Carry FullKelly

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[Carry FullKelly @appeldemarge]

@itstheotherway @quantian1 @Merridew__ Never seen a Sankey chart before, eh?

[Carry FullKelly @appeldemarge]

@maybesideways @therobotjames It's been traded by every major CTA for a good while already. I'm surprised it still works.

[Carry FullKelly @appeldemarge]

@VivekVRao1 @__paleologo If Baly's competitive advantage depends on not sharing academic papers available on SSRN they're definitely NGMI.

[Carry FullKelly @appeldemarge]

@lurkamat @AgustinLebron3 There needs to be "something" to distil in the first place...

[Carry FullKelly @appeldemarge]

@RMcdonnold @HML_Compounder @choffstein @pansareV @FactorDork In the context of CTAs, some may very well just be slapping a reverting sigmoid on the signal and say that's mean-reversion. I'm not saying it's necessarily bad or wrong (CFM documented the effect), but that's not quite what I'd call mean rev in the "stat arb" sense.

[Carry FullKelly @appeldemarge]

@investingidiocy @Versace_Trader @larpcapitalwc If "Oh no, there are Spurs fans living in my traditionally Arsenal neighbourhood, we are doomed" is what passes as intelligence these days, no wonder everyone thinks AGI is just around the corner.

[Carry FullKelly @appeldemarge]

@choffstein I believe you can add cocoa to the list, although who even remembers 2024?

[Carry FullKelly @appeldemarge]

@investingidiocy Have you thought about calculating something like mean(S) * mean(r) + cov(S, r) to break down between average exposure to the asset and timing ability of the signal?
Not sure much insight to be gained but seems to fit with the idea of the post.

[Carry FullKelly @appeldemarge]

@bennpeifert Decent Espresso: not great hardware, not great software, but the only machine that feels worth owning. Well that + a lever machine (on which I'm still undecided). And a good grinder or two, obviously.

[Carry FullKelly @appeldemarge]

@EconstratPB Larry Summers.

[Carry FullKelly @appeldemarge]

@dampedspring Out of the ones you might actually be able to get a res from, Sushi Inomata is my go-to pick. A bit out of the way though.

[Carry FullKelly @appeldemarge]

@BobEUnlimited US 10y yield on the same chart as asset prices. Nice.

[Carry FullKelly @appeldemarge]

@quantymacro OK I'm going to drop some alpha because I'm feeling generous today. Regress price series instead of returns, and see how high your R2 can go.

[Carry FullKelly @appeldemarge]

@choffstein @theblackauroras Just be aware that resolution and size should be considered together.
4k needs at least 32" (if you are not longsighted), cos even modern OS do not do scaling well.
Two or three (2 horiz, 1 vert) 27" 1440p monitors would be a great setup. OLED are great but IPS if for work only.

[Carry FullKelly @appeldemarge]

@quantymacro @EntropyChase Maybe you're thinking of something from Isichenko's book? He mentions something very similar at the end of chapter 2 and beginning of chapter 3. I'd be surprised to hear any practitioner doing differently tbf.

[Carry FullKelly @appeldemarge]

@sasuke___420 Cannot really help you as I have not played Tactical Nexus, but let me just tell you friends don't let friends play Factorio.

[Carry FullKelly @appeldemarge]

@0xfdf Read this section this morning and went "ah ha!", and not because the acronym is funny.

[Carry FullKelly @appeldemarge]

@__paleologo Woke up at 4am yesterday thinking about combination of signals vs portfolios. And it's not the first time...

[Carry FullKelly @appeldemarge]

@Vertox_DF "every now and then?" What are you on about? That's what life is about.

[Carry FullKelly @appeldemarge]

@Vertox_DF It's just tools mate, chill.