muggermuch

8 ms·

1. 31.▲
   by muggermuch 4y ago

   1. I would fiercely recommend reading “An Engine, Not A Camera” (Donald MacKenzie). Formally, it reads as a sociological study of the practice of finance - how financial markets shape society instead of simply capturing its needs and desire
2. 32.▲
   by muggermuch 4y ago

   >FTX's books don't so much have red flags as that they are printed on red flags, with ink derived from red flags, a custom-made red cover made out of more red flags, and each page, when opened, has pop-up red flags along with a
3. 33.▲
   by muggermuch 4y ago

   This is very useful; thank you for the wonderful blog post!
4. 34.▲
   by muggermuch 4y ago

   This is a very insightful remark, thank you. I focused on 10-Qs for the EDGAR filings module as you rightly pointed out - it seemed to be a good balance between implicit information and usefulness of the data. TBH I didn't actually inv
5. 35.▲
   by muggermuch 4y ago

   Thank you, and ha! An emphatic yes to all the points you raised! It's especially daunting when there are multiple vendors with incompatible point-in-time hygiene setups, a situation I faced at the beginning of setting up Didact. Also,
6. 36.▲
   by muggermuch 4y ago

   Thank you for the note! Just picked up Isichenko from the online bookstore we all love-hate. I'd love to get in touch (as per your HN profile) - my email is am(at)principiamundi.com
7. 37.▲
   by muggermuch 4y ago

   :) Will do! Thanks for the encouragement!
8. 38.▲
   by muggermuch 4y ago

   Yes! 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 sett
9. 39.▲
   by muggermuch 4y ago

   Thank you so much for your kind words! Your comment made my day! :)
10. 40.▲
    by muggermuch 4y ago

    Thank you! I used Excalidraw ( https://excalidraw.com ), and I highly recommend it! It gives me 'xkcd' vibes.
11. 41.▲
    by muggermuch 4y ago

    Thank you for this comprehensive response! I have often found myself struggling to explain the difference between building a strategy or trading system (which reduces to a technical/intellectual challenge) and running a hedge fund (ess
12. 42.▲
    by muggermuch 4y ago

    > Also would this approach work with crypto? Some of it works on crypto. TBH I've stayed away from the asset class, but only because I find it difficult to build mental models and think about features (in my mind, it's a mix of
13. 43.▲
    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 stoc
14. 44.▲
    by muggermuch 4y ago

    :) hmu on LinkedIn!
15. 45.▲
    by muggermuch 4y ago

    >You should be running a multi-billion $ Quant fund if this is the case. You seem to underestimate the level of effort and rigor required to achieve this level of capital allocation. In contrast, beating the market by 20% is table stakes
16. 46.▲
    by muggermuch 4y ago

    Indeed. I haven't shut down development, just shut down the newsletter. I'm continuing to work on it.
17. 47.▲
    by muggermuch 4y ago

    There are commercial feeds available via Nasdaq DataLink (FKA Quandl). I also bought bulk historical data to feed through my backtester (I haven't talked about this in the post; it was getting to be a bit too long).
18. 48.▲
    by muggermuch 4y ago

    Thank you!
19. 49.▲
    by muggermuch 4y ago

    That's a good idea. I'll try it out, thanks!
20. 50.▲
    by muggermuch 4y ago

    It's difficult. We made a lot of pitches. Investors/allocators require a fairly long track record and are extremely reluctant to fund (what they perceive to be) black box strategies.
21. 51.▲
    by muggermuch 4y ago

    Great question. If I beat the market by 20% (say SPY generated 0% for the year, very optimistic at this point), and I have allocated $100k to this, I make $20k before taxes. That's less than minimum wage. Meanwhile, allocators expect a
22. 52.▲
    by muggermuch 4y ago

    Thank you for appreciating the article; I tried to disclose all that I could! 1. Yes, I did put my own money in it (low 6 figures). 2. It went as described in the article - for the capital I allocated to Didact, I beat the market (SPY) by ~
23. 53.▲
    by muggermuch 4y ago

    Thanks!
24. 54.▲
    by muggermuch 4y ago

    Hi, fellow HN'ers! Author here, please let me know if you have any questions or thoughts!
25. 55.▲
    The anatomy of an ML-powered stock picking engine(principiamundi.com)

    298 points by muggermuch 4y ago|103 comments
26. 56.▲
    by muggermuch 4y ago

    This is excellent, thanks for sharing!
27. 57.▲
    by muggermuch 4y ago

    https://archive.ph/Nd3jF
28. 58.▲
    by muggermuch 4y ago

    >> dated, a little wrong about some things, but not insane (like _Applied Cryptography_ is). Why is "Applied Cryptography" insane? As an interested bystander, I'm curious to know more.
29. 59.▲
    by muggermuch 5y ago

    +1 absolutely - it's been one of my pet peeves. There really needs to be some thought put into "doc UX".
30. 60.▲
    Maximum Flow and Minimum-Cost Flow in Almost-Linear Time(arxiv.org)

    7 points by muggermuch 5y ago|0 comments