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Nonius
Founding Member
Nonius Unbound
Total Posts: 12651
Joined: Mar 2004
 
Posted: 2016-08-07 21:26
Tough year Goldorak?

Chiral is Tyler Durden

goldorak


Total Posts: 979
Joined: Nov 2004
 
Posted: 2016-08-08 08:25
Terrible year, but nothing uncommon. At least we don't need to establish an investment committee who will name a sub-advisory committee who will issue a recommendation report who will be sent to a Board whose decision will anyway be in his own interest. The report would of course cite a number of high level analysis that show that had we made things differently over the last 6 months we would have made money and we should now apply this methodology rather than the one we chose a long time ago based on the same criteria (I mean mistakes).

The algos will discard, give chance to diversity, stay open to new opportunities on a day to day basis. The binary aspect of ex-post unplanned decision is over. How many HF out there did you see just hanging to their superb strategy for years while slowly bleeding? Too many I guess. You should note this is not all about the decision process. If none of the filters you provide is unable to extract any temporary piece of information out of the time series in the analysis, the decision process is not going to invent performance, excuse me, ALPHA as the quant hype loves to name it.

Quantopian is just doomed to fail. Economically the hype may prove to be temporarily rewarding though.

If you are not living on the edge you are taking up too much space.

cf_mstr


Total Posts: 5
Joined: Aug 2016
 
Posted: 2016-08-09 16:38
They claim your algos are kept secret, I claim they save all algos information and sell them/do whatever they want with it. A profitable algo is worth a large chunk of cash I guess... And now they get thousands of members developing/testing them, at discount.

rftx713


Total Posts: 73
Joined: May 2016
 
Posted: 2016-08-09 19:14
In response to the above, I suppose goldorak's point would be: what even is a "profitable" algo, given there are various implementations, effects on the overall portfolio, etc.? Further, why would they be better at taking algos and implementing them? I can have a million golden retrievers building my house; it still won't be as high quality as 10 professional builders. Further, choosing the best 100 golden retrievers still won't produce equal results.

Or did I totally miss everyone's point? (Sorry for the weird analogy.)

goldorak


Total Posts: 979
Joined: Nov 2004
 
Posted: 2016-08-11 17:21
Partly true. In a bayesian approach to the problem, you start with a complete agnostic view on who is a golden retriever and who is a professional builder. It is with your experience on their track record that you will adapt and decide by how much you are going to trust them or not. You do not care entrusting 1 or 2 golden retrievers by mistake. What you want is to find the quality builders with a limited number of tries. Once identified, you need to quickly identify the quality builders turned golden retrievers.

If you are not living on the edge you are taking up too much space.

goldorak


Total Posts: 979
Joined: Nov 2004
 
Posted: 2016-08-11 17:24
@cf_mstr: a profitable algo is worth almost nothing. It is just too easy to develop profitable algos. What is worth something is the fast identification of the algos currently working with the best probabilities to work in the next round of betting.

If you are not living on the edge you are taking up too much space.

rftx713


Total Posts: 73
Joined: May 2016
 
Posted: 2016-08-13 22:19
Thanks goldorak, that makes a lot of sense. (And thanks for working with my weird analogy.)

rftx713


Total Posts: 73
Joined: May 2016
 
Posted: 2016-11-15 03:41
"“I think of Quantopian as the next-generation BlackRock,” said Alex Rampell, a general partner with Andreessen Horowitz, who will be joining Quantopian’s board. “They can become a very large asset manager, but hopefully in a way that no one else can replicate by aggregating and harnessing the best talent.”"


http://www.bloomberg.com/news/articles/2016-11-14/andreessen-horowitz-point72-invest-in-crowd-sourced-quantopian

I think the weed over in Cali has really hit some new highs...

rowdyroddypiper
NP Wrestling Champion

Total Posts: 1172
Joined: Apr 2004
 
Posted: 2016-11-16 22:37
The extremely cute part is that he thinks that BlackRock's edge is talent acquisition and management. I mean really guy, get out and meet the people.

Revolution to the mean

goldorak


Total Posts: 979
Joined: Nov 2004
 
Posted: 2016-11-17 07:29
I clearly remember BlackRock telling us in their NYC office that their edge was the circle-shaped architecture of their trading desks and their "risk book", a huge 200-more pages document full of risk statistics and sensitivities they were printing for everybody every single day. A quick look around proved not a single of their PMs had even glanced through the document before 2pm. Talking of years ago though. They probably bought a set of HP 48SX since then.


If you are not living on the edge you are taking up too much space.
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