Think like a trader
When I first got interested in trading, The Whitlams were all over Australian radio, and I was making all the beginner mistakes. A big one – focusing on techniques instead of edges. I poured time and energy into building backtesting engines and frameworks for applying all the usual tools – cointegration tests, Hurst exponents, Kalman
CryptoData analysisThink like a trader
We’ve all used on/off type trading signals at some point. But you can nearly always extract more insight with a simple adjustment that focuses on using data efficiently. Let me show you how using a crypto trend example. The problem with binary signals You’ve seen them everywhere. “If price is above the 20-day moving average,
Think like a trader
Do you find yourself obsessing over p-values and t-stats when evaluating trading ideas? I get it. If you come from an academic or scientific background, statistical significance feels like the gold standard for determining whether something is “real” or just random noise. And in many fields, that’s exactly right. But trading is different. Statistical tests
Think like a trader
The market is a highly competitive beast. If you’ve spotted an edge, others have too. And as capital piles in, most obvious mispricings will eventually decay. Take the reasonably well-known end-of-month bond trade, for example. Towards month end, excess price-insensitive demand for treasuries tends to come in, causing a temporary dislocation from fair value: A
Think like a trader
Recently, we had an excellent question on the Trade Like a Quant Discord server: “How do you know if your strategy is working out of coincidence rather than actual edge? The strategy might work over a long period just because of blind luck.” Damn good question. It hits right in the insecurity because the honest
CryptoFactorsQuant trading
The best trading edges are often found in places most people don’t think to look. It’s why being a bit of a pirate – zigging when others zag and finding opportunities in the market’s blind spots – is such an effective approach. Today, I want to share something that has me genuinely excited. It’s a
Quant trading
In this Ask Me Anything, Euan addressed the following questions: We didn’t have time for all the questions, but Euan will be doing more of these in the future. Here’s the replay:
Think like a trader
Someone sent me their trading technology blueprint. It was a thing of beauty: timeseries databases, Grafana dashboards, message queues, and all sorts of fancy architecture. My first question: “What are you currently trading?” Their answer: “Nothing yet. But I’m planning a medium frequency stat arb basket trade.” I almost spat out my coffee. Look, I
Quant trading
An easy, practical way to harness an edge in the face of trading costs is the “no trade region” technique. It nearly always improves after-cost performance. Here’s a real example: And it does so with only one-tenth of the trading of the baseline strategy! Uncertain edge vs certain costs A good thing to remember is
Think like a trader
How often have you heard someone say, “I use a stop loss to manage downside risk”? You see this repeated so often that you could be forgiven for thinking it was some inviolable universal law. But do stop losses really do what people think? Let’s think this through together. And fair warning – what I’m
Think like a trader
Someone recently asked me if I have a checklist for adopting new trading strategies. You know, a neat little formula like “if backtested Sharpe > 1.8, trade it” or “if drawdown < 15%, green light.” I get the appeal. We all want clear, objective criteria to make these decisions easier. But strategy adoption just doesn’t
Quant trading
I was recently talking to someone about data mining as an approach to finding edges to trade. I get the appeal. Feed enough data into a computer, run enough tests, and surely something profitable will emerge, right? Maybe. But almost certainly not. But the worst thing about this approach is that it risks your entire
Think like a trader
Think like a trader
Think like a trader
CryptoData analysisThink like a trader
Think like a trader