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shredder11


Total Posts: 2
Joined: Apr 2017
 
Posted: 2017-04-25 02:20
Hi everyone! as my first post, I shall start by thanking the fantastic community of this forum as I have always gathered something good while looking at posts here. that being said, back to business.

my question: what do you think is the value of having a SMALL but live fully automated trading system to show on the CV when gunning for quantitative Portfolio Manager positions (European based here)?

some context as I realize the question is vague:
- background: MS finance top EU institution, 3y experience at a boutique buyside shop (multi asset - quantish strategies)
- capital at hand : 20k or so
- the system is live 24/7 trading a variety of instruments (fx/cash equities)
- the circus (the trading system) runs full circle (optimal strategy selection, portfolio construction, risk mng, order execution, etc)
- LOW trading activity (commissions, slippage, optimal sizing, limited capital, etc) => trading only high conviction ideas to preserve high return/drawdown ratios
- good returns all round (but the estimator of such returns is weak as I have limited execution data)

mainly my concern is that, since the portfolio is small and therefore the trading log is limited, it won't help me much since it may not close the gap that is created by the lack of experience normally needed for those kind of positions. some headhunters might even think I am taking them for a spin (total backfire in this case).

any advice?

mtsm


Total Posts: 195
Joined: Dec 2010
 
Posted: 2017-04-25 03:20
I think it'd be useful, especially if you can demonstrate that you can scale it in an institutional context. Even if you can't it's interesting. What's the IR of your strategy?

The only thing I find really questionable at the start is that you describe what appears to be a fully fledged system with all bells and whistles and then say that you trade with 20k. How is that even possible? It just seems like it's way too little capital, or do you only have 4 positions at any one time, etc???

Fin4nceCr3w


Total Posts: 5
Joined: May 2012
 
Posted: 2017-04-25 11:59
That last point. That is exactly my concern. Avg Number of positions is 5 to 10. 2.5 sharpe per trade, 3 ret/drawdown per trade, again these numbers have limited meaning. The system could scale at will (there could be some issues in some strategies but you would need to inject likely 20 to 50 mil to feel the drop in risk adjusted returns).

Maggette


Total Posts: 964
Joined: Jun 2007
 
Posted: 2017-04-25 16:56
You should also read this:
related discussion

the man deleted his posts....but the question was quite close to yours

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

shredder11


Total Posts: 2
Joined: Apr 2017
 
Posted: 2017-04-25 19:09
before writing this post, I did read that up but I feared circumstances might change since what I was offering and what he was offering (capital traded, strategies, system) as well as our level of experiences could have been quite different hence leading to potentially different conclusions

Maggette


Total Posts: 964
Joined: Jun 2007
 
Posted: 2017-04-26 07:05
I still think the three most important points apply:

1) Make sure that you were allowed to trade on your own in your former role

2) Like others here said: be prepared to answer questions about it (startegy and software implementation) and also be prepared for the fact that they probably don't care and don't want to talk about it (so have other stuff to talk about).

3) Make sure that you don't come across like a crackpott who thinks he is the next start trader and that you don't over-value the added value of this experience for the role your applying.

If you take care of these three points IMHO working with real world data and creating a real time application while puttin your own money on a line is a plus!

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

Fin4nceCr3w


Total Posts: 5
Joined: May 2012
 
Posted: 2017-04-26 19:41
1) I am. Checked twice with compliance.
2) I know the pros and cons of what I made, then again, i'll thread very carefully (being torn apart is not my favourite hobby).
3) this is tricky. Because humility is key but I find hard to assess how much I should downplay it since there is always the trade off you-know-nothing-you-arrogant-nobody and not actually communicating what you achieved (if of mention)

Maggette


Total Posts: 964
Joined: Jun 2007
 
Posted: 2017-04-27 08:21
In this case I think you can go ahead as planed.

On 3)... I don't think that competent people are not able to understand and appreciate what you have done ...and what not. IMHO you shouldn't overthink and over-strategize here.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...
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