Brad Smith

@pedma7 that's insane, congrats!!!

I am up almost 100% in my portfolio ytd. I posted it this morning, but deleted. I am not sure Ill keep posting regular PnL's, especially growing in size. I'll also be ending my paid substack. pretty good year overall, not just because of p&l, variance and all, but I am getting closer to what I set out to achieve last December on the risk side. I did sell most of my long-term hype position on the 16th, missing on this latest run, but I've made more and plus sum, despite it, without taking the idiosyncratic risk I was so concerned about. the decision to stop the substack paid side is two fold: 1) I no longer feel like I can provide material in a cadence that I feel the reader deserves or that I set out as expectation at the start. most of what I do now is highly specific and growing in complexity, not topics I want to be sharing publicly because I believe it will dilute my edge over time. I often found myself having to find time during the week, to distill down whatever I was working on, to be able to write about it, or even omitting stuff so that the part I believe where the edge lies doesnt get spilled. if I am going to make a product, I must be fully committed to it, to provide the highest quality, and I no longer believe I can commit to that, as I am focused on scaling my trading operations further. 2) I am now able to monetize my research much better directly on the market, whereas before I didn't have the capital to do so. trading is a capital intensive business. capital is our tool. the problem at the start for me was always capital and I didn't have enough to pay expenses alone from trading with enough of a margin. now I do. why sell my edge? I am still going to write my newsletter and provide some updates on whats been working for me, more broadly. or on broad topics I can write about, not specific to the strategies I am working on. but the idea I set out to build at the start, of sharing strategies, its probably not something I am inclined to pursue anymore. this will be an interesting transition as in the past the newsletter side did help pay for some business expenses while allowing me to compound the account without taking anything from it. so this will require some strategic thinking on cashflow and all. but it will be an interesting challenge because I'll be able to solely focus on trading and not have the pressure of having to write something technical each week, which some weeks, I just can't. as I focus more on alpha generation, I'll either have to write about that alpha, spilling it for peanuts, or ill have to stop my work mid week to write an article and stopping the progress i want to see in my portfolio. i want to become the best trader I can be, and after much thought, I do believe I have to take that route if I want to achieve it. i wont be losing much anyways, other than the forced consistency of having to write about something every week.

@pedma7 This issue crossed my mind as well. Is it ever a good thing to be copy traded so price pumps after you enter your positions already? Vaults that are currently running can be copy traded and their performance still seems ok. So I wonder how much of a risk is this actually?

thinking about how to obfuscate my wallets from trackers looking for the highest % performers to copy trade. especially bc I trade mostly on HL. perhaps mixing and shifting positions by expected value. x% of wallets with lowest ev and y% wallets with highest ev then shuffling randomly at random times. the wallets won't look great independently and I'll be able to evade most trackers, I think. wallets just can't be connected at all so they are independent.

Some good benchmarks if you run a systematic portfolio. I always look at my pnl compared to these on a daily basis to get a sense of how my portfolio is performing vs. other strategies. Sometimes they all drawdown at the same time i.e past 2 days, which is informative

@friendscallmeap @MarkBestForex @ScottPh77711570 Got it - I do have single name caps in place. Thanks again, will have to take a look at this and see how it impacts my portfolio 🙏

@real_brad_smith @MarkBestForex @ScottPh77711570 Mostly single name concentration. Can't get into much detail, but yes. Generally you want to be aware of "factors" that are costly to trade and/or are hard to exit and limit exposure to them to what makes sense. Implementation will differ dependent on your needs.

I’m on an elegant sufficiency of fentanyl so AMA!

@friendscallmeap @MarkBestForex @ScottPh77711570 Yeah that makes sense, noted. For concentration, I’m assuming this is sector concentration? Also I’m assuming you construct a factor model to measure loadings on size and volatility? Do you add liquidity filters when constructing factor portfolios for size and volatility?

@real_brad_smith @MarkBestForex @ScottPh77711570 both dollar neutral and vol neutral sneak in a lot of assumptions and most of the time in a wide crypto universe (so 100+ perps) will be underspecified. Besides beta dollar neutral also usually has concentration, size and volatility tilts that you should take a note of.

@MarkBestForex @ScottPh77711570 Is that ever quantified? i.e. standard deviation of betas < X or does that just generally refer to specific asset classes i.e. crypto

@real_brad_smith @ScottPh77711570 dollar neutral is fine if youre trading stuff with similar betas

@MarkBestForex @ScottPh77711570 That actually confused me for the longest time when people kept saying delta neutral and then whenever I googled it, it always mentioned being used for options when the context of what it was being used for meant dollar neutral

@ScottPh77711570 @real_brad_smith I'm waiting to hear if they know delta neutral != dollar neutral. I know a lot of people use that interchangeably.

@MarkBestForex @ScottPh77711570 Yeah I do know they are different technically, but I see a lot of people on here use them interchangeably and tend to use the delta neutral term to mean dollar neutral, so I followed the convention 🤷‍♂️

@ScottPh77711570 Any tips for improving order execution over twap with limit orders?

@pedma7 enjoying some nice dispersion 😎

on vacation, no tradingview app on phone, barely checking twitter also just checked crypto today tf you guys doing over there.

interesting...portfolio reduced hyperliquid:native exposure to ~8% from a lot higher...always get a little worried when it reduces hyperliquid:native exposure. guess we'll find out soon

@pedma7 the meat of this performance came in the latter half of the month, which is the important part and i saw your strats captured that as well. besides from that its probably just tradeoffs i.e. smoother pnl curve probably means i lose out on some returns during the meat of the move

@real_brad_smith good stuff mate. your early May was way better than mine though, mine was a bit rough ahah

@Dan_Trend all custom, theres some overlap in the factors but the implementation is mostly different. there's a lot of other things added to boost performance and get it to this point

@real_brad_smith Looks crazy good! Do you trade YOLO in this port, or is it all custom?

Daily, hourly, funding, etc. the exchange APIs are good enough imo. There are 3rd party data providers which provide more stuff like historical data across multiple exchanges ie tardis, but I can’t vouch for that since I don’t use their services and you don’t really need that in the beginning

@real_brad_smith Any recommendations for data feeds? I only need daily and hourly bars (plus volume, funding etc) for the few strats im building. Already built from free data (survivorship bias free too from CMC rankings) but looking for a proper data feed. Thx

analysis is cheap these days, data infra is not (at least good infra). your data infra should enable you to run most analysis and test new ideas in seconds/minutes. investing in good data infra is probably one of the highest +ev things you can do as a systematic trader (assuming you already have or know how to build a profitable trading strategy)

"Big-bang both sides" what is this terminology...? where does this even come from??

nah i feel you, i'm always apprehensive on sharing things here for obvious reasons. which is why i also stopped sharing portfolio updates regularly - pnl curve is information i'm always worried how long these strategies will work (even though these effects have been around for a long time), maybe its unfounded but i just pray that they continue working for as long as possible 🙏

@real_brad_smith Ahah Im just kidding mate but pls don't spill our alphas . but you 100% that's been a really good trade and I think will be for a while as it's more structural to this shit place we trade. mine also doing really really good lately.

@pedma7 Goodbye post

@real_brad_smith delete this pls