elPythonQuantador @ThePythonQuant Twitter profile

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elPythonQuantador

1 year

I’m going to write shorter threads from now on to make them more manageable to write. They’ll all be listed below in no particular order!

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elPythonQuantador

@ThePythonQuant

2 years

I’ve been asked to write a thread on how retail traders can get started in Quant Trading, and what to do without an institutional setup. There’s a lot to learn, so please don’t complain later that I didn’t warn you! 🧵

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elPythonQuantador

@ThePythonQuant

8 months

Citadel just really out there making anyone trading anything look stupid.

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elPythonQuantador

@ThePythonQuant

1 year

@dhorsb @feedthedrummer Anywhere in london takes 45 minutes to get to

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elPythonQuantador

@ThePythonQuant

5 months

This is my kwant

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elPythonQuantador

@ThePythonQuant

8 months

People argue that hedge funds are stupid if they don't exceed a benchmark rate of return... I wanted to address that, so let's take a hypothetical crypto strategy, one that I've made with a 20% vol target. It looks worse than bitcoin, right? ... A 🧵

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elPythonQuantador

@ThePythonQuant

6 months

The brutal truth of finance is that name-brands matter. My undergrad was at a non-target, and my quant career was a non starter. After studying my masters at Cambridge - I got interviews at every top quant fund on the list. I hated that reality, but it is what it is.

Piotr Pomorski

@PtrPomorski

6 months

I have received some questions either in DM or LinkedIn on universities and PhDs that can help you A LOT land a role in a top quant fund. I am probably not the best person to answer but here is what I think: In Europe there are 6 universities that are considered targets pretty

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elPythonQuantador

@ThePythonQuant

2 years

I’ve been asked to write a thread on unorthodox feature engineering for quant strategies. It’s a bit of a long topic, so I appreciate your patience. I’ve tried to keep it simple and mathematically approachable.

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elPythonQuantador

@ThePythonQuant

3 years

You think LARPing is bad? Wait till you read sell-side research

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elPythonQuantador

@ThePythonQuant

8 months

To those who observe 🙏

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elPythonQuantador

@ThePythonQuant

2 years

I’ve been asked by my esteemed colleague @goodalexander to write a thread on recent industry trends within Quant Trading. My background is mostly within the mid-frequency space, so I’m likely to miss hugely obvious points to those in parallel industries. Apologies: 🧵

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elPythonQuantador

@ThePythonQuant

4 months

Take a bow, you won the game. RIP Jim

Simons Foundation

@SimonsFdn

4 months

It is with great sadness that the Simons Foundation announces the death of its co-founder and chair emeritus, James Harris Simons. Jim was an award-winning mathematician, a legendary investor and a generous philanthropist.

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elPythonQuantador

@ThePythonQuant

2 years

I take back what I said - I am actually out of a job:

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elPythonQuantador

@ThePythonQuant

4 months

This is my kwant

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elPythonQuantador

@ThePythonQuant

9 months

Not to be that guy, but I seriously expect every single person on the sales/trading side of banking to be able to talk me through a vol surface. If not, strong NGMI vibes.

Michael Antonelli

@BullandBaird

9 months

Bloomberg has a function that means something to maybe 10 people on the planet.

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elPythonQuantador

@ThePythonQuant

2 years

I was asked to write a thread on the best HF coding practises and standards. I’m not a software engineer, I’m a mathematician who codes OK. I run many successful automated strats in a HF, and here are a few things I’ve learned 🧵

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elPythonQuantador

@ThePythonQuant

1 year

This picture should be sobering to anyone convinced that we have reattained price stability

Lawrence H. Summers

@LHSummers

1 year

This picture should be sobering to anyone convinced that we have reattained price stability.

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elPythonQuantador

@ThePythonQuant

3 years

Nothing makes me want to leave this industry more than trying to merge databases with different tickers and identifiers.

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elPythonQuantador

@ThePythonQuant

8 months

Sharpe Ratio vs $ PnL

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elPythonQuantador

@ThePythonQuant

2 years

I was asked by an esteemed colleague, @therobotjames , to write a thread on how to scale “things” under what a distribution ”might” look like. This is quite a common dilemma in quant trading, but one that becomes integral to research. A 🧵:

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elPythonQuantador

@ThePythonQuant

2 years

I made ChatGPT make a QP Portfolio Optimiser using CCXT and CVXOPT with a turnover constraint. This is getting ridiculous now. I mean it's probably like 70% correct and 40% useful, but the fact that it can actually do this much is ridiculous

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elPythonQuantador

@ThePythonQuant

2 months

Run out of GPT credits for your quant strats? Why not ask Amazon!

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elPythonQuantador

@ThePythonQuant

2 years

I was asked a while ago to write a thread about systematic trading on illiquid assets by @macrocephalpod . Be it small cap stocks, illiquid shit-coins or a growing new market - there are a few principles worth following. Here goes: 🧵

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elPythonQuantador

@ThePythonQuant

8 months

@therobotjames @pseudolad Guys will see this and think “hell yeah”

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elPythonQuantador

@ThePythonQuant

1 year

When a quant research job description asks for a CFA or CQF 🚩 🚩 🚩🚩🚩🚩🚩🚩🚩🚩🚩🚩🚩🚩🚩

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elPythonQuantador

@ThePythonQuant

1 year

@implausibleblog @campbellclaret I’ve always wondered why political negligence or like, politicians lying, punishable by prison terms etc? I mean, the £ impact on families by a mis-sold brexit has caused an infinite issue. If someone mis-sold me a financial instrument for £50,000 - I’d have them in jail by now

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elPythonQuantador

@ThePythonQuant

8 months

Junior kwant at 7am when the data pipelines start crashing

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elPythonQuantador

@ThePythonQuant

1 year

It’s often reported that quants don’t have stop-losses. We do, but not in the same form as retail traders, because we have different problems. Here’s an incoherent ramble on some points🧵

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elPythonQuantador

@ThePythonQuant

7 months

Risk manager calls and asks me about my recent drawdown

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elPythonQuantador

@ThePythonQuant

2 years

@AltcoinPsycho This is just doing a cumulative sum why should I be impressed?

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elPythonQuantador

@ThePythonQuant

8 months

A few people seem to be missing the point here - Citadel do well in everything they do. It’s not like they just do well in equity l/s or m&a or quant or macro - they do well in everything. I repeat: it is very difficult to achieve what they achieve year on year

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elPythonQuantador

@ThePythonQuant

6 months

“Hey i’ve noticed your signal has been picking up a bit of beta and momentum exposure. Are you concerned about that?”

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elPythonQuantador

@ThePythonQuant

1 year

On a long journey home so decided to write a short thread on mean reversion for beginners. It’s the classic statarb strategy that works (almost) everywhere. Here are some messy thoughts:

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elPythonQuantador

@ThePythonQuant

2 years

From @sukhoiConvexity It’s so true it hurts. PTSD thinking back.

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elPythonQuantador

@ThePythonQuant

4 months

Why is it impossible to make good-looking reports in Python. Seriously wtf

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elPythonQuantador

@ThePythonQuant

1 year

Doesn’t matter if you studied at Oxbridge/Harvard or worked at Citadel or SAC - the stock market is by far the greatest leveller ever seen.

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elPythonQuantador

@ThePythonQuant

7 months

Citadel is a multi strategy hedge fund. Citadel Securities is a high frequency trading firm. Citadel’s HQ is in Miami, after big Ken got fed up with Chicago. Follow me for more community updates.

PyQuant News 🐍

@pyquantnews

7 months

Citadel is a high frequency trading firm in Chicago. It was founded in 1990 and now has more than $50 billion under management. Citadel is known for it's ruthless culture. But it's got really smart quants.

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elPythonQuantador

@ThePythonQuant

4 months

@SkyNews “Under the agreement, air traffic controllers will also get a pay rise of up to €18,000 (£15,500), 18 additional days off annually, and retirement at 59.” Meanwhile us brits….

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elPythonQuantador

@ThePythonQuant

1 year

A short thread on cross-sectional normalisation in quant finance. Lots of people use quintiles or deciles, lots of people rank, some people do other stuff, some people do none! A 🧵:

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elPythonQuantador

@ThePythonQuant

11 months

I recommend not doing this

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elPythonQuantador

@ThePythonQuant

4 months

Me looking at data providers showing off their new “alpha” model

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elPythonQuantador

@ThePythonQuant

4 months

Lost my final grandparent today. 90yo who’s had dementia for the last 10. Keep hugging your family everyone. Life and love is finite.

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elPythonQuantador

@ThePythonQuant

8 months

My CIO when I show him another backtest

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elPythonQuantador

@ThePythonQuant

3 months

@quantymacro Disaster. Don’t do this in your 20s. In my 30s now and I’ve seen people who did this get torched/overrun/burned out/depressed. You need at least 3-5 evenings a week with friends: from 7-10pm. Be it sports, dating or whatever. You can’t be creative if you’re behind a book all the

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elPythonQuantador

@ThePythonQuant

8 months

Promising the CIO there’s no forward looking bias in the model

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elPythonQuantador

@ThePythonQuant

11 months

Dad and I go for 5-10k walks often. Last year he started slowing down with angina, and had a heart stent closely after. More than a year after the whole debacle of treatments and therapy, we just walked 10km and he yapped the whole time - no pain, no pause, pure recovery. Big W

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elPythonQuantador

@ThePythonQuant

9 months

Cliff and the rest of AQR on their way to work since the value factor started working again

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elPythonQuantador

@ThePythonQuant

8 months

Tell me you know nothing about finance in 1 tweet

Warbucks

@TheRealJunto

8 months

Michael Platt's BlueCrest is up 33x since 2016 (by comparison, Citadel's Wellington, the crown jewel of the multi strat hedge fund world, is up 3.8x) Only one way to get Platt's absurd result Front running (read cheating)

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elPythonQuantador

@ThePythonQuant

2 years

If you want me to write some quant related threads, please propose some topics below 👇 👇 👇

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elPythonQuantador

@ThePythonQuant

2 years

Anyways, TLDR: ML/AI doesn’t work. Crypto is complicated. Use age old strategies in new ways & new markets. I’ll do my best to answer any questions and apologies if I missed anything out. The above is already quite lengthy!

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elPythonQuantador

@ThePythonQuant

1 year

When your trading system kind of works

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elPythonQuantador

@ThePythonQuant

8 months

What’s enterprise risk?

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elPythonQuantador

@ThePythonQuant

7 months

Ok so this is getting real. Since NP died, I decided to launch ! Work is in progress, but sign up to keep up to date - and by early Q2/3 we’ll get the full website out. If you want to join in the fun, DM me! Sharing appreciated!

elPythonQuantador

@ThePythonQuant

8 months

Given its recent demise, should I launch a replacement of nuclear phynance? A forum for students/juniors & senior professionals to ask questions in a safe & private manner

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elPythonQuantador

@ThePythonQuant

5 months

My one piece of advice for junior traders: lean into uncertainty and learn to love the punches. It’s the process that makes you a superstar; not the alpha, nor the fund you work at. Hard work pays money

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elPythonQuantador

@ThePythonQuant

1 year

Intern quant interview question: list reasons why the following backtest is flawed

pedma

@pedma7

1 year

Trading Assets: - BTC/USD - ETH/USD - XRP/USD - LTC/USD - BCH/USD Backtest Parameters: - Timeframe: 4 hour - Fees: 0.0004 - Slippage: 0.0002 Initial Portfolio Value: $10,000 Start Year: 2011

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elPythonQuantador

@ThePythonQuant

10 months

Quants after being told they have to wear shoes in the office

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elPythonQuantador

@ThePythonQuant

1 year

When your local tech bro doesn’t realise he’s touting an FX bet. DYOR and don’t take trade ideas from Twitter influencers.

@levelsio

1 year

Brazil market ETF is up 23.56% year to date

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elPythonQuantador

@ThePythonQuant

1 year

Market neutral trading is tough for several reasons - but these black holes are usually glossed over when you begin. Here’s a short thread on some problems you face along the way: 🧵

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elPythonQuantador

@ThePythonQuant

1 year

Remember kids: the casino always wins

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elPythonQuantador

@ThePythonQuant

1 year

I’ve been asked by @PtrPomorski to write a thread about how a quant constructs final $ positions from signals. It’s a nuanced discussion because it depends on what your beliefs are regarding an alpha itself. A 🧵:

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elPythonQuantador

@ThePythonQuant

8 months

@6garry9 If citadel traded with the same volatility as the market, they’d probably be making 10x the market.

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elPythonQuantador

@ThePythonQuant

7 months

Once and for all: log returns or percent returns - where and why? Please put answers below.

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elPythonQuantador

@ThePythonQuant

8 months

In this thread, I've tried to put across the importance of vol when comparing performances. Within the industry, vol normalisation & vol-targeting is one of many ways to control risk - I don't use it all the time (for many reasons), but it's imperative to know!

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elPythonQuantador

@ThePythonQuant

1 year

Finance personalities are the most diverse: hands down. With diverse backgrounds, but acute aptitude, it’s full of personality. In this thread, I’ll explore some common personality types you might encounter and how to navigate interactions with them. A 🧵

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elPythonQuantador

@ThePythonQuant

3 months

Meanwhile

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elPythonQuantador

@ThePythonQuant

6 months

CIO: how’s that optimizer coming along? Me: yeah fine, just tweaking this last constraint

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elPythonQuantador

@ThePythonQuant

1 year

Kwant: “My distribution is normal, look”

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elPythonQuantador

@ThePythonQuant

8 months

“They say technical analysis is BS but what’s momentum? All price based and technical, no? What’s mean reversion? All price based and technical, no? Not sure if you’ve heard though that momentum is literally everywhere - these guys at AQR wrote about it. It’s mega important bro”

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elPythonQuantador

@ThePythonQuant

9 months

Made it big boys

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elPythonQuantador

@ThePythonQuant

1 year

@jgreco @BBCNews Usually a BBC report indicates the end. I’d be optimistic if I were you

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elPythonQuantador

@ThePythonQuant

2 years

I’ve been asked to write a thread on how to validate systematic strategies. It can be difficult because each strategy is slightly different in nature, but a bit of maths can go a long way. Apologies if I’ve missed anything, and if so, please leave a comment! 🧵

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elPythonQuantador

@ThePythonQuant

4 months

@HarleyShah being walking distance to inferno's is an intangible premium

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elPythonQuantador

@ThePythonQuant

8 months

Now that the strategy has similar risk to btc...it makes significantly more than the benchmark! Would you still invest in Bitcoin? For a similar amount of risk, you could make 6x as much!

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elPythonQuantador

@ThePythonQuant

2 years

@WOOTangz @michaeldamberg1 @AltcoinPsycho The maths is more important than the code. Learn the maths and the code will follow. Plz

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elPythonQuantador

@ThePythonQuant

1 year

@Vertox_DF I would like to see a single alpha; that’s uncorrelated to all my other alpha’s, that’s never featured in academic history. With high capacity, low transaction costs, high efficacy, and high breadth. Not asking for much man.

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elPythonQuantador

@ThePythonQuant

8 months

Without an understanding of vol, the risk you take can be hard to determine (note the snaps of vol in bitcoin). So when you compare a seemingly low-vol strategy to the benchmark, if liquidity isn't an issue, you scale up your low-vol strategy to take the risk wanted. Easy!

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elPythonQuantador

@ThePythonQuant

1 year

Today has been a long day in the office, so here’s a quick thread on common issues that quants face and things you can do to solve! A 🧵

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elPythonQuantador

@ThePythonQuant

1 year

Bootstrap methods in finance are great to play with assumptions and see how robust your results are to fuckery. It’s a much quicker way to create confidence intervals on estimates, and empirically understand how “significant” an “artefact” may be.

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elPythonQuantador

@ThePythonQuant

2 years

Agh fml - I should probably also say great data resources are Yahoo Finace, the Binance API and also Alpaca. QuantConnect is also good. SO. MANY. RESOURCES.

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elPythonQuantador

@ThePythonQuant

1 year

I’d like to apply for a job at Vitol because:

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elPythonQuantador

@ThePythonQuant

1 year

I’m going to write a thread on some key personality traits you meet in finance this weekend, and how to manage/deal with them. It’s been one of the hardest parts of my career: the maths, if anything, is less onerous. Let me know if you want any trait covered.

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elPythonQuantador

@ThePythonQuant

2 years

Firstly, make sure your technical skills are sufficient. I’d recommend reading Active Portfolio Management (2), doing loads of Kaggle exercises, understanding distribution theory + bootstrapping methodologies, not to mention being proficient in coding. Pandas is v helpful.

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elPythonQuantador

@ThePythonQuant

3 years

@AgustinLebron3 A PhD requirement is probably the biggest failure of Quant Finance in the past decade. Winton, Aspect and AHL have more PhD’s than risk adjusted returns.

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elPythonQuantador

@ThePythonQuant

1 year

Mid frequency, high frequency, and annual rebal

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elPythonQuantador

@ThePythonQuant

8 months

Guy has rented my dad’s apartment: turned it into @Airbnb ; we try kick him out; going through courts will take 12m & $$$. Meantime, are like IDGAF, so the guy will earn 12m @Airbnb rent; not pay anything to us & all refs were forged. Fucked.

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elPythonQuantador

@ThePythonQuant

2 years

@zerohedge People forget that destroying building adds to GDP

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elPythonQuantador

@ThePythonQuant

2 years

Forget Hull, you can now use ChatGPT to do pairs trading

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elPythonQuantador

@ThePythonQuant

8 months

@Tyler_Rongione Don’t worry bro they all manage more money than you

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elPythonQuantador

@ThePythonQuant

1 year

The UK is so screwed: a recent article highlights how local councils invests surplus cash. They run internal funds: a mixture of real estate, PE, and other adventurous stuff; all whilst lacking in resources and skilled personnel. It’s ok though, investors don’t need training, as

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elPythonQuantador

@ThePythonQuant

2 years

My wife

Kyle⚡

@elyktrix

2 years

What’s stopping you from coding like this

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elPythonQuantador

@ThePythonQuant

2 years

Now, the fun stuff! ALPHA! Creativity often comes with the problems. I always recommend juniors to read the factor zoo papers to understand how much research already exists () and to think around these topics.

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elPythonQuantador

@ThePythonQuant

1 year

When your kwant says he’s using a Kalman filter

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elPythonQuantador

@ThePythonQuant

10 months

These charts are always shown for the US only. You guys seen European or UK or Asian index levels for the past 10-15 years? The US juggernaut never ends, but not all beta is equal.

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elPythonQuantador

@ThePythonQuant

2 years

Not too different to quants chatting at lunch

Melvin Christiano

@openaicommunity

2 years

For those who never seen AI communicate with each other: 2 AI bots (GPT-3) having a conversation 👇🏼

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elPythonQuantador

@ThePythonQuant

3 years

Fun thought experiment: take a strategy that performs identically across asset classes and your annual Sharpe ratio is 18.5% higher in crypto. Why? Because it trades every calendar day and not every business day! More samples, more $ (365/sqrt(365)) / (260/sqrt(260)) = 1.1848.

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elPythonQuantador

@ThePythonQuant

8 months

People are complaining that the returns are < market….investors can lever their investments if they want. Long term spx Sharpe <0.5. Suppose a sharpe of 2 for a fund…at the same vol; the fund makes 4x the market!!! So as an investor, you want market vol? Sure, here’s a wrapper

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elPythonQuantador

@ThePythonQuant

1 year

Was mentoring a new kid this morning: the kids story was tragic and his goal is honourable: the definition of poor, smart and hungry. All he wants to do is set his mum up. Seriously - we need more 1:1 mentoring in society. If not for them, your soul will thank you.

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elPythonQuantador

@ThePythonQuant

1 year

When someone tells me they started trading systematic strategies in the 90s.

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elPythonQuantador

@ThePythonQuant

8 months

Note: this will be quite simple for most quant practitioners. This thread is aimed at juniors/newbies who aren't familiar with leverage, vol normalisation & broader industry mechanics....

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elPythonQuantador

@ThePythonQuant

4 months

Back in the motherland. Not a unique story but the mountain my father climbed, to get out of the village, to running a successful business in the UK, is absolutely insane. Not sure my future kids will even comprehend. Big up the fathers out there.

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elPythonQuantador

@ThePythonQuant

3 years

The past 2 years have been an insane time to be a trader. My paranoia levels are through the roof as markets keep falling apart. The top 10 things I learned this year to make $$ 🧵👇 1/n

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