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
ExcelThink like a traderTools of the trade
In this webinar, James explores a simple seasonality effect and finds that there’s more to the story than an upwardly sloping equity curve. Watch the video to see how you can use Excel to explore market phenomena efficiently and gather evidence that you can use to make practical trading decisions. If you’d like to master
Data analysisExcel
Having the ability to call bullshit on market claims is a superpower. There’s some ancient trader lore that says it’s a bad idea to hold SPY when it’s under the 12-month moving average of its price. Is there anything to this idea? Check out the webinar below to see how we put this idea to
Think like a trader
In Trade Like a Quant Bootcamp, we talk about win-win risk premia harvesting. It’s a game where no one’s really competing for the edge. Think about VTI (Vanguard’s Total Stock Market ETF). You expect to make more than implied by the stock market’s cash flows (a risk premium) because holding these stocks is uncomfortable. They’re
ExcelQuant trading
Having a reliable source of free data is extremely handy for the independent trader. It allows you to move fast and look into your ideas quickly. Yahoo Finance recently changed how you can access their historical stock data. No more simple downloads from the website and programmatic access now requires a different approach. For the
Think like a trader
I don’t need to tell you that the stock market’s been on a wild ride these last few weeks. But going back even further, since about mid-2024, the VIX has been regularly popping up into the 20s, in contrast to the sleepy teens we saw in the first half of that year. So what’s happening
Think like a trader
With GLD up 40-something percent since early 2024, I’ve been thinking about gold’s place in a risk premia harvesting portfolio. It’s a fascinating rabbit hole and there’s plenty of disagreement. Let’s break this down from two perspectives – the academic one (yawn) and the practical one (which is what actually matters if you want to
Think like a trader
Here’s something that might shock you: Engineers make the worst traders. I’m speaking from experience here. As an engineer who transitioned to trading, it wasn’t until I stopped thinking like an engineer that I started to make progress. You can read all about this in my case study, by the way. Engineers like me are
Think like a trader
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Quant trading