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A small thread for the new yr - about 8 years ago when we ventured into systematic trading - we had no idea what we were getting into but we knew that we were going to leverage computers to answer Qs we had about the "markets" 1/n
We thought that the market was a complex system created by participants and we wanted to distill this complex system into something more simple. In some sense, we wanted to "triangulate" the mechanics. 2/n
It wasn't anything because we wanted to create models or create "algos" - we weren't even looking for full automation. We wanted to answer lots of "Why?" questions we had. 3/n
One of the agreements we had when we started was that - after all this searching, really we should be able to do "systematic trading" with a daily delayed newspaper quotes. 4/n
Why delayed newspaper quotes? We knew that if we truly understood "complex systems" and answered our Qs - we should have a simple logic that could generate alpha with a delivered newspaper, a pen, some papers and a calculator 5/n
We knew that what seemed "distributional" is really only describing a complex system in one axis. For ie. we really should be figuring out how to back out E=mc^2 equation by trying to understand each of the axis that play a role in creating that equation. 6/n
So the journey started to find some beautiful, simple, robust and effective "formula" (ie. something like the Euler's formula) 7/n
And it took 8 full years of around the clock work (one of us moved to Asia, the other stayed in the States to get a 24/7 effort) to get to our definition of "systematic trading" - one where you used computers to be able to trade with a newspaper. 8/n
Understanding how and why it works -- that was the end goal. I hope in 2021, not just this industry, but as a society - use the "new" tech and science to into finding answers -- not creating more unnecessary complications. 9/9
One must add here - we were able to have good Qs we wanted answers for because we traded the "old" way and had a career in it. In some sense, as @CurveStrat 's bio says: "Sometimes, the old ways are better."
We just wanted to be better.
We just wanted to be better.