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visits member for 1 year, 2 months
seen Jun 8 at 19:16

I develop & deploy automated investment trading strategies


Sep
24
awarded  Autobiographer
Aug
18
awarded  Yearling
Apr
24
revised Effects of Fund manager reputation, track record, and skill on funds returns and capital flows
added 42 characters in body
Apr
23
answered Effects of Fund manager reputation, track record, and skill on funds returns and capital flows
Apr
14
answered Harnessing small correlations for reliable profit
Apr
10
comment Divergent or Convergent Strategies? Which is the way to go?
@GoodGuyMike, Well, the thing is that most established managers combine a lot of strategies, some of which individually could be convergent or divergent in your terms, and most neither. The net result is often a normally distributed daily returns. Niche strategy managers like the ones I described are usually quite rare. More over, most hedge fund investors (institutions, pensions, etc) implicitly or explicitly prefer managers that don't have weird distributional performance behavior.
Apr
9
comment Divergent or Convergent Strategies? Which is the way to go?
@GoodGuyMike, not in my experience (14 years as a hedge fund/fund of hedge fund quant). top hedge funds (wherever I had access to managed accounts, i.e. daily positions) indeed had normally distributed returns. there have been weaker funds that solely do niche strategies like carry, levered bond (coupon collecting) that have non-normal distributions, but such firms either lose a lot of money once every bear-bull cycle (e.g. in 2008) and go out of business OR don't make much money most of the years (e.g. short sellers) except a few years and investors lose interest in them.
Apr
8
answered Are power contracts traded on any stock market?
Apr
8
answered Divergent or Convergent Strategies? Which is the way to go?
Apr
7
comment Graduating Quantitative Finance (please don't move it to meta immidiately)
IMHO, the site has a very low popularity compared to Wilmott.com which has a huge and dominant quant finance audience and reach. Also, quant finance is an area with too many niche sub-areas little related to each other - for instance derivatives (& risk), quant equity research, quant macro. very few people will answer any practitioner-level quant equity or quant macro questions due to IP issues - resulting in mostly college kids asking and a few academics/ post-docs/PhD kids answering. lastly, SE is very strict as per its posting standards - all silly/vanilla posts will happen on wilmott.com
Apr
5
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
would agree with Joshua that R manuals at least these days are better than Stata's. But yes, far behind Matlab's manuals. The key difference is Matlab gives an example for each and every optional variable and parameter while R documentation doesn't. For an advanced user, however, the documentation is least of the worry!
Apr
5
revised What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
added 30 characters in body
Apr
5
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
my bad. should have added "Windows" to my answer
Apr
5
answered What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
Mar
29
awarded  Supporter
Mar
28
awarded  Teacher
Mar
26
comment Backtesting with fundamentals
I start off backtesting stuff on exactly what you are doing now, but long back in 2001. One advice I would give is to use a language that has a data frame support sooner than later. Back in those days when I started, R was the only option. It doesn't matter if you use pandas in python, or data frame / data table in R, tables in Matlab, deedle in C# / F#, these days tools can't get more easier for you. I wish pandas in python or tables in Matlab was available in 2001. I wouldn't have wasted precious years.
Mar
26
awarded  Editor
Mar
26
comment How are momentum and reversion long/short strategies dynamically combined in trading?
a very successful stat arb traders once told me: mean-reversion is simply the quant modeler's failure to capture (or model) momentum at shorter time-frames. :-)
Mar
26
answered Controlling portfolio concentration