how to show prop fund my strategy without giving it away?
I currently work at an elite prop fund (think Citadel, Optiver, JS, Flow, etc) and am considering leaving to work for a smaller prop fund. I was told to show evidence that my strategy works to this new fund. How do I show evidence of returns / sharpe without giving away my strategy? Like if they had the data from my backtest then presumably they could reverse engineer what I am doing right?
you simply say "confidentiality agreements with my current employer prevent me from 'proving evidence of my returns' however i can provide a basic description of markets and some statistics that will enable you to determine if my strategy would fit in with your firms risk parameters"
you can also printout a bar chart of portfolio daily returns, so they can see the evolution of your overall performance, and from which you can use as a talking point....but....sorry, i'm not willing to hand over the actual IP of my strategy...and as i'm sure you are aware, my firm does not breakout performance of specific sub portfolio strategies....and i would most likely get fired if i asked them to provide it to you...so "evidence" is just not possible.
talk about trading frequency, avg holding period (minutes, hours, days), basic strategy description (rates RV, volatility mispricing, momentum ignition, etc...)...maybe you can printout something internally with your P&L....but that is something you wouldn't want to email, or leave a physical copy behind...all you can really do is have a conversation.
Ultimately, either they trust you, or they don't. If they ask for details of your strategy to the point where you think they could backward engineer...then they are just trying to do an informational brain drain interview...and are not serious about hiring you.
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