{"id":4808,"date":"2024-04-13T12:17:20","date_gmt":"2024-04-13T12:17:20","guid":{"rendered":"https:\/\/prosperity.newai.com.au\/?p=4808"},"modified":"2025-04-13T12:44:54","modified_gmt":"2025-04-13T12:44:54","slug":"locked-in-final-round-arb-focus-and-constant-vol-approach","status":"publish","type":"post","link":"https:\/\/prosperity.newai.com.au\/index.php\/2024\/04\/13\/locked-in-final-round-arb-focus-and-constant-vol-approach\/","title":{"rendered":"Locked In: Final Round Arb Focus and Constant Vol Approach"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"4808\" class=\"elementor elementor-4808\">\n\t\t\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-9e71ed7 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"9e71ed7\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-65f0eb5\" data-id=\"65f0eb5\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-f59ee21 elementor-widget elementor-widget-text-editor\" data-id=\"f59ee21\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t<style>\/*! elementor - v3.6.7 - 03-07-2022 *\/\n.elementor-widget-text-editor.elementor-drop-cap-view-stacked .elementor-drop-cap{background-color:#818a91;color:#fff}.elementor-widget-text-editor.elementor-drop-cap-view-framed .elementor-drop-cap{color:#818a91;border:3px solid;background-color:transparent}.elementor-widget-text-editor:not(.elementor-drop-cap-view-default) .elementor-drop-cap{margin-top:8px}.elementor-widget-text-editor:not(.elementor-drop-cap-view-default) .elementor-drop-cap-letter{width:1em;height:1em}.elementor-widget-text-editor .elementor-drop-cap{float:left;text-align:center;line-height:1;font-size:50px}.elementor-widget-text-editor .elementor-drop-cap-letter{display:inline-block}<\/style>\t\t\t\t<p><b>Orchids Strategy<\/b><\/p>\n<p>No changes planned. While the humidity-based strategy (trading when outside 60-80 range) shows some unstable positive returns, it&#8217;s an order of magnitude less profitable than arbitrage. I&#8217;m going all-in on arb and avoiding position-taking.<\/p>\n<p>Reasoning:<\/p>\n<p>(1) If arb opportunities are scarce this round, nobody will make much profit anyway.<\/p>\n<p>(2) If arb is plentiful, missing out would be far more costly.<\/p>\n<p><b>Coconut Coupons<\/b><\/p>\n<p>After testing various approaches:<\/p>\n<p>\u2981 Tried rolling\/exponential moving averages for implied volatility<\/p>\n<p>\u2981 Found that a constant implied vol (derived from the bird-given combo: 637.63 coupon price at 10,000 coconut) works best on the 3-day dataset<\/p>\n<p>\u2981 Decision: Stick with constant implied vol, despite poor web backtest performance<\/p>\n<p>&nbsp; &nbsp;\u2981 The backtest data is biased anyway \u2013 overfitting to it would likely hurt live results<\/p>\n<p><b>Manual Trading<\/b><\/p>\n<p>\u2981 Bid Strategy: Submitting 956 (low) \/ 984 (high)<\/p>\n<p>\u2981 Expected Outcome: PnL differences should be within 10k among competitors<\/p>\n<p>Best of luck to everyone with tonight&#8217;s results!<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>Orchids Strategy No changes planned. While the humidity-based strategy (trading when outside 60-80 range) shows some unstable positive returns, it&#8217;s an order of magnitude less profitable than arbitrage. I&#8217;m going all-in on arb and avoiding position-taking. Reasoning: (1) If arb opportunities are scarce this round, nobody will make much profit anyway. (2) If arb is [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":4537,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[38],"tags":[],"class_list":["post-4808","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-2024r4"],"acf":[],"_links":{"self":[{"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/posts\/4808","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/comments?post=4808"}],"version-history":[{"count":13,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/posts\/4808\/revisions"}],"predecessor-version":[{"id":4821,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/posts\/4808\/revisions\/4821"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/media\/4537"}],"wp:attachment":[{"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/media?parent=4808"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/categories?post=4808"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prosperity.newai.com.au\/index.php\/wp-json\/wp\/v2\/tags?post=4808"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}