RTrading strategies
Overnight and Intraday SPX returns
One of the things I’ve noticed from staring at the screen all day for the last few months is that
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PythonQuant tradingTrading infrastructureUsing Apache Airflow to Extract CoT Data
In today’s post we are going to be extracting CoT (Commitment of Traders) reports from the CFTC website using a
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RTrading strategies
The VIX Futures Basis
In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX”
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OptionsQuant tradingR
Efficiently Simulating Geometric Brownian Motion in R
For simulating stock prices, Geometric Brownian Motion (GBM) is the de-facto go-to model. It has some nice properties which are
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BacktestingQuant tradingZorro
Parameter Optimisation for Systematic Trading
Optimisation tools have a knack for seducing systematic traders. And what’s not to love? Find me the unique set of
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BacktestingQuant tradingTrading as a businessTrading infrastructureZorro
A Review of Zorro for Systematic Trading
One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High
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Think like a trader
Are SPX Options Expensive?
Options are non-linear financial products that allow you to do useful things that you can’t easily do with other financial
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BacktestingFactorsQuant tradingRTrading strategies
Revenge of the Stock Pickers
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
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Quant tradingTime series modellingTrading strategies
A Vector Autoregression Trading Model
What is Vector Autoregression The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships
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Machine learningRTools of the trade
The Graphical Lasso and its Financial Applications
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
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BacktestingQuant tradingRTrading strategiesZorro
Kalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
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BacktestingQuant tradingRZorro
Integrating R with the Zorro Backtesting and Execution Platform
In the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented