over time trading high sharpe systems / strats makes you weak
at this point i find it incredibly difficult to stomach even the smallest amount of volatility
hopefully i can recover from this illness
i want a steep equity curve not a shallow monotonically increasing one
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
class has been hurting my brain, this and balancing a lot of my trades and bets has been difficult. but we move
“nothing has ever stopped somebody who really really wanted to do something”