I have a ~$20m/month advantage

Discussion in 'Fixed Income' started by LargeTrader, Jul 17, 2020.

  1. 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 companies (jump,tower,drw,jane,imc,optiver etc) where I tried to sell a latency arbitrage advantage on a small market segment that made ~$1.5M annual (average annual volume 6 billion). The negotiation was not successful. They have no interest in small markets. (currently this advantage is still being exploited by a micro company)
  2. Sound like an amazing edge. i mean advantage.

    Why do don't you just trade it with leverage yourself?

    If you can double your money every month, you will end up with 4096 times what you started with in 12 months.

    10K -> 40M in one year?
  3. Is it feasible to execute this trade in the real world? You mention the trades are for only a few hours. Is there sufficient liquidity (at a valid price point) to execute this?

    When I deal with bonds, the trade time can take a while and the spreads are often wide enough that it is never ideal.

    I do not know if you have taken into considerations both of those limiting factors.

    That being said: If it is feasible, you could try to approach an actual government agency? Russia, China or North Korea might be interested. Or one of the smaller nations who have the means to shift such capital.
  4. El Trado

    El Trado

    Maybe we can team up? I have a large bridge, located in Brooklyn, I want to sell. It is actually quite famous landmark, and will for sure increase in value going forward. Asking price is $20m. No questions asked. And by that, I mean that the buyer cannot ask any questions
    Last edited: Jul 17, 2020
  5. Overnight


    Anyone, and I mean anyone, can get rich in sim fake money. Call Goldman Sachs or something.

    Get back to us when you have made your 20 million.
  6. I did like the old style wording 'advantage'

    Reminded me of that famous 1720 South sea bubble company prospectus:

    “For carrying-on an undertaking of great advantage but no-one to know what it is!!”
  7. bone

    bone ET Sponsor

    One of the proprietary trading companies in particular that you chose to "exclude" turns over more sovereign fixed income volume than some Investment Banks.

    Sig likes this.