Bond. Treasury Bond

Bond. Treasury Bond

The Federal Reserve publishes the yield-to-maturity of US Treasury bonds. However, the actual returns earned by investors are not publicly available. Nor are they readily and intuitively discerned from historical yields, since “a bond’s return equals its yield only if its yield stays constant and if all coupons (cash payments) are reinvested at that same […]

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Shannon Entropy: A Genius Gambler’s Guide to Market Randomness

Before you commit your precious time to read this blog post, I need to warn you that this is one of those posts that market nerds like myself will get a kick out of, but which probably won’t add much of practical value to your trading. The purpose of this post is to scratch the […]

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Super Fast Cross-Platform Data I/O with Feather

I’m a bit late to the party with this one, but I was recently introduced to the feather format for working with tabular data. And let me tell you, as far as reading and writing data goes, it’s fast. Really fast. Not only has it provided a decent productivity boost, but the motivation for its […]

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Optimising MetaTrader for Algorithmic Trading

If you’ve ever delved into the world of retail foreign exchange trading, you’ll have come across the MetaTrader platform. Let’s be clear. The platform has its drawbacks. If you’ve traded “grown-up” markets, some of the features will leave you scratching your head. But one thing’s for sure – MetaTrader provides fast, convenient access to pretty […]

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Momentum Is Dead! Long Live Momentum!

In our inaugural Algo Bootcamp, we teamed up with our super-active community of traders and developed a long-only, always-in-the-market strategy for harvesting risk premia. It holds a number of different ETFs, varying their relative weighting on a monthly basis. We’re happy with it. However, the perennial question remains: can we do better? As you might […]

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Harvesting Risk Premia

This article is part of a series derived from our most recent Algo Boot Camp, in which we developed a strategy for harvesting risk premia. We have allocated proprietary capital to the strategy, and many of our members are trading it too. In our Boot Camps we develop trading strategies in collaboration with the Robot […]

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The Law of Large Numbers – Part 2

This is Part 2 in our Practical Statistics for Algo Traders blog series—don’t forget to check out Part 1 if you haven’t already.   Even if you’ve never heard of it, the Law of Large Numbers is something that you understand intuitively, and probably employ in one form or another on an almost daily basis. […]

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Practical Statistics for Algo Traders

How do you feel when you see the word “statistics”?  Maybe you sense that it’s something you should be really good at, but aren’t.  Maybe the word gives you a sense of dread, since you’ve started exploring its murky depths, but thrown your hands up in despair and given up – perhaps more than once. […]

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Simulating Variable FX Swaps in Zorro and Python

One of the ongoing research projects inside the Robot Wealth community involves an FX strategy with some multi-week hold periods. Such a strategy can be significantly impacted by the swap, or the cost of financing the position. These costs change over time, and we decided that for the sake of more accurate simulations, we would […]

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Fun with the Cryptocompare API

Cryptocompare is a platform providing data and insights on pretty much everything in the crypto-sphere, from market data for cryptocurrencies to comparisons of the various crytpo-exchanges, to recommendations for where to spend your crypto assets. The user-experience is quite pleasant, as you can see from the screenshot of their real-time coin comparison table: As nice […]

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