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junior quant when the data pipeline is still fked and the market is opening in 2 mins:

I'm falling into the classic trap of having some success with trading arbs in crypto and that somehow makes me think I know crypto and I can run a discretionary long/short strategy despite the skillset of running arbs mostly has nothing to do with discretionary long/short

fwiw I personally think having a systematic background makes taking discretionary bets easier. I’m comfortable thinking in terms of expected rets, covariance, port opt stuffs etc and that guides me to build a reasonable discretionary portfolio. YMMV ofc

quant finance papers that found real effects but ignore transaction cost & slippage aren’t ideal but they’re not that bad. at least the effect is real and if you’re sophisticated enough you might be able to monetise it still. the much bigger issue is if the effects are fake

“30k followers with 300k tweets, who cares. 30k followers with 3k tweets, that's hard” - Jim Simons, Renaissance Technologies (Flirting With Models S0E2)

a guy was hitting on gf by mentioning “I work at JPM in Canary Wharf” & “I work out at Third Space which is expensive” (he said this twice). overall ok guy but he couldn’t even derive optimal ridge penalty for orthogonal features (which is the easy case). gf got instant ick.

discretionary view, quantitative portfolio for thematic brypto long/short probs one of the "harder" articles to write about (skill issue for me) but I write to level myself up so gotta give it a try as usual giving access to some who RT ref cephalopod Gappy (Giuseppe Paleologo)

noob question: out of curiosity how do ppl actually backtest semi-high freq stuffs on illiquid things where clearly your presence affect the orderbook significantly. how do you even simulate that? or do you just test in prod like a chad?

YTD: 333% down days: 8 every night is a fight to keep the edge alive. so far so good but the moment Sharpe dips below 15 I might just have to kill this thing out of shame. good things don't last. no crying in the casino

I underpaid taxes by ~3.7k I get it it’s my fault you need to build schools and roads ok that’s cool but the interest is £0.83/day like yo chill out a bit dawg can someone pls teach HMRC to run funding arb or smtg there’s no need to do me dirty like that

on a mission to find THE BEST kebab in London pls shill me your recommendations the winner will receive a free kebab delivered to their doorstep at 2am by a man wearing a balaclava and a hoodie

if my backtest Sharpe is 2 I'd be wondering where the hell did it go terribly wrong why is it so low

was busy buying the underlying of illiquid stuffs to push the price up & then buy the index puts and sell calls and then sell the underlying to push the price down & monetise the options but then gf walked in and I immediately switched to porn. much easier to explain

my brypto arb pnl tier really bad day: loses a day’s salary bad day: flat ok day: makes 1/3 of daily salary decent day: makes 2/3 of daily salary good day: makes daily salary great day: wakes up in the morning & made daily salary amazing day: wakes up in the morning & made 3

how quants act when they get to touch a woman’s hand:

met someone who’s a ginger today. on top of that he’s a discretionary macro trader. and you expect me to believe that god is fair.