Kris Longmore I want to discuss a couple of simple trade-off considerations around quant trading signals that may not be obvious. Here’s the price of some asset: Our main job is to predict how it’s likely to move. To do this, you use information about it that you think is predictive. And at any point in time: …
Traders typically have many ideas for trading strategies – more than they can ever implement in practice! Therefore it’s useful to be able to move quickly in the early research phase. You want to disprove things as quickly as possible so that you can move onto the next thing. Obviously there is immense value in …
In 2021, James, I, and a small team decided to set up a crypto trading venture. We faced several problems, but knowing almost nothing about crypto was the most significant. We sensed that the fractured, developing nature of the crypto market would likely be a good place to seek out inefficiencies, but beyond that, we …
When you do anything with data, you should think about the intuition of each thing you do, and what it represents “in the real world”. Let’s take the example of log returns, which some people tell me they find confusing. Consider an asset whose price goes from $100 to $200 Assume there are no other cash …
In this blog post, I will demonstrate how to work with stock price data using the DuckDB database management system in R. DuckDB is a fast and lightweight analytical database engine that is designed to work with various programming languages, including R. You can use Duck DB from the command line or from a client …
Alpha isn’t just about finding people willing to trade at bad prices. Although that’s a necessary condition, it’s not enough. We also need to know why people are willing to buy too expensive or sell too cheap. The reasons are pretty simple: The first reason requires the existence of other uninformed traders, or what some …
dplyr 1.1.0 was a significant release that makes several common data operations more syntactically intuitive. The most significant changes relate to joins and grouping/aggregating operations. In this post we’ll look at the changes to joins. First, install and load the latest version of dplyr: install.packages(“dplyr”) library(dplyr) A new approach to joins The best way to …
The changing face of market data providers Over the last few years, a number of new market data providers have come online. They tend to have modern websites, broad coverage, and well-documented RESTful APIs. Their services are often priced very competitively – especially for personal use – and usually have generous free tiers. One such …
In Australia, if you’re serious about getting the job done effectively and efficiently, you might say: “I’m not here to f*** spiders.” Many traders act like they are, indeed, here to f*** spiders. If you’re making soup, you first need a good stock. Stock isn’t exciting. Everyone has stock. Garnish is exciting, but you can’t …
rsims is a new package for fast, quasi event-driven backtesting in R. You can find the source on GitHub, docs here, and an introductory blog post here. Our use case for rsims was accurate but fast simulation of trading strategies. I’ve had a few questions about how I made the backtester as fast as it …
