macrocephalopod on Twitter

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macrocephalopod‏ @macrocephalopod 13 Mar 2021

Replying to @breakingthemark @zzzrrrzzz12

The entire point is that it’s a bait and switch! There is absolutely no way that you can read the entire thread and conclude “yes, it would be possible to make money from this” unless you are a moron. It’s 1%/day volatility zero arithmetic drift geometric brownian motion.

1 reply 0 retweets 2 likes

Adam Goldstein‏ @goldstein_aa 13 Mar 2021

Replying to @macrocephalopod @breakingthemark @zzzrrrzzz12

Well, I'd like to think I'm not a moron, and it wasn't clear to me the arithmetic mean was 0 until you explicitly said so. Maybe that was immediately clear to non-morons before you said so?

1 reply 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 13 Mar 2021

Replying to @goldstein_aa @breakingthemark @zzzrrrzzz12

Mean zero is the *best case* for the strategy I described! If mean > 0 then a reversion strategy is short more often than long so it would lose money. If mean < 0 then a reversion strategy is long more than it is short so it would lose money.

1 reply 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 13 Mar 2021

Replying to @macrocephalopod @goldstein_aa and

This is such a weird argument to be having. I literally generated some random data and people want to tell me you can develop profitable trading strategies for it. Is this what going insane feels like?

1 reply 0 retweets 12 likes

Adam Goldstein‏ @goldstein_aa 13 Mar 2021

Replying to @macrocephalopod @breakingthemark @zzzrrrzzz12

Sometimes the real world feels insane. If you generated completely random zero-mean R and *multiplied* (1+R) by itself repeatedly - you'd have complete noise that you could become incredibly rich off of. Sorry, but it's true. Don't kill the messenger.

1 reply 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 13 Mar 2021

Replying to @goldstein_aa @breakingthemark @zzzrrrzzz12

Please, describe what the strategy here is, then go and simulate it. It will *at best* be flat.

1 reply 0 retweets 0 likes

Rip‏ @zzzrrrzzz12 13 Mar 2021

Replying to @macrocephalopod @goldstein_aa @breakingthemark

Please do. Of course, this is gross of tcost. Please keep that in mind. But you can make money.

1 reply 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 13 Mar 2021

Replying to @zzzrrrzzz12 @goldstein_aa @breakingthemark

Gross of tcost is fine. I’m still waiting for a description of the strategy though?

1 reply 0 retweets 0 likes

Rip‏ @zzzrrrzzz12 14 Mar 2021

Replying to @macrocephalopod @goldstein_aa @breakingthemark

Here's the strat. Let's say we have a portfolio of 50% cash / 50% your simulated stock. At the end of each day, rebalance this portfolio back to 50/50. Basically, you buy more stock if it goes down and sell some if it went up that day. Let me know the returns you see.

3 replies 0 retweets 0 likes

Rip‏ @zzzrrrzzz12 16 Mar 2021

Replying to @zzzrrrzzz12 @macrocephalopod and

So were you able to try this out? @macrocephalopod

1 reply 0 retweets 0 likes

macrocephalopod‏ @macrocephalopod 16 Mar 2021

Replying to @zzzrrrzzz12 @goldstein_aa @breakingthemark

I didn't bother responding because it so obviously doesn't work, but since you followed up - I implemented exactly what is described in this tweet (matab code in image) https://twitter.com/goldstein_aa/status/1370887341750038528?s=20 …pic.twitter.com/EMXiwPazXM

10:40 AM - 16 Mar 2021

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1 reply 0 retweets 1 like

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