Always In #idea
How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model? Where ‘Aways In’ may simply try to capture drift, Place for options? Vig kills? Continuous vs discrete, … –h
Month: October 2014
[Saturday Ideas] How Does a Quant Practice? #idea
Lacrosse fall season started last night and I got a note from son’s mom: Son is best player on field! Son has worked and practiced hard over the last year, I am proud and happy for him. I get a second note from mom: Son signed up for wrong league, playing against kids 2 grade levels Read more about [Saturday Ideas] How Does a Quant Practice? #idea[…]
Trend Following with Mean Reversion #idea
Trend Following with Mean Reversion Keep a list of markets that are trending (however one likes to define trending) Use a favorite reversion strategy to buy/sell pullbacks from the trend That way you will be trading in direction of the trend, but perhaps using a strategy with a bigger edge – because now you are trading Read more about Trend Following with Mean Reversion #idea[…]
September P&L
Strategy Performance Risk Adjusted, Out-of-Sample Annual: +24.9% Max DD: -3.5% Sharpe: 5.7 Profitable: 12 of last 12 months I am looking for a new home for this strategy. It has been traded with $40m and scales easily into the $200m range. Inquiries and referrals appreciated. A Strategy overview is here, –h Henry Carstens 503-701-5741 carstens@verticalsolutions.com