Day 3’s results were quite satisfying – 150k from algo trading (30k bananas/pearls, 17k berries, 60k+ pairs, 40k+ diving gear) plus 20k+ from manual, bringing me back to top 50.
Day 4 introduced several new products:
⦁ Picnic Basket (PB)
⦁ Three components: DIP(D), BAGUETTE(B), UKULELE(U)
The conversion rule: 4D + 2B + 1U + basket → 1PB
Market Making Analysis:
⦁ Component spreads are tight (1-2)
⦁ PB spread is wider (4-6) but still not profitable enough compared to pearls/bananas
⦁ Decision: Focus solely on position taking
New Strategy (V6):
This is essentially packaged pair trading:
1. Trade components vs. complete PB baskets
2. Profit from price discrepancies between components and assembled PB
Key metrics:
⦁ Edge = BP_price – 4D – 2B – U – 400
⦁ Edge fluctuation shown in following figure
⦁ Target position:
⦁ PB: (edge/edge_max) × position_limit
⦁ Components: Proportional scaling
Execution Approach:
⦁ Adapted from Strategy V3:
⦁ Aggressive trading when position gap is large
⦁ Passive trading when near target
⦁ Key challenge: High transaction costs
⦁ Example: 4D+2B+1U+PB spread = 10
⦁ Requires more cautious execution than standard pair trading
The manual trading game changed completely this round – an interesting newspaper-based trading challenge to discuss next.
