Equity stat arb is this, done across a universe of similar assets and at scale. Good implementations - normalize for common risk (sectors, countries, factors) - look at volume as well as price - use many time horizons - include short-term fundamentals to explain big moveshttps://twitter.com/goodalexander/status/1383992798265806858 …
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The "big boy quant" version of pair trading
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There's a pretty good segment in Ed Thorp's book "A Man For All Markets" that talks about the evolution of the strategy at PNP.
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Replying to @macrocephalopod
my niche is trading the huge standard deviation moves screened quantitatively, but evaluated qualitatively typically after events. eats up less capital and I'm more differentiated there vs the scaled version
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Replying to @goodalexander
I think differentiation is really key for a solo trader. That and looking below the scale of institutions. All the well known stuff is pretty well arbed away now.
9:18 AM - 19 Apr 2021
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