cover of episode 291 · Sam Miesse - Small Cap Quant Trader Grows $10K into $3.8M in 3 Years

291 · Sam Miesse - Small Cap Quant Trader Grows $10K into $3.8M in 3 Years

2024/11/12
logo of podcast Chat With Traders

Chat With Traders
AI Deep Dive AI Chapters Transcript
People
I
Ian Cox
S
Sam Miesse
Topics
Sam Miesse: 我开发了一个量化交易模型，通过分析小盘股市场的重复模式来进行日内交易，主要采取空头策略，寻找超涨后的回落机会。该模型经过两年多的数据收集和回测，能够每天提供20-40个交易机会。在2019年，我用1万美元的资金进行实验性交易，取得了800%的回报。2020年，由于疫情期间市场流动性增加，我的账户规模迅速增长到200多万美元。然而，高杠杆交易也带来了巨大风险，我曾经历过单日亏损50万美元的情况。即使出现巨额亏损，我也坚持纪律，因为这符合模型的预期。量化交易需要在保守和激进之间找到平衡，避免过度保守导致错失机会，也避免过度激进导致巨大风险。我的模型并非完全自动化，仍然需要人工干预来判断股票是否符合交易条件，并控制交易规模，避免因流动性问题导致模型失效。在2022年和2023年，由于市场环境变化和流动性下降，我的模型表现平淡，这提醒我需要持续关注市场变化并调整策略。 Ian Cox: Sam Miesse 的故事展示了将预测分析应用于小盘股市场的成功案例。他通过多年的数据收集和回测，建立了一个有效的量化交易系统，并最终在三年内将1万美元的资金增长到380万美元。这个案例也突出了量化交易的风险和挑战，包括模型失效的风险、流动性限制以及交易心理的控制。

Deep Dive

Chapters
Sam Miesse leveraged his experience with predictive analytics in tech sales to identify and exploit repeating patterns in the small-cap market. His rigorously back-tested quantitative system allowed him to achieve substantial returns, growing his initial $10,000 investment to $3.8 million in just three years.
  • Turned $10,000 into $3.8 million in 3 years using a quantitative trading system.
  • System processes over 10,000 small-cap stocks daily, generating 20-40 trading opportunities.
  • Withstood a $500,000 daily drawdown.

Shownotes Transcript

Inspired by the impact of predictive analytics on sales at Sam Miesse's tech company, he became interested in applying quantitative analysis to the small cap market. Spending nearly 2 years collecting data and observing how money moved into and out of many small cap stocks convinced him that there were repeating patterns which could be statistically exploited. After many back tests Sam finally had a system which processed over 10,000 small caps and produced 20-40 actionable daily opportunities. Starting with an experimental $10,000, his rigorously back-tested system gave him the confidence to stick with the signals, despite suffering a $500,000 daily drawdown along the way to growing his account to $3.8 million in less than 3 years.

Learn more about your ad choices. Visit megaphone.fm/adchoices)