0xARG

CT follower, GP, your exit liquidity, crayon eater

[0xARG @6uy_a]

@systematicls Please

[sysls @systematicls]

There are signals that just "makes sense", and when you find them, you need to do almost no kind of backtesting and fitting.

This is one such example. Once you understand this signal, you will go, "That totally makes sense, why didn't I think of that?!"

Most people don't understand what it means to be "creative". Every signal must be momentum or mean reversion or *shudders* pairs trading. I hope to share with everyone that good signals can be found by thinking deeply about behavioral effects and existing algorithmic signals.

Random comments and retweets will get this article for free.

[ltrd @ltrd_]

I got a lot of messages regarding materials for perpetual swaps (and CFD). Let's focus more on perps and what to do and read to better understand this instrument.

I provide you with articles, exercises and plan to work on perpetual swaps. 🧵

[Benn Eifert 🥷🏴‍☠️ @bennpeifert]

this is a good one. from a derivatives pricing perspective, the underlying is always the forward price, not the spot price. see thread below

[Benn Eifert 🥷🏴‍☠️ @bennpeifert]

Lots of people chimed in with the right ideas here, I'll summarize

[cephalopodshop @macrocephalopod]

A useful little quant trick -

1. Many things in finance decay like a power law (volumes, volatility, impact etc)
2. Power laws are a pain to work with
3. Power laws over finite timeframes are very well approximate by sums of exponentials
4. So just use EMAs for everything 🚀

[0xARG @6uy_a]

@QuantINsider_IQ Done

[qm @quantymacro]

new post dropped:

All my homies hate LASSO
(it's meant to be free so everyone who RT will get access 😃)

🔮how good is LASSO at recovering sparsity?
💡 lesson from a macro HF PM in building +150 forecasting models
🏰 (lack of) invariance of regularisation

featuring stolen content from @choffstein @macrocephalopod @bennpeifert @quant_arb

[CryptoCondom @crypto_condom]

ALPHA: Really fantastic trading indicator. Credit to Cole for taking the time to write it. I think the tool is best used with the following free dash by the always incredible @dyorcryptoapp for narrative confluence:
https://t.co/OspxvkpErV

[Husky @huskyXBT]

Aggr for beginners, lfg!

Aggr is a tool that shows market buy orders and market sell orders coming in from multiple sources, what we call "aggregated data"

[Velo @velo_xyz]

Introducing our information rich trading panel that runs directly from your browser to the exchange.

See aggregated data, multiple symbols, and lightning fast position management all in one place - with advanced order types like TWAP, limit chase, and scale ready out of the box

[cephalopodshop @macrocephalopod]

Many people said this was too complicated and you can lock in the arb by e.g. buying 1 BTC for $63k and setting a limit sell order at $100k, which guarantees you a profit.

But the point is not to show that an arb exists (that's trivial) - the point is to price it!

[cephalopodshop @macrocephalopod]

A couple of people asked how to price this bet. As a reminder the bet Peter offered was 5-1 against that BTC/USD would hit $100,000 before the end of the year (i.e. he receives $20,000 if Bitcoin hits 100k, and he pays $100,000 if Bitcoin does not hit 100k)

[Robot James 🤖🏖 @therobotjames]

at some point, volatility is going to spike a lot.

and lots of you are going to get rekt cos you didn't have a good plan for what to do, or you didn't stick to it.

i can't have that on my conscience - i got enough already - so pls read this and make a plan.

[0xARG @6uy_a]

@echodotxyz It back

[Horse @TheFlowHorse]

On funding and euphoria.

**If you are not excited, either something is wrong with you, or you missed enough of the trend to not be taken seriously anyway.**

Funding is just starting to elevate a bit again for altcoins. This only really starts to matter if and when they are no longer marking up, or if returns per interval start to shrink compared to the cost of carrying.

As a reminder, in bull markets, baseline funding levels need to be adjusted since it is reasonable to expect more leverage and not reflexively fade it like in a bear market.

As for euphoria, accurately assessing social sentiment is challenging. Hence, sentiment analysis is most effectively conducted through examining market positioning. While social sentiment and trends observed on your Twitter timeline may provide insight in retrospect, they are less reliable for forward-looking assessments. It's sensible to expect a certain level of excitement as prices surpass the 50k mark.

[Temu Robot James @ScottPh77711570]

@CryptoQuantz and I were chatting about the nature of trend following returns

In general trend returns scale with the number of independent bets

So trading more stuff = better, unless its all correlated... in which case it's not independent

1/n

[Kelly Greer @kellyjgreer]

musings into the biggest #btc options expiry to date next friday

-175k btc of options expire on deribit on 12/29, which account for half of existing open interest. 60% are calls / 40% puts
-can backout from difference in Dec/Jan gamma positioning that most of these Dec are long positions from the buy side, w/ a good amount in 40k calls. will watch for this exposure to roll into higher strike calls in 2024 after expiry
-dealer gamma (what the ppl want 👀)- $15m delta to buy/sell on 1% spot moves up/down here. we're above the peak level of gamma exposure at 40k - but this level should shift higher post expiry and could have a greater impact again (as it did in October discussed earlier here)