It took me 7 years to realize, and I will tell you in 2 minutes. 1....
pedma@pedma7
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Apr 29, 2025
~1 min read
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It took me 7 years to realize, and I will tell you in 2 minutes.
1. Most things that make money in markets are already discovered
1. Most things that make money in markets are already discovered
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2. Given that, if you think you discovered something new, I'd bet on two things:
a) Either you don't understand what really is you're extracting from the market
b) You made a mistake somewhere
a) Either you don't understand what really is you're extracting from the market
b) You made a mistake somewhere
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3. Risk is never eliminated, always shifted somewhere else
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4. The naive pursuit of risk elimination, will most likely make it morph into something, that is not as apparent as it could be
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5. Keep risk as apparent as you can, that way you have a better shot at controlling it
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6. Abnormal returns are usually derived from taking abnormal amounts of risk (extreme example: drug dealers)
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7. Work on signal research from an ideas first approach
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8. Backtesting is a mere sanity test, not a signal research tool
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9. The data will tell any story that you want, if you beat it long enough
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10. If you don't have a working model, focus on tasks with maximum impact rather than marginal improvements
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11. Focus on what makes money today, not on future potential problems
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12. Do useful things in uncompetitive places
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13. Compete in places where your skillset is at least slightly above the average competition
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14. Often complex theory leads nowhere or to marginal improvements.
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15. Complex optimization requires a deep understanding of the underlying assumptions
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16. Optimization comes at the expense of something. Usually of robustness.
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17. Too many assumptions in your model increase the exposure to risk
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18. There will always be a tradeoff between
