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

Posted on May 21, 2017 by Kris Longmore
15 comments.
5,917 Views

Recently, Yahoo Finance - a popular source of free end-of-day price data - made some changes to their server which wreaked a little havoc on anyone relying on it for their algos or simulations. Specifically, Yahoo Finance switched from HTTP to HTTPS and changed the data download URLs. No doubt this is a huge source of frustration, as many backtesting and trading...

Posted on Apr 28, 2017 by Kris Longmore
4 comments.
8,955 Views

I recently read Gary Antonacci's book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the "premier anomaly" (Fama and French, 2008), but because it is...

Posted on Apr 12, 2017 by Kris Longmore
7 comments.
2,065 Views

  This is the final post in our 3-part Back to Basics series. You may be interested in checking out the other posts in this series: Part 1: An Introduction to Algorithmic Trading Part 2: How to Succeed at Algorithmic Trading We've also compiled this series into an eBook which you can download for free here. Nearly all research related...

Posted on Mar 20, 2017 by Kris Longmore
4 comments.
1,935 Views

[vc_row][vc_column][vc_column_text] This is the second post in our 3-part Back to Basics series. You may be interested in checking out the other posts in this series: Part 1: An Introduction to Algorithmic Trading Part 3: Backtesting in Algorithmic Trading We've also compiled this series into an eBook which you can download for free here. [/vc_column_text][vc_column_text]There is a lot of information about...

Posted on Feb 04, 2017 by Kris Longmore
6 comments.
6,020 Views

This is the first post in our 3-part Back to Basics series. You may be interested in checking out the other posts in this series: Part 2: How to Succeed at Algorithmic Trading Part 3: Backtesting in Algorithmic Trading This is the first in a series of posts in which we will change gears slightly and take a look at some of...

Posted on Jan 03, 2017 by Kris Longmore
9 comments.
4,197 Views

What if you had a tool that could help you decide when to apply mean reversion strategies and when to apply momentum to a particular time series? That's the promise of the Hurst exponent, which helps characterise a time series as mean reverting, trending, or a random walk. For a brief introduction to Hurst, including some Python code for its...

Posted on Oct 31, 2016 by Kris Longmore
12 comments.
7,232 Views

This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series together and I drew on some of his previously published work as well as other sources like the very useful Quantstart.com. UPDATE 03/01/16: Please note that the Python code below has been updated with a more accurate algorithm for calculating Hurst. Thanks Mike...

Posted on Oct 14, 2016 by Kris Longmore
2 comments.
4,077 Views

This post comes to you from Dr Tom Starke, a good friend of Robot Wealth. Tom is a physicist, quant developer and experienced algo trader with keen interests in machine learning and quantum computing. I am thrilled that Tom is sharing his knowledge and expertise with the Robot Wealth community. Over to you, Tom. Unlike most other businesses, algorithmic trading...