A little bit about me, I've been swing trading quantamentally for about one year now ( trading in and out since 2018, but mainly OSAP and parents RESP funds in Uni - don't worry everything was paid off when I graduated ). I was doing great (70%+ returns last year, 1/3 of the portfolio was in options (mean reversion strategies with pure time series analysis) and the rest various index funds), until the inevitable happened earlier this year where my foolishness and overreliance on the Kelly criterion led me to take a massive bet as odds were too good on a mean reversion bet, cue the black swan two sigma+ event and I have nothing to show for my analysis. I've read countless books on trading models and strategies, mainly academic textbooks, but I'm missing guidance from a veteran in the markets as no one in my circle is serious about solving the problem of the markets. I was wondering if there is anyone in Toronto that is willing to train a young buck on the markets and 'how to trade'? I'm good with computers, math, stats, and anything that involves pulling data/making sense of information and I'm more than happy to provide my skills in return for mentorship
I am interested in helping in a roundabout way. I am no expert but have read and studied a lot. I would like to develop a spreadsheet to serve as a better way of visualizing option values before selling or buying options. I know a fair amount about spreadsheets but not quite enough knowledge, focus and time to make it happen. I would be glad to pay you to help develop this and ideally it will work out for both of us to make better option choices. I do not know much about how these posts-threads work. First one for me. How would we connect? I prefer private communication about proprietary ideas via phone, zoom, text, messages in that order. Thanks
It seems you need to improve your risk management (skills). That's IMO easily solvable: just apply diversification. Ie. don't invest more than 5% of your account value into the same underlying ticker. That means you should trade many different tickers at the same time... And: forget Kelly... because: "Theoretically, Kelly Bet is also the 'optimal bet', but that is often not true in practice." Source: https://seekingalpha.com/article/3705926-apply-kelly-formula-to-investing-is-volatility-just-risk A very good text, IMO.
Also this one on diversification is a good read: https://www.investopedia.com/investing/importance-diversification/
right it takes about a year of posting to see what all irrecoverable traits you display. traits so far I was doing great > untill you didn't with pure time series analysis > who needs time take a massive bet as odds were too good > we don't bet we trade mainly academic textbooks > jaw drop speechless
Funny part is I used to be a trading risk manager for the equity derivatives desk at one of the banks here. Of course I cant manage my greeks as a retail without significantly hurting PnL or just decaying my risk exposure to the point where it becomes delta one which would be the same as trading equities on margin. I want to branch to different asset classes, not sure only trading equity markets is the best bet.
Completely understand, guess my best bet would be just to start journaling my trades and process to display my willingness to learn and adapt.
Yeah, indeed a good idea to start a public journal here at ET. Many people will help and give feedback.
I'm old trader based in Waterloo region, not far from Toronto, but I trade Interest rate futures in a mix of fundamental and algo, not Quant, at least not in depth. What I would say, if that helps, is: - Two sigma+ events are normal in the markets, not black swan at all, so you need to be prepared. - Set your risk per portfolio not per trade. - Estimate the worst scenario as your base for setting the position size, because the market get there, sooner or later. - Consider include the fundamentals, or the macro. In most cases it tells you a lot, that is useful for risk control. - Reverse engineering you bad trade, they would tell you a lot. - Be patient!