vehctor
909 posts
vehctor
@vehcktor
Bedroom "market maker" guy in his 20s Armenian/Lebanese
Bay Area, CA Katılım Eylül 2022
484 Takip Edilen1.5K Takipçiler
Built a DE L/S portfolio optimizer and tested with monthly rebalancing over 240-days of data. 88% of the generated indices (44 out of 50) were profitable with an average monthly return of 6%.
The detail that blows me away is 88% probability of +EV turns with only one rebalance a month -- without smart execution or rebalancing based on market volatility and realized beta shifts (i.e. rebalancing reactively) usually delivers returns reminiscent of a monte carlo simulation. I think I might've created a unicorn.
English
Still plenty of alpha hiding over the weekend
Almost all of them still exists
mks@mks_hot
Insane funding arb opportunities on @tradehotstuff If you are trying to hunt them you know where to find them over friday USA500, WTIOIL, BRENTOIL, XRP and BNB Paging all funding arbers Reminder: Maker fees is flat -1 bps on Hotstuff, we have returned over $100k back in rebates to our loyal MMs (more on this coming this weekend, so everyone can track rebates earned till date directly in portfolio) Hotstuff is built on power of our users Huge shoutout to @Quantzilla34 @uradyor for quoting on us since early days
English
Looking to port over a SOTA Python logging subsystem, and I usually put c-whatever but clogger.py sounds like a terrible name for low latency logging
English
My wife had to use C++ for some project so I bought the K&R book for her, opened it up, saw this abomination, and sent it back.
Nobody should learn C from it.
Strace@straceX
The classic strcpy implementation from K&R. Still one of the most quietly beautiful loops in C.
English
I havent put the trade on just yet, it should be live trading by end of this week.
but its not as simple as go long/short the top/bottom deciles of funding. there's added complexities like hedging for factors that influence your l/s basket returns, that are not pure funding.
if you want the purity of the funding, you have to pay the extra cost to hedge out the factors driving that side of the PnL.
but its been a fun experimentation so far and its close to being done and added to the book as a solid return stream.
Obabakoa@ObabakoRandom
@pedma7 Hey @pedma7 ! I really liked your article about dirty carry. I usually do delta neutral carry trades but I think if done well dirty could be more capital efficient. Any thoughts or experiences about this?
English
@piotryordanov ive never had any issues with them yet - neither has a few other people (@vehcktor @MarkBestForex havent either afaik)
English
decent month!
sharpe is decent, but net pnl is roughly equal to last month (capped the size of the account at the start of the month, withdrawing every time it grows 10-20%).
BeatzXBT@BeatzXBT
so, been a while... back to making bad markets slightly less bad, and man i've missed it. this time its less stinky on the coins, more stinky on the exchange choice. the system is new, been working on it since ~mid feb and got it stable right before the start of this month.
English
@othadoh @__paleologo @macrocephalopod @0xfdf If you care for some fun/unorthodox and FAFO look into
Covariance Matrix Adaptation MAP-Elites (CMA-ME)
pyribs.org
English
If I have an obj func like: x*active_risk + y*market_impact + z*linear_cost, is there a neat way to find (x,y,z) analytically or top down rather than a grid search on backtest results?
paging the OGs: @__paleologo @macrocephalopod @0xfdf and everyone. Thank you in advance!
English
@OctopusTakopi Yeah it gives me some super intense dreams (I take it right before I sleep)
English
