You’ve probably noticed that there’s a US election on the horizon. This is an event of known uncertainty: a “known unknown” in the now immortal language of Donald Rumsfeld. In trading, we sometimes observe marginal pricing inefficiencies around these “known unknowns”. For example, ahead of stock earnings announcements or significant economic or policy announcements, we tend …
This is a review of Positional Option Trading by Euan Sinclair. Trading books set a low bar for the reviewer. 99% are full of facile feel-good advice (don’t fight the trend, always use a protective stop). The 1% that are useful tend to either be dry technical treatments (quants who don’t trade), or sporadically helpful …
This post presents an analysis of the SPY returns process using the QuantConnect research platform. QuantConnect is a strategy development platform that lets you research ideas, import data, create algorithms, and trade in the cloud, all in one place. For this research, I’ve used their online research notebook, and it came preinstalled with all …
In this post, we explain how to use SQL to extend back ETF price data with total return data from mutual funds or indexes. On Zero to Robot Master Bootcamp, we teach how to build a portfolio of three automated systematic trading strategies. One of them is a long term Risk Premia Harvesting strategy …
Nearly everyone starts trading with unrealistic expectations. “If I make a 0.5% returns every day I can make over $100k in a year on 20k of starting capital.” 0.5% return every day sounds realistic, right? Wrong. Let’s sense check that… If we could make 0.5% returns every day… then our 20k would be worth: $123,000 …
In the Robot Wealth Pro Community, we’ve started doing weekend “quant-teasers” where we discuss the solutions to quant problems. Here is a recent one… Why aren’t calls more expensive than puts for an asset which is more likely to go up than down? We have an asset trading at $100 for which the distribution of …
In the world of Big Data, there are lots of tools and technologies to choose from. Choosing the “right” one depends on the things that you are building and the problems you are trying to solve. Trading firms have skilled teams that monitor and deploy data pipelines for their organisation and the technical overhead that …
Holding data in a tidy format works wonders for one’s productivity. Here we will explore the tidyr package, which is all about creating tidy data. In particular, let’s develop an understanding of the tidyr::pivot_longer and tidyr::pivot_wider functions for switching between different formats of tidy data. In this video, you’ll learn: What tidy data looks like …
Anyone that’s been around the markets knows that the monthly release of the United States Department of Labor’s Non-Farm Payrolls (NFP) data can have a tremendous impact, especially in the short term. NFP is a snapshot of the state of the employment situation in the US, representing the total number of paid workers, excluding farm …
Here’s a round-up of our new articles this week. They cover crash protection, sloppy, noisy regressions, and data-munging skills. Finding Options for Effective Crash Protection Large capital losses can be devastating to your trading account. A couple of weeks ago, we explained how you can use SPY put options to protect your portfolio against severe market …
