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Thank you! >How did you did risk management? I put in a basic position management layer (1% fixed stop). Also, the market regime module would modulate particip
by muggermuch 4y ago
Thank you!
>How did you did risk management?
I put in a basic position management layer (1% fixed stop). Also, the market regime module would modulate participation, i.e. in really risky environments it would dial down the number of stock picks. I can definitely do much more on this front, but I wanted to nail down the stock picking first! :)
>Have you been leveraged?
No leverage.
>Have you paid for data?
Yes, my monthly running costs for data are ~$1.2k.
- pneumatic1 4y agoHave you looked into Kelly criterion?
- muggermuch 4y agoYes! I use fractional Kelly extensively in my (separate) higher-frequency strategies (on MES/ES/NQ/VX futures). I'm thinking of writing some follow-up posts on how to reason about ML-driven strategies in an intraday setting. Thanks to low-cost brokerages, there's a lot of alpha that can be captured by small league speculators such as myself.
- Jorge1o1 4y agoThis is true. I ran a 3+ Sharpe and over 40% annualized strategy on PredictIt back when they had the tweet markets a few years ago. It was literally just fitting a Poisson model to Trump, Pence, White House, POTUS, and VP twitter accounts and then Kelly betting based on the difference between the market price and the Poisson model. I strongly believe the only reason I got such a solid performance is not because I’m some kind of trading savant, but simply that the $850 per contract limit prevents smart money/institutional traders from moving the market towards efficiency. Similar opportunities exist in the equity world — one huge advantage is that little guys don’t really incur market impact. For a lot of systematic RV plays, you might only have 10bps alpha and then a 7bp trading cost each way.
- JSGdev 4y agowhat data sources did you use? im interested in working on something similar.