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

Posted on Nov 24, 2020 by Kris Longmore

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......

Posted on Nov 09, 2020 by Robot James
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  Here’s a chart of long-term asset performance…. The blue line shows returns from US stocks from 1900 to today. That’s a 48,000x increase in nominal value. The yellow line shows the returns from US bonds from 1900 to today. That’s a 300x increase in nominal value. If you look at this in isolation things look easy. You just buy...

Posted on Nov 02, 2020 by Kris Longmore

I recently listened to a podcast about one of the earliest human civilizations - the ancient Sumerians. Apparently, our system of minutes, hours, and days has been with us since the time of these ancient people, who developed it based on a simple base-12 counting system: There are three joints in each of the four fingers You can count twelve...

Posted on Oct 30, 2020 by Kris Longmore

I was very sad to learn that Quantopian is shutting down its community services. Quantopian's efforts to bring quant finance outside of institutions was a genuine game-changer. The educational content was solid, the tech was excellent, and the QuantCon conferences were professional, well-run, and inclusive in a way that you never see at the "finance insider" equivalents. Any of us...

Posted on Oct 28, 2020 by Robot James
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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 to find: more significant trend...