Backtesting Bias:
Feels Good, Until You Blow Up

In an ideal trading universe (free from backtesting bias), we’d all have a big golden “causation magnifying glass”. Through the lens of this fictional tool, you’d zoom in and understand the fleeting, enigmatic nature of the financial markets, stripping bare all its causes and effects. Knowing exactly what causes exploitable inefficiencies would make predicting market …

Read more

Momentum Is Dead! Long Live Momentum!

In our inaugural Algo Bootcamp, we teamed up with our super-active community of traders and developed a long-only, always-in-the-market strategy for harvesting risk premia. It holds a number of different ETFs, varying their relative weighting on a monthly basis. We’re happy with it. However, the perennial question remains: can we do better? As you might …

Read more

Risk Premia Harvesting:
Investing in Things That Go Up

This risk premia post is part of a series derived from one of our recent Bootcamps, in which we developed a strategy for harvesting risk premia. We have allocated proprietary capital to the strategy, and many of our members are trading it too. In our Bootcamps we develop trading strategies in collaboration with the Robot …

Read more

Simulating Variable FX Swaps in Zorro and Python

One of the ongoing research projects inside the Robot Wealth community involves an FX strategy with some multi-week hold periods. Such a strategy can be significantly impacted by the swap, or the cost of financing the position. These costs change over time, and we decided that for the sake of more accurate simulations, we would …

Read more

Fun with the Cryptocompare API

Cryptocompare is a platform providing data and insights on pretty much everything in the crypto-sphere, from market data for cryptocurrencies to comparisons of the various crytpo-exchanges, to recommendations for where to spend your crypto assets. The user-experience is quite pleasant, as you can see from the screenshot of their real-time coin comparison table: As nice …

Read more

ETF Rotation Strategies in Zorro

At Robot Wealth we get more questions than even the most sleep-deprived trader can handle. So whilst we develop the algo equivalent of Siri and brag about how we managed to get 6 hours downtime last night, we thought we’d start a new format of blog posts — answering your most burning questions. Lately our …

Read more

Deep Learning for Trading Part 4: Fighting Overfitting with Dropout and Regularization

Deep Learning for Trading Part 4: Fighting Overfitting is the fourth in a multi-part series in which we explore and compare various deep learning tools and techniques for market forecasting using Keras and TensorFlow. In Deep Learning for Trading Part 1, we introduced Keras and discussed some of the major obstacles to using deep learning techniques …

Read more

Deep Learning for Trading Part 3: Feed Forward Networks

This is the third in a multi-part series in which we explore and compare various deep learning tools and techniques for market forecasting using Keras and TensorFlow. In Part 1, we introduced Keras and discussed some of the major obstacles to using deep learning techniques in trading systems, including a warning about attempting to extract meaningful signals …

Read more