discretionary view, quantitative portfolio for thematic brypto long/short
it's not "vibes trading" it's "domain knowledge"
When your bags are pumping, there's a feeling that you might be good at discretionary trading (you're probably wrong).
I'm falling into the classic trap of having some success with trading arbs in crypto and that somehow makes me think I know crypto and I can run a discretionary long/short strategy despite the skillset of running arbs mostly has nothing to do with discretionary long/short
— qm (@quantymacro) June 16, 2025
And that's what happened to me. But as a "quant" it's not good enough to just start punting long/short coins everywhere. I need to have a framework. So that set me on this journey - how does one translate discretionary views, into a quantitative portfolio?
This topic is not new by any means - people have been thinking about this problem for a long time. But I encountered an interesting method in the wild, so I wanna talk about it. Let's get it.
fwiw I personally think having a systematic background makes taking discretionary bets easier. I’m comfortable thinking in terms of expected rets, covariance, port opt stuffs etc and that guides me to build a reasonable discretionary portfolio. YMMV ofc https://t.co/bOp4Q1I6YF
— qm (@quantymacro) June 17, 2025