QuantCat

Systematic L/S

[QuantCat @justquantcat]

Decent results, 2.12 sharpe, 1.3x long, 0.2x short.
Will post full port shortly

[QuantCat @justquantcat]

@SowingAlphaSeed @BasedBreakouts Try backtestesting it. I doubt it’s accretive.

[QuantCat @justquantcat]

@SowingAlphaSeed My guess its >1% annual drag on performance and scales up with capital

[QuantCat @justquantcat]

@SowingAlphaSeed Not sure how much capital you have but there would usually be spreads, timing drag and tax costs. I think there are better ways to achieve this. Spy puts for example

[QuantCat @justquantcat]

@systvest @GfI_Himmelreich @P123Finance Can’t wait to see. Cheers

[QuantCat @justquantcat]

@leevalueroach Same

[QuantCat @justquantcat]

@systvest Lol. I get it…

[QuantCat @justquantcat]

@SowingAlphaSeed Big if true

[QuantCat @justquantcat]

@ALEXEIMARTOV As an atm drunk person, I say yes!

[QuantCat @justquantcat]

@tomicki You must have long and short list flipped. I don’t believe this

[QuantCat @justquantcat]

@systvest Nice. Shorts are always hard

[QuantCat @justquantcat]

@thechartist 100k turned into 100 billion?! Sure why not

[QuantCat @justquantcat]

@dmartin_trading Wait 45–48R over 17 years is like 1-2% cagr lmeow

[QuantCat @justquantcat]

@dmartin_trading More like 10 trades if I am looking in the right paper

[QuantCat @justquantcat]

@dmartin_trading Apparently it’s like 17-20 trades a year. 100 years of backtest might not be enough

[QuantCat @justquantcat]

@derekinvest6 It’s alright. I am curious about the rules more 👀

[QuantCat @justquantcat]

@derekinvest6 60 times a year is still 2-4% cagr hit on friction costs

[QuantCat @justquantcat]

going to receive all my stock updates this way from now on

[Chris Stokel-Walker @stokel]

AI is incredible. Bought this cheap Bluetooth receipt printer, pointed Claude at it and got it to print out every morning an email I get to read into my day. Unbelievable.

[QuantCat @justquantcat]

For most people the best approach is to not lose money on a “theme” by not oversizing exposure

[Sebastian Krog @SebKrog]

Four ways to make money on a "theme"

- Buy the leader and play "passive flows"
- Buy highest "rate of change" company
- Buy the levered company
- Buy the "special sit" where coorperate action pot. unlocks the company as a pure-play on the theme.