Originally Posted by CunningSmeagol
That is stunning if true. Care to share what market inefficiency you're exploiting or is that proprietary (or already covered in the thread)?
The natural question is what expertise or insight does your team have that has gotten you into a trade that has eluded everybody else? I'm not really looking for an answer, just voicing a gut reaction.
I'd say our fundamental conceit is pretty simple. Instead of trying to predict market movement, we try to accurately gauge which of a set of simple trading strategies is currently effective, and assume that said strategy will continue to be effective into the very near future. We take a computationally intensive task (predicting price movement), and reduce it to a simpler task (accurately assessing current performance). Everything else is built on that fundamental idea. I don't consider that proprietary.
My gut reaction as to why we did this where no one else is? Well, for one, there might be quant firms out there doing similar things -- it's hard to know for sure since it's all so proprietary. However, I think it is generally a very novel strategy, and I think our non-finance background is our edge. We weren't boxed in by pre-existing beliefs about where the good trades to make are, or what the limits of quantitative analysis are. Most quant firms treat the idea of machine learning directly influencing trades as a fairy tale. We didn't see any reason to take that point of view. I think that's what led to our success.