Zachary Lee ASTR

Source: Notion | Last edited: 2023-10-30 | ID: 6b30052a-abf...

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Side Topics: CAP Bonds and Insurance

• Zachary Lee talks about CAP bonds, which are high Sharpe ratio insurances against natural disasters.
• Zachary Lee mention architecting new types of CAP bonds and creating a high Sharpe portfolio around them.
• The possibility of tokenizing these securities on the blockchain is also discussed.
• CAP bonds provide fixed income as a coupon and offer negative beta and high return.
• Zachary Lee discuss the potential benefits of holding CAP bonds in an investment portfolio.
• CAP bonds refer to catastrophe bonds that provide insurance against specific risks.
• Examples include hurricanes in Florida and attacks on ships by the Russian government.

Volume data and MVP

• The project mainly focuses on high frequency volume data and is an MVP.
• The VWAP strategy developed by the author is based on a secret feature rather than volume information.

Data granularity

• The highest frequency of data used is trade tick data.
• L2 and L3 snapshot data is available but not yet used.

Trade frequency

• Trade frequency is around 10 to 12 trades per day.
• The frequency is boosted by ensembling multiple models within hierarchies.

Backtesting engine

• The author has their own backtesting engine, execution, and data stack ingestion.
• They have all the necessary components for a fund.

Structure and sharing

• Zachary Lee prefers a small group of LPs instead of relying on a single major LP.
• Zachary Lee need help with access to compute infrastructure and research credits.
• Zachary Lee are open to an SMA manager structure for trade information delivery.

Source code and parameters

• Zachary Lee prefers not to disclose the exact source code and parameters of their strategies.
• Zachary Lee are looking for a structure that allows them to retain control over their IP.

Payment Structure

• The payment structure is designed to incentivize individuals based on their performance.
• There are limitations on the amount and cycle of payment, as well as the capital injection.
• For top-performing independent researchers, the company is open to paying up to $5 million.

Exclusive Engagement

• There is no legal binding exclusivity requirement.
• The company suggests a friendly agreement not to seek additional outside funds.
• Zachary Lee offer Eon Labs a right of first refusal for adding further capacity on Zachary Lee’s strategies over a certain amount of time.

Testing and Scale-up

• The strategy is expected to handle a maximum of $20 million.
• Test accounts (MSA) will be used to gain confidence and fix any bugs.
• The company plans to gradually scale up, starting with a smaller amount.

Binance as the Primary Venue

• Binance is currently the primary venue, with 80% of the market activity.
• Integration has been built with Binance for live trading.

Kickstarting the Account

• Terry Li suggests managing an account to kickstart testing.
• Zachary Lee recommend starting with a small amount, such as 1,000 or 10,000.
• A live record and reconciliation engine will be used to ensure accuracy.

Zachary Lee strategies: Machine Learning Techniques

• Bayesian search is used for optimization in finding broad areas of elevation.
• Genetic algorithms are employed during the strategy creation process.

Zachary Lee: Moving Forward

• Obtaining a Binance offshore account is the next step.
• Plans to go live after resolving legal requirements.
• ML techniques will continue to be used to improve the strategy.

Internal Team Discussion

• Terry Li plans to have internal discussions with the team to determine the need for additional talks with other team members, particularly regarding technical integration.

Partnership Plan

• Work is being done on a spreadsheet that lays out the partnership plan and how profits will be shared.
• The speaker suggests taking a look at the numbers and asks if the listener has seen the spreadsheet.

Spreadsheet Questions

• The speaker mentions seeing a screenshot of the spreadsheet, specifically regarding one of the four key indicators.
• They express having questions that could potentially be answered by viewing the spreadsheet.
• The speaker offers to share the spreadsheet after the meeting and schedule another meeting to discuss any questions or suggested changes.

Integration Interface Framework

• The team is working on building an integration interface framework to make it easier for candidates like the listener to work with them.
• This process is estimated to take an additional two to three weeks.

Binance Account and Dashboards

• The listener mentions getting the Binance account ready and having dashboards that provide alerts for warnings, errors, and trades.
• They express readiness to integrate with the team and emphasize the importance of timing.
• The listener also shares their ideas for future products beyond the current project.

Prior Algo Trading Experience

• Zachary Lee describes their background in computer science, previous work at an MLEI hedge fund, and projects with Neurovest, Equifax, and ADP.
• They also mention their involvement in a CTO role for a fund launch and their advisory consulting work.
• The listener discusses the challenges of infrastructure setup for crypto trading and the desire to reduce barriers to entry for experienced traders.
• They express their preference for working on models rather than low-latency software development.

Support for Infrastructure

• Terry Li clarifies that they provide support for infrastructure, including server provisioning.
• The level of support depends on the cost and justification, with the possibility of integrating it into profit sharing if necessary.

Closing Remarks

• Terry Li emphasizes the importance of the first steps, such as the spreadsheet and technical integration.