just two more weeks edition>quant newshttps://www.ft.com/quant-investinghttps://alphapulse.org (beta version)>videoshttps://www.youtube.com/watch?v=OhGdVdolqkU [Embed] [Embed] [Embed] [Embed] [Embed] [Embed]https://www.youtube.com/playlist?list=PLRFLF1OxMm_UL7WUWM31iynp0jMVf_vLW>introshttps://www.quantstart.com/articles/Successful-Backtesting-of-Algorithmic-Trading-Strategies-Part-I/>defi/mevhttps://docs.flashbots.nethttps://medium.com/@solidquant/how-i-built-my-first-mev-arbitrage-bot-introducing-whack-a-mole-66d91657152ehttps://ethereum.github.io/yellowpaper/paper.pdfhttps://news.polymarket.com/p/automated-market-making-on-polymarket>recommended AI/LLM (plugs into Claude Code CLI), $3/mo:https://z.ai/model-api (top performance, plugs into Claude Code CLI, only $3/mo!!)>bookshttps://github.com/zslucky/algorithmic_trading_bookhttps://www.amazon.com/Quantitative-Momentum-Practitioners-Momentum-Based-Selection/dp/111923719X>recommended brokersstocks and options - https://alpaca.markets (Robinhood doesn't have an official API)futes - https://www.tradovate.com (modern API)crypto - https://www.kraken.com (get free data: https://support.kraken.com/articles/360047543791-downloadable-historical-market-data-time-and-sales-)>githubs & stuffhttps://skfolio.orghttps://github.com/joelowj/awesome-algorithmic-trading?tab=readme-ov-file>discord codeapXbwjHxK4
>>61316120Almost have the inter-dex arbitrage pipeline working, doing a lot of e2e validation right now. It's been an extremely difficult thing to get going, I thought it would be pretty straightforward and easy but arbitrage ends up being surprisingly complex imo.
>>61316120>>61316175Not doing any mempool searching too so that my cost are minimal, only using free data from the public node and websocket streaming, not hitting RPC limits.
>>61316120Does this shit even works?If somebody could make an infinite money machine why would they be sharing it?
>>61316364>Does this shit even works?There are certainly people out there doing it successfully, so yes. Will I be one of them? TBD.>If somebody could make an infinite money machine why would they be sharing it?I'm absolutely not sharing it, and it will not be an infinite money machine and will have a hard (and likely low and diminishing) cap on how much I can bring in per day with it.
Any tips to minimizing drawdown?
>>61317127What do you optimize for currently? If raw returns, switch to Sharpe or some other risk-adjusted metric.
>>61317248Win % and high amount of trades. Right now, almost all of the studies I do produces what I want, but as the pareto front continues, drawdown increases. Sitting around 30% or greater.
>>61317381I would definitely move to optimizing for Sharpe or a similar metric. Sharpe will naturally trend toward both of your objectives - win rate by virtue of it optimizing for returns, and high trade count since it will optimize for the reduction of volatility within those returns as well (and higher trade count reduces vol, all else equal). Your current objectives have no way to optimize against massive drawdowns.
>>61317127And on top of changing the objective function / what you optimize for, make sure your position sizing isn't too big (id' assume that goes without saying)
>>61317381And to be clear I know that a high Sharpe is possible with a low win rate, but in practice they are tightly correlated>An annualised sharpe ratio of 1 implies a win rate at the yearly level of ~84%. This is equivalent to a daily Sharpe ratio (or equivalently a z-score) of ~ 0.06 (52% win rate).https://quant.stackexchange.com/questions/76055/how-does-one-show-that-the-sharpe-ratio-is-closely-related-to-the-t-statistic-ofYou can work the math if you want, I don't have it saved anymore, but essentially any given Sharpe will have some likelihood that its win rate falls within a given range. eg, A Sharpe of 3 with a low win rate is very rare
Anyone have experience with doing memecoin algos? Stuff like combining profitable wallets, big wallets, influencer wallets, social media trends, etc.?
>>61317596Hmm, the I'm using mean-over-vol on the equity return curves, annualized. But the number I'm getting makes it hard for me to believe. 7, some higher than 8 in Sharpe with a 30% drawdown. I guess I'm lost because I don't really have a frame of reference, it just seems incredibly high. Thanks for the info though!
>>61317670yeah highly doubt you have a 30% drawdown with a Sharpe that high. a 7-8 Sharpe should basically be a flat upward line for the equity curve. maybe you made a mistake in the annualization math or somewhere else in the Sharpe.>>61317624I think it takes a lot of infra to get there, I hope to try it once my defi inter-dex arb pipeline is up since I should have the tools required at that point.
>>61317700I found the problem, thanks!
So, I was thinking a bit for a specific type of algorithmic trading. I was thinking about: taking data of many LPs across multiple chains, rank them based on risk and return, and realocate a portfolio around this rank. I did not look too deep into it right now. Not sure how often this reallocation should happen, or even the constraints. Anyways, it seems to be an interesting project for a small "passive income" with crypto. Does anyone have an example around this?
>>61318162what you're talking about is called yield farming
>>61317700dune . com has a lot of decent sources. I've at least found it invaluable. >>61318162https://warosu.org/biz/thread/61187376for you anon
>>61319365>dune . com has a lot of decent sourcessuch as? you're going to be too slow if you're using a site like that imo
>>61319365will add the site to the sticky on the next post, seems pretty cool
>>61319497mostly for sorted wallet addresses, some manual pulling and adjusting but ive built a couple thousand, there's plenty of individual projects there that are more useful than others.
>>61319663built a couple thousand what?
>>61316364Makes you wonder if there is a vessel for eternal youth and someone is already drinking from its cup without telling the rest of us
