David Bush: CWT 111: Objectives of trading strategies, and statistical significance - PursuitOfEdge/podcasts GitHub Wiki

long thoughts, intensity over time, your own life as theta decay

https://www.youtube.com/watch?v=nL4l9ObX0x0

  • started in Tradestation, EasyLanguage, etc. now uses R and hired a PhD programmer
  • has been trading the same strategy, blue chip/mega cap live since 2011
  • started discretionary and moved to systematic
  • objective function: positive in all years, minimal drawdown, average return multiple of the worst drawdown = MAR multiple
  • does not like average drawdown
  • worst drawdown will come in the future
  • simplicity is huge, believes simplicity is more robust, quotes Mandelbrot and the original futures trend followers, and that complexity and too many rules is too brittle and you will break in the future
  • strategy should work with degrees of freedom, many data points with few rules
  • does equities and mostly reversion
  • 12-15k data points under 50 rules in total - important to have a very low rule to data point number ratio, important to have a lot of data and lot of degrees of freedom
  • strategy should work on multiple markets
  • not curve fitting is avoiding a too high rule to data ratio
  • avoiding complexity, embracing simplicity, logic that can generalize well, good data
  • believes in leaving some data out and testing it out-of-sample
  • knows some successful funds who are always adding/removing/changing edges and some who just keep the same. personally he keeps it the same
  • knows a lot of people who lost money/didn't win in 1987 took their puts off just before it happened. said momentum worked better before 87 but after that it shifted to reversion (wow) - Blair Hull bought the lowest tick of the day in the 87 crash
  • in live trading checks return/drawdown compared to the model, references Howard Bandy for win rates deteriorating
  • believes you have to be fascinated by markets to succeed in them
  • interested in fractal formulas and ones related to biology
  • isolating oneself away from distraction is crucial. it has to be a certain time of day, a certain day, the right day, or a regular schedule. i'm a believer in intensity over time. time is good, having a schedule is good but intensity. being undistracted so you can have long thoughts. keep it cached. uninterrupted thoughts so one can have a hierarchy, in ones mind, as they're coding. keep that all day, cached. because if you get interrupted you can lose some really big things you may be on the verge of developing.
  • Cal Newport, Deep Work, deliberate practice and time
  • when you see your own theta, your life as time decay, you dig deeper. you think this thing, and this other thing, and this other thing, they all have to fall away. because they just don't rank anymore. long thoughts. intensity over time.
  • likes pomodoro