- Provides in depth analysis on the USDINR relationship with Nifty and how can same relationship be used in many ways. Has a lot more data analysis supporting the systems.
4/5
While the focus of all these videos is USDINR, you may find value in the way an edge is discovered, researched, tested, and deployed.
5/5
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Re-doing my #BookRecommendations for beginners in the world of systematic/quantitative trading and investing as recently received several Qs.
Retweet/Share with anyone who might benefit.
In no particular order - 1. Systematic Trading by Rob Carver @investingidiocy
2. Expected Returns by Antti Ilmanen. This book shares expected sources of returns from past. not that one may find those now. He also featured on @choffstein podcast - "Flirting With Models". Worth a listen.
3. Inside the Black Box - Rishi Narang
This is essentially talking about all moving parts that may be needed for an algo trading set up.
While some G10 FX pairs have lost upwards of 1.5%, both safe-haven currencies of JPY(🔻0.11%) and CHF (🔻0.89%) are seen relatively stable when compared to other G10.
No Matter how many algos I hv created in past, evry time I bring a new algo to LIVE trading-I'm jittery. That is the human side of Quant Trading. We build robots/systems – but ourselves are humans with same apprehensions and self-doubt as anyone else. A 🧵of my learnings 👇: 1/n
from bringing #QUICKSINGLES to research stage to LIVE Investor Deployment. It has hit a new ATH today and now has had 60 trades to it on LIVE Trading. Some background of research and approach first: 2/n
I had bt this strategy and associated robustness testing was completed in Mar-21. For the first time I was experimenting with a pure Data Driven strategy research (it had no hypothesis when I started my research). I was skeptical of my BT and kept on finding ways to break it. 3/n
Efficient Capital Allocation - A🧵
A lot of traders are looking to deploy multiple systems with opposing styles (trend following + vol selling) on same capital to enhance returns. The assumption is that with sufficient buffer, idle capital can take care of losses in one sys. 1/n
While some results may be generated from the other system. The risk from this comes in form of systems becoming highly correlated and leading to more than perceived DD from back tests. The traders can be better off if they perform following: 2/n
1- Understand if your returns are coming from different aspects of markets. This could be cross asset class or from different style (Trend/Mean rev/Vol selling etc) 3/n