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People who make money with algos would never share them with quantopian but people who couldn't, would. It's the nature of the beast in wallstreet, I've worked

by c128 9y ago

People who make money with algos would never share them with quantopian but people who couldn't, would. It's the nature of the beast in wallstreet, I've worked in wallstreet for over 29 years. The resources for discovering algos that are profitable are very expensive.

kolbe 9y ago
So, you think wall street would be first to identify some brilliant coder who liked video games too much to have the grades to get into MIT? I doubt it. Quantopian sounds like the right platform to access that type of talent.
- exelius 9y ago
  Hedge funds operate across a whole bunch of arbitrage options -- not all of which are available to Quantopian. At most hedge funds, "alpha" boils down to information asymmetry (aka "how well-connected is my fund manager?") Pure quant platforms almost never outperform because they're so easy to replicate. Quantopian doesn't have enough "levers" to be able to build a comprehensive arbitrage plan. They might be able to provide low-cost hedging on the greeks, but that's just 1980s finance with computers. Furthermore, it's not the brilliant coder who just joined who makes you all the money. It's the brilliant coder with 15 years experience under his belt who makes way too much to bother with Quantopian who is writing the winners. It's not unheard of for top quant programmers to pull down 8-figures annually. Those guys are just not gonna mess with Quantopian -- they're going to eat it (and any platform like it) for lunch. In quant finance, if you're not the smartest guy in the space you're playing in, you're just another sucker.
  - gonzoflip 9y ago
    Wait, you are saying there are quants that make >1,000,000,000 annually?
    - exelius 9y ago
      Haha, you're right. There are fund managers who make that much though :) I meant 8 figures for quants; need more coffee...
      - gonzoflip 9y ago
        Yeah I was going to say i thought quants pretty much topped out in the mid 8 figures. Although to be fair, I can't even fathom making ten figures annually. Having a compensation package that compares to the GDP of a small nation is beyond my comprehension.
        exelius 9y ago
        Well, the guys making that kind of money (David Tepper comes to mind) are managing their own money with the fund / family of funds as well. I'm sure it's almost all capital gains.
    - deleted 9y ago
      [deleted]
  - kolbe 9y ago
    > if you're not the smartest guy in the space you're playing in, you're just another sucker. I know you're trying to cargo cult some machismo from GGGR, but the stats don't support your claim. There're literally hundreds of successful quant finance firms. Which one is 'the best'? I'll be sure to let Ken Griffin or David Shaw or whoever isn't 'the best' know that they're just 'suckers'.
    - exelius 9y ago
      They just pick their spaces well; there are plenty of ways to find a niche where you are the smartest guy in your space. But there are a lot of traders / fund managers who lose their asses; most people don't last very long in a professional environment (the ones who do end up making a ton of money)
      - kolbe 9y ago
        For someone who makes very outlandish statements, you never seem to support them in any way. Throwing mild profanity and colloquialisms into your statements (as if being 'cool and casual' will make you sound like an expert?) doesn't suffice.
    - kevstev 9y ago
      One big hole in his claim is that a real problem for successful, and really all hedge funds to some extent- is scale. Yeah you might find a microcap out there that looks great but if the ADV on it is 100,000 shares with a <$200M market cap, its going to be really hard to invest a significant amount of money into it if you have even $100M in assets under management (which is considered to be a small fund). As an individual with orders of magnitude less in funds, there are a lot more opportunities out there picking up the "pennies" that the bigger guys are just too big to get into. I have a strategy that mostly picks up small and microcaps, and have had market beating returns since I have run them the last 4 years. I can't find a reference to it now, but Warren Buffet in an interview talked about some of the ways he could easily invest up to a million dollars and have a margin of safety that should easily allow him to beat the market. The closest thing I could find describing it is this: https://valuebin.wordpress.com/2011/01/27/warren-buffett-on-investing-small-sums-of-money/ https://valuebin.wordpress.com/2011/01/27/warren-buffett-on-... This link, while it doesn't go into the methods, at least directly quotes Buffet on the subject: https://www.sovereignman.com/investing/warren-buffett-its-a-huge-advantage-not-to-have-a-lot-of-money-19216/ https://www.sovereignman.com/investing/warren-buffett-its-a-...
  - Bromskloss 9y ago
    > In quant finance, if you're not the smartest guy in the space you're playing in, you're just another sucker. That's one attractive advertisement. :-) It makes me want to play that game.
  - praulv 9y ago
    >>It's not unheard of for top quant programmers to pull down 8-figures annually. This is complete nonsense. What is your source? In the current environment, max low 7 figures will be heads of quant research or senior directors.
  - bjork 9y ago
    This attitude gives me genuine hope that there's still some unexploited alpha out there.
Fragoel2 9y ago
That's exactly what Quantopian it's trying to do: remove the barriers to entry so talented people can be discovered (and profited on). Of course, judging from results, they might be doing it wrong.
- dingo_bat 9y ago
  You're parent is probably trying to say that talented people have been found and they are working in the wall Street. They won't contribute to quantopian.
cbzbc 9y ago
In addition to this, the amount of effort/computation required to find winning strategies is going up all the time, because as market inefficiencies are exploited by people they start to disappear.
kevstev 9y ago
They make a lot of those resources available for free. I worked in algo/hft for about 11 years, then left and started building my own tools for building factor based algos using my interactive brokers' apis and my own toolkit. I was doing it on the side for about 3 months before I came across quantopian- and immediately felt like an idiot because they had done so much of the work for me- and it was available for free. It would have taken me probably 2 years to get anywhere close to their offering, and that's just for the pure trading/event processing side of it, let alone their backtesting, and risk measurement framework. I have been using it for a factor and value based microcap strategy for the last 4 years and have been beating the market's total return by about 5% on average each year. I trade a relatively small universe, its not really scalable to a large fund. I stopped applying for "quant" jobs in 2007- everyone wanted a PHD even though I was doing a lot of the same work- I got lucky and landed a job in Options AMM and for awhile was doing both dev work and what I later found out was considered quant work in most other places. My point being though is they provide a lot of infrastructure that would normally only be available to a very small number of people in banks and the like and those tools are gate-kept to PHDs and those deemed worthy of even getting a look. I don't put my algos in the competition and actually trade them manually so they are likely completely under the radar from quantopian, and aside- they look for very specific characteristics in their algos that mine don't fit. There is opportunity out there though, especially if you are trading in small size (lets say under 5-10M),
- yosyp 9y ago
  Could you elaborate on quant jobs requiring PhDs? Do they look for a very specific PhD (i.e. statistics), or is it just a blanket requirement to get past the hiring screens?
  - solaarphunk 9y ago
    machine learning or statistics with a programming background.
  - kevstev 9y ago
    This was all about 10 years ago, the market has moved since then, and now it seems you can slip under the PHD radar and do similar work if you classify yourself as a "data scientist." Some of the mythos around quants and technology has been uncovered, 10 years ago quantitative and electronic trading was still a newish thing and at a backseat to traditional traders and PMs. Many firms these days are technology first, though there are often still walls between those who write "models" and those who write "infrastructure." Anyway, its still largely true that for "quant" roles you need a PHD. It doesn't need to be in anything particular, but Physics/Math/Statistics are strongly preferred. This is just a hiring screen thing. Its not impossible, but quant types tend to have a big head and be elitist, and I personally found them to just be real jerks in the hiring process, and there were plenty of opportunities opening up in the then lucrative algorithmic/HFT space so I went down that road. By jerks, there were just several opportunities where you could just tell they didn't like my lack of credentials and that I went to a state school (on a scholarship, but still they can't have non ivy leaguers stinking the place up), and it was also fairly easy for them to just throw advanced math problems at me and knock me out of the running- regardless if this was something that was ever used in their actual work. I don't really regret it, but it would have been nice to be more heavily involved in pure finance stuff- I find the markets fascinating, I was very happy when I wrote some of the first TWAP and VWAP strategies out there, and then later (surprise!) started getting edged out of that space by "quants" with PHDs.

by c128 9y ago

kolbe 9y ago

So, you think wall street would be first to identify some brilliant coder who liked video games too much to have the grades to get into MIT? I doubt it. Quantopian sounds like the right platform to access that type of talent.

exelius 9y ago
Hedge funds operate across a whole bunch of arbitrage options -- not all of which are available to Quantopian. At most hedge funds, "alpha" boils down to information asymmetry (aka "how well-connected is my fund manager?") Pure quant platforms almost never outperform because they're so easy to replicate. Quantopian doesn't have enough "levers" to be able to build a comprehensive arbitrage plan. They might be able to provide low-cost hedging on the greeks, but that's just 1980s finance with computers. Furthermore, it's not the brilliant coder who just joined who makes you all the money. It's the brilliant coder with 15 years experience under his belt who makes way too much to bother with Quantopian who is writing the winners. It's not unheard of for top quant programmers to pull down 8-figures annually. Those guys are just not gonna mess with Quantopian -- they're going to eat it (and any platform like it) for lunch. In quant finance, if you're not the smartest guy in the space you're playing in, you're just another sucker.
- gonzoflip 9y ago
  Wait, you are saying there are quants that make >1,000,000,000 annually?
  - exelius 9y ago
    Haha, you're right. There are fund managers who make that much though :) I meant 8 figures for quants; need more coffee...
    - gonzoflip 9y ago
      Yeah I was going to say i thought quants pretty much topped out in the mid 8 figures. Although to be fair, I can't even fathom making ten figures annually. Having a compensation package that compares to the GDP of a small nation is beyond my comprehension.
      - exelius 9y ago
        Well, the guys making that kind of money (David Tepper comes to mind) are managing their own money with the fund / family of funds as well. I'm sure it's almost all capital gains.
  - deleted 9y ago
    [deleted]
- kolbe 9y ago
  > if you're not the smartest guy in the space you're playing in, you're just another sucker. I know you're trying to cargo cult some machismo from GGGR, but the stats don't support your claim. There're literally hundreds of successful quant finance firms. Which one is 'the best'? I'll be sure to let Ken Griffin or David Shaw or whoever isn't 'the best' know that they're just 'suckers'.
  - exelius 9y ago
    They just pick their spaces well; there are plenty of ways to find a niche where you are the smartest guy in your space. But there are a lot of traders / fund managers who lose their asses; most people don't last very long in a professional environment (the ones who do end up making a ton of money)
    - kolbe 9y ago
      For someone who makes very outlandish statements, you never seem to support them in any way. Throwing mild profanity and colloquialisms into your statements (as if being 'cool and casual' will make you sound like an expert?) doesn't suffice.
  - kevstev 9y ago
    One big hole in his claim is that a real problem for successful, and really all hedge funds to some extent- is scale. Yeah you might find a microcap out there that looks great but if the ADV on it is 100,000 shares with a <$200M market cap, its going to be really hard to invest a significant amount of money into it if you have even $100M in assets under management (which is considered to be a small fund). As an individual with orders of magnitude less in funds, there are a lot more opportunities out there picking up the "pennies" that the bigger guys are just too big to get into. I have a strategy that mostly picks up small and microcaps, and have had market beating returns since I have run them the last 4 years. I can't find a reference to it now, but Warren Buffet in an interview talked about some of the ways he could easily invest up to a million dollars and have a margin of safety that should easily allow him to beat the market. The closest thing I could find describing it is this: https://valuebin.wordpress.com/2011/01/27/warren-buffett-on-investing-small-sums-of-money/ https://valuebin.wordpress.com/2011/01/27/warren-buffett-on-... This link, while it doesn't go into the methods, at least directly quotes Buffet on the subject: https://www.sovereignman.com/investing/warren-buffett-its-a-huge-advantage-not-to-have-a-lot-of-money-19216/ https://www.sovereignman.com/investing/warren-buffett-its-a-...
- Bromskloss 9y ago
  > In quant finance, if you're not the smartest guy in the space you're playing in, you're just another sucker. That's one attractive advertisement. :-) It makes me want to play that game.
- praulv 9y ago
  >>It's not unheard of for top quant programmers to pull down 8-figures annually. This is complete nonsense. What is your source? In the current environment, max low 7 figures will be heads of quant research or senior directors.
- bjork 9y ago
  This attitude gives me genuine hope that there's still some unexploited alpha out there.

Fragoel2 9y ago

That's exactly what Quantopian it's trying to do: remove the barriers to entry so talented people can be discovered (and profited on). Of course, judging from results, they might be doing it wrong.

dingo_bat 9y ago
You're parent is probably trying to say that talented people have been found and they are working in the wall Street. They won't contribute to quantopian.

cbzbc 9y ago

In addition to this, the amount of effort/computation required to find winning strategies is going up all the time, because as market inefficiencies are exploited by people they start to disappear.

kevstev 9y ago

They make a lot of those resources available for free. I worked in algo/hft for about 11 years, then left and started building my own tools for building factor based algos using my interactive brokers' apis and my own toolkit. I was doing it on the side for about 3 months before I came across quantopian- and immediately felt like an idiot because they had done so much of the work for me- and it was available for free. It would have taken me probably 2 years to get anywhere close to their offering, and that's just for the pure trading/event processing side of it, let alone their backtesting, and risk measurement framework. I have been using it for a factor and value based microcap strategy for the last 4 years and have been beating the market's total return by about 5% on average each year. I trade a relatively small universe, its not really scalable to a large fund. I stopped applying for "quant" jobs in 2007- everyone wanted a PHD even though I was doing a lot of the same work- I got lucky and landed a job in Options AMM and for awhile was doing both dev work and what I later found out was considered quant work in most other places. My point being though is they provide a lot of infrastructure that would normally only be available to a very small number of people in banks and the like and those tools are gate-kept to PHDs and those deemed worthy of even getting a look. I don't put my algos in the competition and actually trade them manually so they are likely completely under the radar from quantopian, and aside- they look for very specific characteristics in their algos that mine don't fit. There is opportunity out there though, especially if you are trading in small size (lets say under 5-10M),

yosyp 9y ago
Could you elaborate on quant jobs requiring PhDs? Do they look for a very specific PhD (i.e. statistics), or is it just a blanket requirement to get past the hiring screens?
- solaarphunk 9y ago
  machine learning or statistics with a programming background.
- kevstev 9y ago
  This was all about 10 years ago, the market has moved since then, and now it seems you can slip under the PHD radar and do similar work if you classify yourself as a "data scientist." Some of the mythos around quants and technology has been uncovered, 10 years ago quantitative and electronic trading was still a newish thing and at a backseat to traditional traders and PMs. Many firms these days are technology first, though there are often still walls between those who write "models" and those who write "infrastructure." Anyway, its still largely true that for "quant" roles you need a PHD. It doesn't need to be in anything particular, but Physics/Math/Statistics are strongly preferred. This is just a hiring screen thing. Its not impossible, but quant types tend to have a big head and be elitist, and I personally found them to just be real jerks in the hiring process, and there were plenty of opportunities opening up in the then lucrative algorithmic/HFT space so I went down that road. By jerks, there were just several opportunities where you could just tell they didn't like my lack of credentials and that I went to a state school (on a scholarship, but still they can't have non ivy leaguers stinking the place up), and it was also fairly easy for them to just throw advanced math problems at me and knock me out of the running- regardless if this was something that was ever used in their actual work. I don't really regret it, but it would have been nice to be more heavily involved in pure finance stuff- I find the markets fascinating, I was very happy when I wrote some of the first TWAP and VWAP strategies out there, and then later (surprise!) started getting edged out of that space by "quants" with PHDs.