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

Posted on Sep 05, 2019 by Michael M
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As traders, we like to get waaaay ahead of ourselves in the race to understand and exploit the financial markets. One symptom of our eagerness is often wrongly assuming that more complexity = more profit. This assumption can lead us down long and unnecessary rabbit holes and away from the more mundane fundamentals that account for 80% of our day-to-day...

Posted on Sep 03, 2019 by Michael M
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In part 1 of this series, we talked about how a market-savvy systematic trader would approach a period of drawdown in a trading strategy. Specifically, they'd: do the best job possible of designing and building their trading strategy to be robust to a range of future market conditions chill out and let the strategy do its thing, understanding that drawdowns...

Posted on Aug 28, 2019 by Michael M
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Imagine you’ve tinkered for days or even weeks, perfecting a strategy idea that’s showing a whole lot of promise. You’ve meticulously tweaked a mouth-watering Sharpe Ratio out of your backtests….it even survived costs. YES! Systems go, let’s trade it. Imagine this new strategy enters a drawdown.…maybe a lengthy one....maybe from day one! How would you react to such a letdown?...

Posted on Aug 01, 2019 by Kris Longmore
2 comments.
145 Views

One of the biggest wins we have at Robot Wealth is in helping aspiring traders see the markets, and profitable trading, for what it really is. Rather than utilising a tried and tested approach that has generated real money in the markets, in practice, many aspiring traders gravitate to seemingly exciting approaches with the weakest history of success, assuming that this...

Posted on Jul 10, 2019 by Kris Longmore
3 comments.
257 Views

Some price series are mean reverting some of the time, but it is also possible to create portfolios which are specifically constructed to have mean-reverting properties. Series that can be combined to create stationary portfolios are called cointegrating, and there are a bunch of statistical tests for this property. We'll return to these shortly. While you can, in theory, create...

Posted on Jun 21, 2019 by Kris Longmore
2 comments.
108 Views

The Federal Reserve publishes the yield-to-maturity of US Treasury bonds. However, the actual returns earned by investors are not publicly available. Nor are they readily and intuitively discerned from historical yields, since "a bond's return equals its yield only if its yield stays constant and if all coupons (cash payments) are reinvested at that same yield" (Tuckman and Angel, 2013,...

Posted on Jun 19, 2019 by Kris Longmore
12 comments.
315 Views

Before you commit your precious time to read this post on Shannon Entropy, I need to warn you that this is one of those posts that market nerds like myself will get a kick out of, but which probably won't add much of practical value to your trading. The purpose of this post is to scratch the surface of the...

Posted on Jun 09, 2019 by Kris Longmore
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I'm a bit late to the party with this one, but I was recently introduced to the feather format for working with tabular data. And let me tell you, as far as reading and writing data goes, it's fast. Really fast. Not only has it provided a decent productivity boost, but the motivation for its development really resonates with me,...