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

Posted on Nov 02, 2020 by Kris Longmore
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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
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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...

Posted on Sep 16, 2020 by Robot James
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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 insights from traders who make...

Posted on Jul 14, 2020 by Ajet Luka

  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 the libraries and data (intraday)...

Posted on Jun 09, 2020 by Robot James
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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 which trades asset class ETFs....

Posted on Jun 08, 2020 by Robot James

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 a year $759,000 in...

Posted on Jun 04, 2020 by Robot James

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 future returns is a known...