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You mean there is no such thing? Maaaaaan....

That's just silly. Did passive Vanguard investors do "oh so well" last quarter too? Passive investing has a very different profile and it does not make sense to compare the two.

As you approach lower and lower rate, the term premium increases (because people rightfully ask how low can the rates stay for a long time) and the attractiveness of the longer term debt decreases (because nobody wants to own long-term a low-yielding asset even if it's safe).

Yeah, true. Normalization allows me to avoid calibrating/fitting almost completely by taking a sigmoid of a z-score and assuming some reasonable window like +/- 2 stdevs to clip by. Fitting a sigmid directly would require running iterative backtests. I feel, possibly incorrectly, that as a...

I was curious today, so I reached out to someone involved in the field. Apparently, people at Guggenheim have a different opinion of his work there. The operative words were "useless" and "waste of time". I can't comment directly, not being involved in anything ML-related. My only thought...

Hmm. My approach has been to normalize any signal I use against it's standard deviation (cross-sectional or longitudinal), fit a sigmoid to clip the extremes and then use a hysteresis band to reduce trading. That removes the necessity for forecasting, but I am now actually starting to think that...

Ugh, "it's complicated". I trade a relatively small set of underlying securities, but once these have been mapped out into actual traded instruments the complexity explodes and I end up using discretionary inputs to deal with that (e.g. picking the strikes for options). Plus, to make it further...

Interesting. Do you actually filter out the low strength forecasts or use scale the trades based on the signal (obviously, clipping at some reasonable level)?

How do you know that the rally of the last quarter was not the market pricing in the China deal? You know, the usual "buy the rumor, sell the news" type thing.

Dude, you got your causality totally backwards. Yield curve inverts because everyone expects recession and the resulting easing of the monetary policy. A recession is a normal part of the business cycle. Everyone wants to go to the party, but nobody wants to stay and clean up. I posted a link...

How do you integrate back-testing with the live trading (e.g. for perfomance attribution)?

You think? I have not read anything so don't have an opinion, to be honest, but he seems to have a history of working at various fancy places.

Thanks for this! The source code for re-barring data based on various metrics (volume, N-ticks etc) is nice and tidy. FWIW, I am not a great believer for machine learning applications to finance. There is a lot of noise in the buy-side community but I don't know anyone making money on it aside...

Yup and here it is: https://fred.stlouisfed.org/series/T10Y3M It's more than just "it predicts a recession" by forecasting the expected path of the Fed policy, but it also partially causes it by hammering the financial sector.

I take pride in the fact that my car is the cheapest in our garage by a large margin. To be honest, if I did not rock climb and did not have a large dog, owning a car here would not make much sense. The breakeven between renting and owning in terms of overall cost is around 7-8 driving days a...

CME has been trying to popularize ES options for a long time and yet CBOE is more or less winning the game (for various reasons). Also, they are missing SPYs are yet another source of S&P 500 vol.

Cute :)

I think almost every high paying profession out there has a strong cyclical component, be it in finance, programming or anything else. Percent of people that manage to steadily make 500 a year is probably very small. I did mean Honda Fit, but I guess it shows how much I care about what I drive...

It's a very good education, but it's really about the connections. The list of the parents is a veritable who-is-who and the kids will have a chance to be their peers. That's worth way more than good education, iMHO. Public schools in Manhattan and the rest of the city are kinda sh*t, from what...

I drive a decrepit Toyota Fit that probably costs less than my garage a month. My total cost of ownership (garage, insurance and maintenance) is just about 8k a year. I can't imagine how much people in my garage pay for their Porsches. Well, it happens naturally. My tax brackets and tax...