"Manual" macro day traders at MM pod funds - whats your strategy?

Question

not talking about long / short equity portfolios or other types of relative value....i'm talking about actively trading the macro products like treasury futures, equity index futures, FX, energy...etc...all the deep liquidity products where you can trade in/out at a tight spread for size.

to a certain extent, if you are manual, you don't have a perfectly defined strategy (otherwise it would be automated).....but of course there is greay area.

Just curious what other manual macro day trading strategies are acceptable at the MM pod funds...

Fill-or-kill · Accepted Answer

As other have mentioned, macro strategies tend to revolve around basis trading (liquidity/time premia) and vol selling. I've seen some PMs try to run something akin to highly aggressive risk parity or asset allocation, but none of these guys can sustain an edge. The best PMs stick to well-defined anomalies in the curve and use their network and experience to build a view on what's driving it and how to position for it.

yahoo · Answer

I would bucket the overall strategies as either: 
a) Systematic: well-defined, fully codified, automated trade generation / execution 
b) Discretionary: non-codified, decision-making process, ad-hoc execution approach
c) Hybrid: big spectrum in between the two poles where a lot of people tend to fall

The vast majority of macro at MM fall into the Hybrid bucket.

GoodBread · Answer

"Analyst 3+ in HF - Other"
2. Vol selling
3. Trading basis in FI. Liquidity premia type stuff
4. Inventory modeling in commodities

Do you find people have a process for not blowing up using strategy 2?

Regarding number 4, basically running S&D + inventory models on commodities?

These all seem like a bit of a grind, although that makes sense if you want to survive at an MM. Is it common for people to throw on some long vol positions they think are really attractive if they already have a cushion of P&L?

Ie take 2014.

LinnaeusMaximus · Answer

"One thing I've been curious about is how do macro traders define their edge when their strategy consists of "read news flow every AM / read these reports from these sources / dig into price action /network + conversations / rinse and repeat...."

This may be what appears to be happening from the analyst's perspective but did you consider that perhaps the PM doesn't feel the need to explain his every intuition to his team?

He's ultimately there to manage the risk of his book and the analyst is there to provide a flow of good ideas for him to consider.

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"Manual" macro day traders at MM pod funds - whats your strategy?

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