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

Posted on Feb 10, 2021 by Kris Longmore
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Broadly, there are three types of systematic trading strategy that can "work." In order of increasing turnover they are: Risk premia harvesting Economically-sensible, statistically-quantifiable slow-converging inefficiencies Trading fast-converging supply/demand imbalances This post provides an overview of each. 1. Risk Premia Harvesting Risk Premia Harvesting is typically the domain of wealth management, but it's important to any trader who likes money....

Posted on Jan 06, 2021 by Kris Longmore
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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

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
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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
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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

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
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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
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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......

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