This author has yet to write their bio.Meanwhile lets just say that we are proud lbernut contributed a whooping 158 entries.
Happy New Year from Alpha Secure Capital. This was an answer to a question on Quora. It has been read by more than 16,000 people. Now, I am a digital nomad investor: Viet Nam, Singapore, Tokyo, KL, Venezia, Palermo, Reikjavik. Rents get paid in our sleep, balance gets bigger by 1-3% every week. Dream life, […]
Answer by Laurent Bernut: 42, for the meaning of life and Sideways markets and position sizing. I know, this looks unsexy and sounds counter-intuitive but… I am highly suspicious of delegating the thinking to a machine. What if You asked the wrong question and more importantly, what if You could not accept the answer… Sideways […]
Answer by Laurent Bernut: Junior-mid level means your programing skills may be good, but your understanding of the markets is still shallow. Coding is a formidable asset. If investing is a process, then it should be automated. That said, my advice would be to red about markets at least as much, if not more than […]
This is an answer to a question on Quora. It got re-posted and shared across Quora users. Answer by Laurent Bernut: Complexity is a form of laziness Complexity is fragile: it works until it does not There are two types of algos: low-latency and systematic algos. Low-latency is the realm of HFT. Those algos can […]
This is an answer to a question on Quora: Algorithmic trading: How to get started building an algorithmic trading system? Answer by Laurent Bernut: If investment is a process, then the logical conclusion is automation. Algorithms are nothing else than the extreme formalisation of an underlying philosophy. This is the visual expression of a trading edge […]
Answer by Laurent Bernut: Edge can be summed up in a formula that applies to any instrument (see below). Like risk management, everyone like to talk about it, but few people actually can distinguish between sustainable, stylistic, and systemic edge I. Examples Let’s start with examples: Chinese IPOs: Institutional and some retail investors participate in […]
Andrew Swanscott runs the podcast Better System Trader. This is great resource: fantastic interviews with real-life practitioners. http://bettersystemtrader.com/032-laurent-bernut/. I made a statement that attracted a few comments from listeners: Sharpe ratio is the right mathematical answer to the wrong question. Here is the answer as Andrew kindly re-posted on his website. Sharpe was the right […]
Answer by Laurent Bernut: This was originally a question on QUORA: which investment method is the best ? As the Great Chinese philosopher Bruce Lee said: “have the style of no style, be water my friend” There are two games of trading: outer and inner game of trading Stage 0: Dunning Kruger effect The Dunning Kruger […]
Answer by Laurent Bernut: Testing a strategy is a journey. For any journey, You need the right equipment. I test everything on WealthLab then program on other platforms. Here is why The objective of back-testing is to simulate real trading. When You trade real money, You face the following problems: Position size: You do not […]
It is impossible to survive in the markets without an edge. Let alone being able to quantify it. How do You know if You even have an edge ? If You want to articulate a better strategy, You need to 1) understand where your trading edge comes from, 2) quantify it and then 3) gradually improve it. Sharpe, […]