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They have no convexity. The decay comes from mean reversion of the underlying index (mostly), from slippage at the close and from market impact (for LETFs with less liquid underlying). Where do you think convexity comes from if the rules just trade delta one instruments?

I'll be the first one to admit that I can't day-trade. In fact, any time I override my model, I expect it to have negative expected value, especially if it is a short-term trade. Does not make me a bad portfolio manager, I trade index vol, it's pretty liquid, but there is no way I can make...

Bloomberg does not seem to have these jumps, so I am guessing it’s bad data.

Not a hundred but definitely multiple tens of people who retired from the industry and are managing their own money. Some are truly “trading” (ie turnover is relatively high) and some are closer to investing, but they are making a reasonable retirement income. Myself I am still employed in the...

The first part is not true. I know a lot of people who retired from institutional trading roles and now are successfully trading their own account. There is a lot of low capacity alpha around, but you need skills and knowledge to find and extract it. The second part is obvious. If you take a...

Like I said, direct exchange feeds can be re-distributed via a provider or you can connect directly if you have the technology for it. It's a PITA to deal with, but you get meaningful improvement in speed and you can try to gain minuscule edges. The little examples (in no particular order) are...

He probably meant "prop" feeds. Some low-latency players prefer to parse their own feeds (directly from local multicast). Most, however, use proprietary feeds by various providers and get them via cross-connects at similar latencies. These prop feeds might be a touch slower but add all kinds of...

That would be my prior too. All of the bilateral Russia-China trade is CNY denominated, that would include Russian energy and Chinese stuff that’s covering Russian war needs etc

Alternatively, you can say “impacts of information and flows on prices of securities, which academics describe using various forms of stochastic processes due to lack of a better holistic model” :)

Well, your signals aren’t curve fit, you’re still using alpha signals that come from real data and you’re still applying all the anti-fitting tricks (small number of variables, online learning in case of ML etc). Now, you want to decide on SL or TP parameters (eg 1SD and 2SD respectively over...

I mean, simulation is an extrapolation method, you creating paths that you've never seen in real life - it's just that number of variables is high enough that it's near-impossible to do using simple linear interpolation or something like that. In my case, I create synthetic paths that have the...

I am a discretionary manager too, just that I am so slow that I have not caught up to it yet. For what it’s worth, I use stop losses whenever I get involved in special situations type of stuff. The idea is that “my read was incorrect for some reason and I don’t want to be in the trade any...

In the quant space you see both people using well defined TP/SL combinations and there are people who prefer to manage risk using sizing and hedges. Both approaches can make money and both can lose money if done incorrectly. Most of the quant gripe with SLs or TPs is that it naturally makes a...

How so?

No way man! Death before decaf!

You don’t want to know:D

Yes, conviction is a natural conclusion to a trading career. Just ask SBF!

Well, today I found that 1 minute has 100 seconds and we are talking about a world-class framework that costs thousands of dollars per month. So nothing surprises me anymore.

So many questions, right? Would it be cumulative - e.g. if you're middle aged and somewhat reckless? Or maybe max of the two?

better - what happens if there are two different accounts running this? :D