Constantin Denuelle by Peter Henry (α feature contribution)
Source: Notion | Last edited: 2024-01-04 | ID: 48548fd4-30d...
Technical Difficulties
Section titled “Technical Difficulties”- 00:02 🔊 Initial issues with audio and video connectivity, attempting different methods to resolve.
- 01:33 🖥 Mention of recently changed computer which might be causing the issues.
- 02:53 💻 Challenges in joining a web call mentioned as a critical issue before trading can be discussed.
- 04:31 🎥 Struggles with enabling video continue, transitioning to subtitling as a temporary solution.
Trading Strategy Discussion
Section titled “Trading Strategy Discussion”- 06:33 💹 Introduction to their trading strategy, focusing on minute by minute adjustments rather than traditional directional positions.
- 07:26 💼 Seeking partnership to find uncorrelated strategies, to present stronger portfolios to institutional clients.
- 08:12 📈 Discussing tail ratio of their return, looking for complementary strategies to enhance overall performance.
Constantin’s Input and Methodology
Section titled “Constantin’s Input and Methodology”- 10:27 🔄 Constantin’s focus on relative value, and his historical work on the ODL program with Ripple.
- 11:42 📊 Discussing mean reversion in the context of crypto space and exploring liquidity among different assets.
- 13:51 🤖 Mention of machine learning and statistical indicators developed over years to identify lead-lag patterns across various asset classes.
Employment and IP Sharing
Section titled “Employment and IP Sharing”- 15:57 📑 Discussing possibilities around sharing Intellectual Properties (IP) depending on the nature of employment or contract.
- 17:03 🤝 Expressing willingness towards sharing on a full-time employment basis, but cautious approach if on a contractor basis.
Strategy Capacity and Costs
Section titled “Strategy Capacity and Costs”- 19:22 📈 Discussing the potential application of Constantin’s strategy, emphasizing on relative value in the most liquid trading volume areas like Binance perps.
- 21:50 💰 Discussion on estimating costs embedded in the strategy and providing benchmarks for performance analysis.
Integration and Future Cooperation
Section titled “Integration and Future Cooperation”- 23:50 🔄 Discussing the potential overlay of Constantin’s strategy with the existing one, and exploring the concept of sending signals for back-testing.
- 24:33 🔄 Mention of contributing Alpha features for machine learning, though the infrastructure for such integration is still under development.
- 25:42 🤝 Understanding the trading fee tiers and market making rebates to ascertain the feasibility of the strategies being discussed. These key takeaways provide a structured summary of the conversation, capturing the technical issues, strategy discussions, employment considerations, and future cooperation possibilities between the parties.
Trading Strategy Discussion
Section titled “Trading Strategy Discussion”- 26:55 🔄 Discussing different trading strategies and considering integrating a new strategy into a dedicated pipeline in the future.
- 29:39 📊 Considering how long it would take to roll out a new strategy and the kind of data needed for it.
Employment Terms
Section titled “Employment Terms”- 28:02 💼 Mention of starting off as a contractor as a feasible option before transitioning to full-time if things work well.
- 34:41 🤝 Discussing the possibility of having a standardized way to work with the tech team and other researchers, mentioning a profit sharing scheme as a part of employment terms.
Data and Technical Resources
Section titled “Data and Technical Resources”- 29:51 📈 Inquiry about the source data or historical source data being used for trading analysis, specifically mentioning Tick by Tick data and its availability.
- 31:56 📉 Mentioning a bit of downtime not impacting the strategies due to their short holding periods, and discussing the availability of BTC futures second level data.
Profit Sharing and Performance Metrics
Section titled “Profit Sharing and Performance Metrics”- 28:30 📈 Mention of a profit sharing program to incentivize researchers, with adjustable parameters to align with corporate goals.
- 33:20 💹 Discussing another profit sharing scheme based on the contribution of individual signals to the bottom line, and the challenges in calculating this contribution when mixed with overall trading activities.
Future Collaboration and Strategy Integration
Section titled “Future Collaboration and Strategy Integration”- 32:50 🔄 Discussing a future discussion to integrate Alpha into the trading system and mentioning the use of statistical indicators in trading strategies.
- 35:22 🤝 Mentioning a follow-up discussion to explore the possibility of integration and to iron out the video communication issues experienced during the conversation.
- 00:02 🔊 初始的音頻和視頻連接問題，嘗試不同的方法來解決。
- 01:33 🖥 提及最近更換的電腦可能是造成問題的原因。
- 02:53 💻 提及加入網路通話的挑戰，這是在討論交易前的重要問題。
- 04:31 🎥 繼續努力開啟視頻，暫時轉向使用字幕作為解決方案。
交易策略討論
Section titled “交易策略討論”- 06:33 💹 介紹他們的「交易策略」(trading strategy)，重點放在分分鐘的調整而非傳統的方向性持倉。
- 07:26 💼 尋求夥伴以找到「無相關策略」(uncorrelated strategies)，以向機構客戶展示更強大的投資組合。
- 08:12 📈 討論他們回報的「尾數比率」(tail ratio)，尋找可補充策略以提高整體表現。
Constantin的輸入和方法
Section titled “Constantin的輸入和方法”- 10:27 🔄 Constantin專注於「相對價值」(relative value)，並回顧他與Ripple的ODL計劃的歷史合作。
- 11:42 📊 在加密空間討論「均值回歸」(mean reversion)，並探討不同資產之間的流動性。
- 13:51 🤖 提及多年來開發的「機器學習」(machine learning) 和「統計指標」(statistical indicators)，以識別不同資產類別之間的領先-滯後模式。
就業和知識產權共享
Section titled “就業和知識產權共享”- 15:57 📑 討論根據就業或合同的性質，圍繞「知識產權」(Intellectual Properties, IP) 共享的可能性。
- 17:03 🤝 表達願意在全職就業基礎上共享，但如果是合同基礎則採取較為謹慎的方法。
策略容量和成本
Section titled “策略容量和成本”- 19:22 📈 討論Constantin策略的潛在應用，強調在最具流動性的交易量區域（如Binance perps）中的「相對價值」(relative value)。
- 21:50 💰 討論估計策略中嵌入的成本並為表現分析提供基準。
整合和未來合作
Section titled “整合和未來合作”- 23:50 🔄 討論將Constantin的策略與現有策略重疊的可能性，並探索發送信號以進行回測的概念。
- 24:33 🔄 提及為機器學習貢獻「Alpha特徵」(Alpha features) 的提及，儘管這種整合的基礎設施仍在開發中。
- 25:42 🤝 理解交易費用層級和市場製作回扣，以確定所討論策略的可行性。
交易策略討論
Section titled “交易策略討論”- 28:02 💼 提到以「承包商」(contractor) 的身份開始是一個可行的選擇，在事情進展順利的情況下再過渡到全職。
- 34:41 🤝 討論與技術團隊和其他研究人員合作的標準化方式的可能性，並提及「利潤分享計劃」(profit sharing scheme) 作為就業條款的一部分。
資料和技術資源
Section titled “資料和技術資源”- 29:51 📈 查詢用於交易分析的「來源資料」(source data) 或歷史來源資料，特別提到「逐筆資料」(Tick by Tick data) 及其可用性。
- 31:56 📉 提到由於持有期短，所以一點點的停機時間不會影響策略，並討論BTC期貨的第二層資料的可用性。
利潤分享和績效指標
Section titled “利潤分享和績效指標”- 28:30 📈 提及一個用於激勵研究人員的「利潤分享計劃」(profit sharing program)，其參數可以調整以符合公司目標。
- 33:20 💹 討論另一種基於個別信號對底線貢獻的「利潤分享計劃」(profit sharing scheme)，以及在與整體交易活動混合時計算此貢獻的挑戰。