pedma

pedma

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Systematic Trader/Investor • Building Trading Bots • Market Analyst • Writing About Automated Trading and Markets • Nothing in This Account is Financial Advice.

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so today is one of those days for me I have to strap in to my chair and hold on for dear life. woke up to portfolio being down -6%. at first I thought it was an error from the exchange and I wasn't getting the proper balances but after further checking, nah, i ate that loss fair and square. it's pretty obvious that I am net short for a long time and making money that way, so I expect pain at reversals of that trend. but wasn't expecting this much. digging a bit into my data I detected that almost 50% of my exposure is memecoin short exposure, which can be a problem knowing how redacted the memecoiners can be when these things pump. now in theory, this should be handled by my correlation measures. naturally when the portfolio is very correlated we decrease positioning to reflect that. however as crypto has been turning green and the portfolio reflected that, our short term correlation has been trending down because our book is becoming more market neutral than what once that was. as correlation goes down, model increases gross exposure. this means that I am carrying a large position (both long and short), but the violent move off the lows, specifically in memecoins, is really dragging my portfolio down today and the long side was not able to offset that as its a sector specific move. well the next reasonable think to do is perhaps to put a celling on the exposure a single sector is allowed to carry.

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