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

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...

Posted on Jun 03, 2020 by Ajet Luka

In the world of Big Data, there are lots of tools and technologies to choose from. Choosing the "right" one depends on the things that you are building and the problems you are trying to solve. Trading firms have skilled teams that monitor and deploy data pipelines for their organisation and the technical overhead that comes with that. Firms invest...

Posted on Jun 02, 2020 by Kris Longmore
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Holding data in a tidy format works wonders for one's productivity. Here we will explore the tidyr package, which is all about creating tidy data. In particular, let's develop an understanding of the tidyr::pivot_longer and tidyr::pivot_wider functions for switching between different formats of tidy data. In this video, you'll learn: What tidy data looks like Why it's a sensible approach...

Posted on Jun 01, 2020 by Kris Longmore
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Anyone that's been around the markets knows that the monthly release of the United States Department of Labor's Non-Farm Payrolls (NFP) data can have a tremendous impact, especially in the short term. NFP is a snapshot of the state of the employment situation in the US, representing the total number of paid workers, excluding farm employees and public servants. We...