Quantitative trading a sure thing? Wake up! This business is even worse than the stock market.

There are always people to quantitative trading blown into the "money printing machine" - program a run, lying counting money. But people who have really played know that this thing is more exciting than gambling, today let you burst the position, tomorrow may make you cry and delete the code.

I. Quantitative trading's "Emperor's New Clothes": the truth that no one dares to say

1. ​The data is all horseplay.​
   All strategies rely on historical data backtesting, but there is an iron law of the market.Just because it's gone up in the past doesn't mean it's going to go up in the future.The
   • Case in point: a team in 2021 trained their model with 2018-2020 ETH data, resulting in a loss of 58% in 2021 after Merge upgraded their strategy because the bull market turned into a bear market and the volatility pattern all changed.
   • Lesson learned: the more perfect the curve in backtesting, the more likely to turn into a "death spiral" in real trading.
2. ​Mr. Market is a man of all trades.​
   Quantitative models fear black swans, for example:
   • ​Suddenly liquidity has dried up: 2023 A DeFi program flash crash, liquidity pool goes from $100 million to $30,000 in seconds, and arbitrage bots roll over en masse.
   • ​Exchange unplugging network cables: When FTX stormed, all API connections went down and the quant fund evaporated 90% assets in a single day.
   • ​regulatory raid: The U.S. SEC banned a certain type of options strategy across the board, and the related models simply stopped working.
3. ​peers are enemies​
   The quantosphere is the dark forest:
   • Your arbitrage strategy has just gone live, and the team next door steals the show with faster servers, and slippage eats 80% profit.
   • A team of self-research "high-frequency market-making strategy", the results of the three major exchanges jointly black, on the grounds of "disruption of the market".

Second, a sure thing? Look at all these "rollover scenes."

1. ​The Long Term Capital Management (LTCM) Fiasco​
   The quantitative team, with a Nobel Prize winner at the helm, used a mathematical model to bet on the convergence of Treasury spreads, only to lose $4.6 billion in 4 months when the model collapsed after Russia defaulted in 1998 and finally relied on the Fed to save the day.
2. ​A-share "quantitative ghost" incident​
   2023 a private quantitative fund, due to excessive fitting of historical data, the real disk for 12 consecutive days of losses, net worth waist cut. More outrageous is that they actually use the "I Ching" gossip parameters to optimize the strategy, the result is mocked by netizens "metaphysical quantitative".
3. ​The cryptocurrency "bricks and mortar" trap​
   A team of cross-chain handling USDT, earning 3% per day, the result was judged by the exchange as "abnormal trading" to freeze the funds, manual customer service replied: "You robots are too obvious."

Third, the quantitative trading of the three "suicide traps"

1. ​overfitting of cancer​
   The programmer pulled the backtesting cycle to 10 years, the parameter adjusted to 8 decimal places, thought it could eat all the market. As a result, the real disk, the market out of the "parameter blind spot", the strategy directly downtime.
2. ​commission grinder​
   The high-frequency strategy seems to earn 0.1% per day, but after deducting fees (such as ethereum gas fee + exchange drawback), the actual yield may become negative. A team's actual test: average daily trading 1000 times, annualized return of 42% → only 17% after deducting fees.
3. ​Technical debt explosion​
   In order to pursue speed, some people use C++ to write core algorithms, resulting in more than 300 "ancestral bugs" buried in the code. After a certain burst of review, it was found that the "temporary patch" written by a programmer in 2018 led to logical errors.

Fourth, ordinary people want to play quantitative? First look at this "pit avoidance guide"

1. ​Don't believe in "money printing strategies" sold on the Internet.​
   A treasure 9.9 包邮 "quantitative gold mining secret books", the actual winning rate of less than 30%. real strategy even the core members of the team do not dare to outsource, how can online casually sell?
2. ​Pay your tuition with a demo disk first​
   JoinQuant or Ricequant is recommended for focused observation:
   • Strategy performance in extreme markets (e.g., March 2020 U.S. stock meltdown)
   • Whether the maximum retracement exceeds 15% (run if it does)
   • Whether the Sharpe ratio is >1 (below 1 it is better to bank)
3. ​Always have enough "escape money".​
   Never All in Quantitative Strategies! Advice:
   • 70% principal to do quantification
   • 20% Buy Bitcoin (hedge against extreme risk)
   • 10% Cash Backup (plunge in the event of a crash)

​final advice::
Quantitative trading is not a science, it's "dancing with the wolves". The only thing it guarantees is that if you don't understand risk control, you will lose money 10 times faster than you would in stocks. Remember:

• By the time you hear, "This strategy works forever," it's already broken.
• The only people who really make a solid profit are the exchanges, the miners, and the people selling the strategies.