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Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-15 09:41
Need some advice and maybe some encouragement

So I developed:
- A software written in Java (+SQL) to validate theoretical pricing hypotheses and validate them through backtests on real market data. You can take a peek at how it looks here:
- Volatility fit for SPY: https://imgur.com/a/tEvbEEm
- Volatility fit for AMD: https://imgur.com/a/iiZ4rUZ
- Strategy backtest: https://imgur.com/a/TLi9ZSL
- Increasingly complex mathematical models, as my grasp of the derivatives theory in quantitative finance was improving and expanding.

Therefore at the moment I've got:
- A fairly elaborate options pricing model, original to my knowledge and so far as reflected in my backtests (noone thought of it yet -> you make the money).
You can view the results of the first simulation on actual market data as "strategy backtest". Before that there were many many weeks of painful formula drivations and endless frustration when those formulas didn't transpose in even theoretical model validation software, with depressing moments when I really thought I reached all ends of my ideas, followed days after by almost miraculous sparks of out-of-the-box thinking where I was rationally sure I reached a breakthrough but didn't have the energy to continue for even a few days after. Because every breakthrough I do today, and it's indeed a breakthrough, will be followed by an increasingly difficult roadblock. Research sucks even when you're paid for it, yet when you do it on your own time and your own resources and with absolutely noone to exchange an idea with but instead surrounded by bystanders who take pleasure in shouting "lame" for every little progress you make.

Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-15 10:03
What I'm looking for with my research: can't find the advertise post right now and haven't saved it but essentially they're prop trading firms who look for solid algorithms and offer $100MM-$200MM in capital and up to 50% of the profits in return. They ask for a Sharpe of 3 (mine has it) but also for essentially what amounts to track record as a high profile trader at a global firm. So it looks to me like they are just "poaching", as we have a term in software development, where you just bribe a guy from the competition to lend you the proprietary knowledge.

Question is how to get to those "high profile trader at a global firm" positions in the first place, coze afterwards, I no longer need no help or advice :)

Things is I'm far from stupid, lazy or poor. Read: I'm the opposite of that, but not to an extreme way. I suppose if I were extremely one of those things, I wouldn't need to be talking to you guys now, but I'm neither a genius, worker bee or obscenely rich. Actually even rich, I'm just middle class.

So for me the challenge is using "the trinity" of my skills to achieve what others do it as just "one god" :P

Maybe if a few of us "retards" would associate, we could make this breakthrough?

Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-15 10:17
So what I'm looking for: a reviewer, be it individual or firm/company, for my projected PhD paper.

1) Worst case scenario, it's an original mathematical derivation, so at least I get a math PhD.
2) Best case scenario, we make money rightaway (leave a few weeks for translating my software into your infrastructure, with 20 years of software development, I can also help on that).
3) What I fear: #2 for you but #1 for me. My original research doesn't pan out immediately so you send me to my origins while you continue development on my line. Even a single company paid researcher is infinitely more resources than I had, let alone competing with the big guys, so just stating the problem I'm working on could be enough for competition to solve it. And, given my 20 years experience of knowing for sure unless you up there already you are zero, I know for a fact I can't do jack squat against having my work stolen and me sent to the potato fields where I came from. For real, I'm one of those 1% peasants that got to "having a job in the City" so I should be thankful to tears for just that instead of reaching for the 1% of the 1%.

How can this work?

Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-15 12:15
Therefore...

MVMT


Total Posts: 3
Joined: Mar 2020
 
Posted: 2020-06-15 23:33
I don't have much to comment on, however having an email in your bio may help you get a response.

NeroTulip


Total Posts: 1076
Joined: May 2004
 
Posted: 2020-06-15 23:56
It's going to be real hard for a Prop trading firm to give you $100m of capital and a 50% cut with no trading experience (it seems).

You could try to join a desk that does something close to what you do and try to contribute and get more responsibilities as they get more comfortable with you. That's going to take months/years, but you'll get paid and learn along the way.

At least, you should try paper trading your strategy, or trading it with a small amount of capital, as a proof of concept. What's the smallest amount of capital you need for that?


"Earth: some bacteria and basic life forms, no sign of intelligent life" (Message from a type III civilization probe sent to the solar system circa 2016)

Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-16 01:54
>> What's the smallest amount of capital you need for that?

Quite a lot. Step #2 is to adapt the equation so I need less money.

>> At least, you should try paper trading your strategy, or trading it with a small amount of capital, as a proof of concept.

Will do, eventually as step #3. Takes some time to adapt the software from working on historical data to working with live one.

Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-16 03:35
>> It's going to be real hard for a Prop trading firm to give you $100m of capital and a 50% cut with no trading experience (it seems).

What I'm asking, in case anyone knows. What's the procedure for promoting a researched strategy into production? Just saying, strategies do come from somewhere, so if mine's working, how would you validate that?

chiral3
Founding Member

Total Posts: 5163
Joined: Mar 2004
 
Posted: 2020-06-16 15:30
There is no procedure. It was rare 10 years ago and unheard of today. You need a real track record and relationships and a history. The problem is that everytime someone with no track record says they found something they tend to be 100% confident in their abilities and wrong almost 100% of the time; and, certainly, not sustainably correct in any way such that they're better than coin flipping and certainly broke after transaction costs, friction, market impacts, liquidity, and asset misestimation. People learn on the job. People don't learn to fight or shoot at real people in video games.

Nonius is Satoshi Nakamoto. 物の哀れ

Jefferspin


Total Posts: 9
Joined: Jun 2020
 
Posted: 2020-06-16 18:04
>> The problem is that everytime someone with no track record says they found something they tend to be 100% confident in their abilities and wrong almost 100% of the time;

I noticed this too :) Also there's an inflation of guys claiming to posses killer strategies so you can't stand out just by being another one of them.

I'll run it live on Interactive Brokers on my own capital, if it makes me some money, I'm satisfied.
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