.
First Edition
Memo to Oaktree clients (2005-2015) Two Volume Set
from Howard Marks
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@nataninvesting Do what you do best. I’m just sharing market reality based on being decades in the mkt.
Modelling at 40x PE is unfortunately a mistake I’ve made in the past, even for the best companies. Many times.
Protect capital at all cost, margin of safety first.
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$TMDX IS RIDICULOUSLY UNDERVALUED 😅
PRICE TARGET: $220 --> $213
POTENTIAL UPSIDE: +216% ✅
ASSUMPTIONS:
LTM Revenue: $0.636B
5Y Revenue CAGR: 22% --> 20%
2031 Profit Margin: 24%
2031 PE Ratio: 40
Shares outstanding: 0.0409B
Shares dilution: 2%/year
VALUATION:
Q1 2031 $TMDX SHARE PRICE =
0.636 * (1.20)^5 * 0.24 * 40 /
[0.0409 * (1.02)^5] = 336$
You can now choose the discount rate that you prefer, for Transmedics I want to use 12%
ACTUAL PRICE: $68
FAIR VALUE: $191
PRICE TARGET (1Y): $214
POTENTIAL UPSIDE: +214%
EXPECTED RETURNS: 37.6%/year
DIVIDEND YIELD: -
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𝘛𝘩𝘪𝘴 𝘱𝘰𝘴𝘵 𝘪𝘴 𝘧𝘰𝘳 𝘪𝘯𝘧𝘰𝘳𝘮𝘢𝘵𝘪𝘰𝘯𝘢𝘭 𝘢𝘯𝘥 𝘦𝘥𝘶𝘤𝘢𝘵𝘪𝘰𝘯𝘢𝘭 𝘱𝘶𝘳𝘱𝘰𝘴𝘦𝘴 𝘰𝘯𝘭𝘺.
𝘐'𝘮 𝘯𝘰𝘵 𝘢 𝘧𝘪𝘯𝘢𝘯𝘤𝘪𝘢𝘭 𝘢𝘥𝘷𝘪𝘴𝘰𝘳 and all the 𝘪𝘯𝘧𝘰𝘳𝘮𝘢𝘵𝘪𝘰𝘯 𝘤𝘰𝘯𝘵𝘢𝘪𝘯𝘦𝘥 𝘪𝘯 𝘵𝘩𝘪𝘴 𝘱𝘰𝘴𝘵 𝘪𝘴 𝘯𝘰𝘵 𝘧𝘪𝘯𝘢𝘯𝘤𝘪𝘢𝘭 𝘢𝘥𝘷𝘪𝘤𝘦.
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Do you own $TMDX shares?
Follow me: @nataninvesting
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What is one stock I HAVE to own, but currently don't?
Always looking for new ideas.
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