Zeta

Math wizard | Quant wannabe

[ltrd @ltrd_]

https://t.co/cn9qxfVImy

[Zeta @zetaquant]

@Mrcryptoxwhale done

[sysls @systematicls]

The best life is about maximizing expected value over your remaining lifespan.

Stop optimizing for low volatility comfort.
That's just curve fitting to your current local maximum.

The play is:
1) Identify what has asymmetric upside (skills, relationships, projects where downside is capped but upside is huge)
2) Size positions appropriately (don't YOLO, but don't under-allocate to high-EV plays either)
3) Rebalance when you're overexposed to things that stopped working

Most people are running a backtest on someone else's past and calling it a strategy. They found one path that worked (college → corporate job → house) and assume it's optimal forever.

Markets change.
You change.

Recalibrate. The difference between living well and living your best life is the difference between holding cash and actually deploying capital.

[Zeta @zetaquant]

@idro___ How do you choose your prediction horizon? Did you just test for the best?

[AzFlin 🗿 @AzFlin]

i've noticed that extremely smart/talented people are often:

1) very horny
2) able to do high amounts of drugs / alcohol

[Zeta @zetaquant]

@idro___ Autocorrelation should be countered by adding lagged returns no?

[Zeta @zetaquant]

@idro___ Would definitely look at residual plots (residuals vs predicted or vs predictor) and identify where exactly the model is wrong.

[Zeta @zetaquant]

@quantymacro What do you guys use to find good papers?

[Zeta @zetaquant]

@11kmrn Quant trading

[qm @quantymacro]

diagnosing ML models for noob modelers

sorry friends for the delay I have been taking a break from anything maths related. turns out there are more to life.

as usual giving access to some who RT. but if not that's fine too. life is too short.

[Zeta @zetaquant]

@idro___ How do you calculate the average spread? (What is the look back window)

And do you standardize the funding rates somehow?

[Zeta @zetaquant]

@macrocephalopod Can someone tell me what strategy is “classic” like this one?

[oxbquant @oxbquant]

Work harder

[Zeta @zetaquant]

@Shocked Here!

[lynk @lynk0x]

crushing your 20s protocol:

avoid debt.
get in shape.
learn a monetizable skill.
take risks.
learn about money.
live on your own.
no hard drugs.
start a business.
travel. eat real food.
keep your family close.
don’t chase women.
work hard.
pick your friends wisely.

[Zeta @zetaquant]

@NisovinHyd @macrocephalopod @itsmartingale @systematicls @ScottPh77711570 That’s what I was thinking, thank you very much this helps a lot!

[Zeta @zetaquant]

Dear fintwit,
are you guys in the trenches actually using Marco De Prado’s techniques? (triple-barrier, meta-labeling, …)

I have heard people loving the lessons and people hating them…

@macrocephalopod
@systematicls
@ScottPh77711570

[Zeta @zetaquant]

@ScottPh77711570 @afekz @systematicls @macrocephalopod In my head this was just something I HAD to read, but yes I should focus on other things first.
Thank you boss!

[Zeta @zetaquant]

@smart_intellecc @macrocephalopod @systematicls @ScottPh77711570 That’s a good question.
Judging from the website I doubt it.

[Zeta @zetaquant]

@afekz @systematicls @macrocephalopod @ScottPh77711570 That’s probably the most accurate metaphor I have ever witnessed.

I will remember it.

[Zeta @zetaquant]

@afekz @systematicls @macrocephalopod @ScottPh77711570 Well then I will grab my shovel and dig for the gold nuggets, thank you!