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BONDMAN


Total Posts: 1
Joined: Jul 2020
 
Posted: 2020-07-17 04:46
For about a year now, by sheer luck with a lot of research, study and understanding I have found a quantitative advantage in the government bond market. This advantage makes about $30 million per month. It works on the U.S., England, France, Germany, Italy, Spain. I have not yet tried to look at Japan, Russia, China.



The estimated gain is about $30 million a month in these 6 countries. The average trade size is $1 billion for the U.S. and $300 million for the other countries. No more than that or it will impact prices. With these sizes you stay hidden in the volumes.



Trades are intraday and last a few hours. Trades must be executed through algorithms of execution in time frames.



Now I ask you who can I sell this advantage to? citadel, two sigma, rentech,systematica,aqr,tgs?



My request is $20 million.

I exclude proprietary trading firms (jump,tower,drw,jane,imc,optiver etc)

AndyM


Total Posts: 2336
Joined: Mar 2004
 
Posted: 2020-07-17 14:07
The bad news is your strategy is worth nothing. The good news is everyone goes through this phase in their market education of believing they've cracked the markets, so consider it a valuable educational experience.

I used to be disgusted; now I try to be amused...

yoneda


Total Posts: 13
Joined: Jun 2019
 
Posted: 2020-07-19 15:55
"For about a year now" pretty much says everything we need to know about you. Now go back and debug your code to find that error (I have been though this too!)

Kitno


Total Posts: 492
Joined: Mar 2005
 
Posted: 2020-07-20 23:35
Welcome back, AndyM.

All the soul of man is resolution, which in valiant men falters never, until their last breath.

Martinghoul


Total Posts: 869
Joined: Oct 2008
 
Posted: 2020-07-30 11:03
I see your $30m/month and I raise you $300m/month...

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...
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