Episode 111 ... David Bush (79:46)

Started in TradeStation's EasyLanguage
Previous guest on CwT podcast, episode 023
Has won quant trading competitions, "Battlefin"?
His model has traded with real money for six years [how much money?]
Going from discretionary to systematic trading
Good results, crummy Sharpe ratios
Don't look at average drawdowns, look at max drawdowns
Code your cherished notions to find that they're ridiculous and you'll abandon them
Simple things are more robust
Mandelbrot saying about simplicity??
Avoid complex travel routes, being overly specific
You need to be able to generalize well
Decimalization, new regulations changed everything
Market microstructure has changed dramatically
2000 share average trade size to 200 shares over last decade
Strategy should be so simple you can write it down on a napkin
"Poetry is moving easy in harness" -- strategies need a degree of freedom
Backtesting poorly is easy to do: poor data, frequency of data, missing intraday lows and highs, sample sizes too small
Must be able to articulate why model is working
Does same logic for one market's strategy work for other markets? It should (at least have a positive expectation)
Avoiding curve fitting: minimize rules and complexity, include out of sample data
He's not a gunslinger, wades into the water
Paralyzed by fear that your model is ineffective, you'll find reasons to delay launch
Have super conservative assumptions -- slippage estimates should be large
Fills and commissions estimates need to be large (realistic)
Modeling market impact is huge ... trade size, illiquid markets need to be realistically accounted for
Some rarely tweak their models, others constantly alter them
After 1987 crash, reversion worked better
"I've never seen a bad backtest" -- all survivorship bias
How do you know when your model isn't working anymore?
You have to be fascinated with markets to succeed in them
Need more tools to manipulate data ... better than "word clouds"
Need time and space and silence to have uninterrupted thoughts when coding
View your own life as theta, "time decacy" ... don't waste time
Use an egg timer, set it, and focus the entire time -- stay on task
(Aaron mentions the Life Calendar)
Practices zen meditation
"Sit like your head's on fire" -- carpe diem
You need to be mentally resilient as a trader, lot of stress, setbacks, uncertainty
You need to be physically fit to trade
Sunday is his zone-out time, no screens, chills out completely
Need a healthy mind to trade
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Twitter: @alphatative