FOQuant:any tips on what employers like to see
By necessity any advice I have is based upon 2nd hand info from hiring managers, so there is noise in my signal.
They like "creativity". That is of course hard to define, but any algorithmic strategy out of a book fails directly. They want to hire someone who tries something they would not have thought of.
They want some "mechanism", not just for the strategy to work, but for you to be able to explian "why". Causality in this context is a slippery thing, and of course you may be wrong, but it is important not to think you are building a black box, because these are hard to trust.
They like to see how you hedge and manage risk. Merely making money on average is not enough, you have to show you can "survive".
In particular, I encourage anyone doing this to understand the Kelly Criterion which allows you to reason about optimal bet size. Indeed I commend this to any quant involved in trading, even though some MFE syllabi fail to cover it.
Another hard to define characteristic is "intellectual curiousity", which includes drilling down to try and find out why things are the way they are, and not just ignoring things.
Conversely, you need focus, showing you don't get too distracted.
Also the more "real world" factors you take into account the better.
For instance, many high frequency trading strategies deliver an average return that can get lost in trading costs. One thing that is beyond student "practice" algorithmic trading is market impact, since you may be trading enough to move the market slightly against you
The previous few factors imply that you ought to at least think about some form of optimisation to get the best past spreads and impacts. Also in real time trading you cannot assume that all the trades you want actually execute, indeed in some markets less than 50% of the trades you try for don't happen.