Recent college graduate, went back to finish a bachelors. Want to build a career in trading (which may not be trading the same time frame this site seems oriented towards) or portfolio management but did not major in quantitative field. Currently somewhere between “trade system creation” and “build a track record” stage.
System generates equity pairs traded together, ideal holding time is 3 months to a year (or until trailing stopped out in margin adjusted capital in trade terms). Essentially global macro, long/short equity, pairs trading hybrid. Creates projections from econ indicators, projections of future share value, technical and fundamental analysis to filter, substantial risk management calculations to ensure positions are “wise”, technical analysis again to time entry.
Equities are simply run through the system and out comes a variety of trade ideas, ensuring trades are made with a profitable spread trend highly likely to continue due to fundamentals and economics. Goal: minimize negative distribution return, push portfolio skew left, maximize Sharpe/Sortino/Omega ratios, while hitting return targets. Still improving it with outside help.
At some point following is calculated for assets/spread: capital split based on reserve capital & returns, correlation, co-variance, 3 Year historical beta to S&P, regression statistics, volatility weighted capital allocation inside spreads, deviation of returns, average spread return, kurtosis, skew, standard deviation, minimum return, maximum return, average positive return, average negative return, and percentage of positive/negative returns, average true range, Value at Risk+Expected Shortfall (parametric and historical 90/95/99), and Historical Sharpe/Sortino/Omega ratios.
Margin adjusted trailing stop loss based on risk statistics and max tolerable loss, recognizing major support/resistance levels in the asset. Finally, Gross exposure, long exposure, short exposure, and net exposure are calculated and controlled based on market outlook. All of this is calculated looking for certain numerical relationships that won’t be listed because it’s not really relevant.
Calculation automatic (copy paste historical returns, get numbers), enter/exit trades manual. Don't know C++/C#/Java/etc.
15 spread test run up 15.4% July 10th to September 19th, S&P -4.3% same time period. Set to test the theory behind the system against a correction and the rate raise which unfortunately didn’t happen. I know I need 2+ years results for value.
*REALLY* want a place that supports the system, to build results over time with it, either for usage at same firm continuously, or other professional possibilities. I'm guessing that means...
So far the only one that seems like a great fit looks like “Bright trading”, but site says memorial service for Don Bright. If you trade at Bright definitely please respond.
System generates equity pairs traded together, ideal holding time is 3 months to a year (or until trailing stopped out in margin adjusted capital in trade terms). Essentially global macro, long/short equity, pairs trading hybrid. Creates projections from econ indicators, projections of future share value, technical and fundamental analysis to filter, substantial risk management calculations to ensure positions are “wise”, technical analysis again to time entry.
Equities are simply run through the system and out comes a variety of trade ideas, ensuring trades are made with a profitable spread trend highly likely to continue due to fundamentals and economics. Goal: minimize negative distribution return, push portfolio skew left, maximize Sharpe/Sortino/Omega ratios, while hitting return targets. Still improving it with outside help.
At some point following is calculated for assets/spread: capital split based on reserve capital & returns, correlation, co-variance, 3 Year historical beta to S&P, regression statistics, volatility weighted capital allocation inside spreads, deviation of returns, average spread return, kurtosis, skew, standard deviation, minimum return, maximum return, average positive return, average negative return, and percentage of positive/negative returns, average true range, Value at Risk+Expected Shortfall (parametric and historical 90/95/99), and Historical Sharpe/Sortino/Omega ratios.
Margin adjusted trailing stop loss based on risk statistics and max tolerable loss, recognizing major support/resistance levels in the asset. Finally, Gross exposure, long exposure, short exposure, and net exposure are calculated and controlled based on market outlook. All of this is calculated looking for certain numerical relationships that won’t be listed because it’s not really relevant.
Calculation automatic (copy paste historical returns, get numbers), enter/exit trades manual. Don't know C++/C#/Java/etc.
15 spread test run up 15.4% July 10th to September 19th, S&P -4.3% same time period. Set to test the theory behind the system against a correction and the rate raise which unfortunately didn’t happen. I know I need 2+ years results for value.
*REALLY* want a place that supports the system, to build results over time with it, either for usage at same firm continuously, or other professional possibilities. I'm guessing that means...
- Mid-term or longer prop trading firm, not short/intra-day trade.
- No daily/weekly “volume requirement” or metric forcing short/day trade.
- Allows equity hedged with inverted equity positions, bonus for options.
- Margin account, since short sales are required and must be allowed.
- Remote trading is required at the moment, unless they’d pay for relocation.
- Highly accessible research platform, but already do it on my own so don’t really care.
- Low/No “education fees” or “markups”, etc.
- Provides training low/no charge. Fine with a “pass tests on X financial concepts to trade with our capital” as pay per try.
- Allows traders to trade firm’s capital.
- Percentage income earned from profitable traders.
- Low/No platform fee.
- Stable management.
- Lower cost of entry the better (student loans, etc)
- Commission of earnings if it’s reasonable off the base amount of capital they give you to trade. Bonus points: Salary plus commission of earnings generated/bonus.
- Sponsorship for Series 7/66 HUGE bonus for future development.
So far the only one that seems like a great fit looks like “Bright trading”, but site says memorial service for Don Bright. If you trade at Bright definitely please respond.
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