Only Judged By PnL

Only one who is acquainted with evils of trading can understand the profitable way of carrying it on.

@Ksidiii Two months ago you said IV is trading at a premium to RV and you expect it “to continue”

Bunch of names reporting this week as we head deeper into earnings season. What remains shocking to me is there is absolutely no event vol baked into $SPX right now (from an earnings standpoint). Few big names this week and the Friday straddle is slightly under 1.5% ? 🤷🏽‍♂️🤷🏽‍♂️🤷🏽‍♂️

@adad8m I love statistics

@MMCrypto Burj Khalifa candle

#Bitcoin is so easy..

The entire world should know: It was barbaric terrorists in Gaza that attacked the hospital in Gaza, and not the IDF. Those who brutally murdered our children also murder their own children.

The S&P 500 has not had a Quarterly Bearish Crossover in the Price Momentum Oscillator since 2007. The time before that was 2001.

Defiance 0DTE put selling Ticker QQQY: >"Current income with indirect exposure to Index" >Each day sell 0 - 5 DTE options from ATM to 5% ITM puts >Targeting 25 bps of daily income, and adjust positions around that >"Invest up to 80% of assets" >Naked short puts - no indication of put spreads or hedging and acknowledge full downside exposure to index >Rebalance at the end of the day >0.99% fee BBG article: bnnbloomberg.ca/zero-day-optio… Prospectus: defianceetfs.com/wp-content/upl… Track 0DTE in real time, with a free SG trial: spotgamma.com/alpha-reg-mont…

Apparently ~ 300m photos are uploaded on facebook everyday (2019 data, per @YiMaTweets). If you get say 1minute tick data from the S&P running back 100 years that would amount to a single ~5k by 5k pixel image. Easy to see why deep learning won’t do much in finance.

@dendisuhubdy How can I get in contact with you? I’m a Berkeley statistics undergrad. I manage a quarter million dollar algorithmic trading firm. 13 sharpe ratio, 85% win rate.

looking for 3 mathematicians to join our algorithmics team

@Ksidiii This is why I exited my long vol position. I was in a position for a month and it’s been down -40% for two weeks. I waited till VIX bottomed bought 5 more contracts yesterday (originally had 3), lowered my average down and sold today at breakeven. Textbook on “how to trade.

Following back up on this tweet. Mr.Market did not move and as expected, the air came out of vol in a massive way. Excess vol strength is just not sustainable without a real catalyst or a follow-through in spot.

@AlexanderGerko Most humble billionaire / crypto bro

@dendisuhubdy Ok cool. Have you considered making a $1 spread to attract more MMs?

@surdytrades they do, we just don't do that exchanges default bcs they act as single dealers on their own exchange we prefer not to just let it run if someone wants limit orders set they just should do it permissionless

@dendisuhubdy Do you offer maker rebates if I do $4M+ in monthly volume?

@dendisuhubdy Interesting. Don’t most brokerages/exchanges serve as the default market maker? Curious to learn how the industry works

@surdytrades that's why we're an exchange, if there's no volume we say there's no volumes, we don't log fake volume

@dendisuhubdy Hm. I have little experience in MM but you should become / find an in-house MM for your platform. I don’t see any movement on the perp swap

@surdytrades we offer rebates post-trade settlement above 1M+ daily volumes

The equity risk premium (ERP) is at the lowest level since 2006 Indicating that stocks are very expensive relative to bonds

@choffstein @MebFaber @CliffordAsness This is why I never backtested

15. A backtest is just a single draw of a stochastic process. As the saying goes, nobody has ever seen a bad backtest. And our industry, as a whole, has every right to be skeptical about backtests.  Just about every seasoned quant can tell you a story about naively running backtests in their youth, overfitting and overoptimizing in desperate search of the holy grail strategy. Less sophisticated actors may even take these backtests and launch products based on them, marketing the backtests to prospective investors. And most investors would be right to ignore them outright.  I might even be in favor of regulation that prevents them from being shown in the first place. But that doesn’t mean backtests are ultimately futile.  But we should acknowledge that when we run a single backtest, it’s just a single draw of a larger stochastic process.  Historical prices and data are, after all, just a record of what happened, but not a full picture of what could have happened. Our job, as researchers, is to use backtesting to try to learn about what the underlying stochastic process looks like. For example, what happens if we change the parameters of our process?  What happens if we change our entry or exit timing?  Or change our slippage and impact assumptions? One of my favorite techniques is to change the investable universe, randomly removing chunks of the universe to see how sensitive the process is.  Similarly, randomly removing periods of time from the backtest to test regime sensitivities. Injecting this randomness into the backtest process can tell us how much of an outlier our singular backtest really is. Another fantastic technique is to purposefully introduce lookahead bias into your process.  By explicitly using a crystal ball, we can find the theoretical upper limits of achievable results and develop confidence bands for what our results should look like with more reasonable accuracy assumptions. Backtesting done poorly is worse than not backtesting.  You’d be better off with pen and paper just trying to reason about your process.  But backtesting done well, in my opinion, can teach you quite a bit about the nature of your process, which is ultimately what we want to learn about.

My company, Newfound Research, turned 15 today. Coming up on this anniversary, I reflected quite a bit on my career.  I’m not sure why, but this milestone feels larger than I would've expected. So I decided to write something. 15 Ideas, Frameworks, and Lessons from 15 Years

@octonion It’s an intuitive proof

Unrelated puzzle, but if X,Y are independent exponentials with the same parameter, prove X/(X+Y) has a uniform distribution.

You know you’re a trader when you wait for the week to start again

@Ksidiii What does “one point under theo” mean?

Junior derivatives trader interview question (Don’t worry, my questions aren’t as difficult as Benn’s haha): You walk into the office and your boss tells you the desk just sold $1M of Vega notional in a 3M $SPX Var swap with a vol strike of 20. You get asked to hedge out the risk. One minute later a broker calls and tells you he has a client that is aching to get out of his vol exposure. He wants to sell you a strip of 6M $SPX options one vol point under theo for $1M of Vega notional. Do you take this trade? If not, why? If yes, why?