Blog

Explore the research behind our trading, plus some just-for-fun stuff....

Posted on Jan 06, 2021 by Kris Longmore
No Comments.
109 Views

Earlier versions of Zorro used to ship with a script for converting market data in Zorro binary format to CSV. That script seems to have disappeared with the recent versions of Zorro, so I thought I'd post it here. When you run this script by selecting it and pressing [Test] on the Zorro interface, you are asked to select a...

Posted on Dec 10, 2020 by Kris Longmore
4 comments.
593 Views

Several years ago, I wrote about some experimentation I'd done with data mining for predictive features from financial data. The article has had several tens of thousands of views and nearly 100 comments. I think the popularity of the article lay in its demonstration of various tools and modeling frameworks for doing data mining in R (it didn't generate any alpha,...

Posted on Dec 02, 2020 by Robot James
No Comments.
379 Views

I have been sharing examples of simple real-time trading research on my Twitter account. I do this kind of thing a lot in the training program of our trading group - and I'm sharing in the hope that it might also help a wider audience. Here's a piece of analysis I did recently on a really simple factor that appeared to...

Posted on Nov 24, 2020 by Kris Longmore
No Comments.
1,132 Views

I'm a big fan of Ernie Chan's quant trading books: Quantitative Trading, Algorithmic Trading, and Machine Trading. There are some great insights in there, but the thing I like most is the simple but thorough treatment of various edges and the quant tools you might use to research and trade them. Ernie explicitly states that the examples in the books...

Posted on Nov 19, 2020 by Robot James
7 comments.
343 Views

The S&P index committee recently announced that Tesla, already one of the biggest stocks listed in the country, would be included in the S&P 500. Here's the press release: Due to TSLA's size, it was widely expected to have entered the S&P 500 index much earlier - but S&P has some discretionary criteria it applies to ensure that the index...

Posted on Nov 17, 2020 by Kris Longmore
No Comments.
354 Views

Colaboratory, or Colab, is a hosted Jupyter notebook service requiring zero setup and providing free access to compute resources. It is a convenient and powerful way to share research, and we use it extensively in The Lab. What's The Lab? The Lab is the RW Pro group's portal for doing collaborative research together as a community. The key goals are:...

Posted on Nov 10, 2020 by Robot James
No Comments.
660 Views

You rarely meet a rich forex trader. I’ve met plenty of rich traders who trade quant factors or stat arb. Plenty of market makers, futures spreaders and volatility traders that do nicely. But I don’t think I’ve ever met a rich forex trader. Jeez man - what a downer! Don't run away, we're gonna turn this around into something positive......

Posted on Nov 09, 2020 by Robot James
No Comments.
308 Views

  Here’s a chart of long-term asset performance…. The blue line shows returns from US stocks from 1900 to today. That’s a 48,000x increase in nominal value. The yellow line shows the returns from US bonds from 1900 to today. That’s a 300x increase in nominal value. If you look at this in isolation things look easy. You just buy...

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