BacktestingFactorsQuant tradingRTrading strategies
A Simple, Effective Way to Manage Turnover and Not Get Killed by Costs
Every time we trade, we incur a cost. We pay a commission to the exchange or broker, we cross spreads,
Blog
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FactorsQuant tradingRQuantifying and Combining Crypto Alphas
In this article, I’ll take some crypto stat arb features from our recent brainstorming article and show you how you
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FactorsTrading strategiesIdeas for Crypto Stat Arb Features
This article continues our recent articles on stat arb: In this article, I’ll brainstorm some ideas for predictive features that
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Quant tradingTrading strategies
General Approach for Exploiting Stat Arb (Statistical Arbitrage) Alphas
Last week, I wrote a short article about statistical arbitrage trading in the real world. Statistical arbitrage is a well-understood
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Think like a traderTrading strategiesPairs Trading Strategy: A Short Take on Real-World Application
InIn textbooks, you often see pairs trading algorithms starting by regressing prices of Asset A on Asset B to calculate
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R
How Much Damage Can I Do Turbo-Punting Shitcoins?
Here in Australia, we’re right in the depths of the silly season. We indulge in long lunches, take days off
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Trading strategies
The Art and Science of Trading Carry
Let’s talk about carry trades. First, what exactly is a carry trade? A carry trade is a trade that pays
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Think like a trader
The best places to get trading ideas
Steal them from other people If you know other people are making money trading an idea, it is often a
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DataTools of the trade
How I use TradingView (and how to get 70%+ off)
Disclaimer: the links in this post are affiliate links. If you use them to purchase a TradingView subscription, you’ll receive
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Quant tradingRTrading strategies
Exponentially weighted covariance in an Equal Risk Contribution portfolio optimisation problem
The Equal Risk Contribution (ERC) portfolio seeks to maximally diversify portfolio risk by equalising the risk contribution of each component.
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RTime series modellingAn Exponentially Weighted Covariance Matrix in R
Exponential weighting schemes can help navigate the trade-off between responsiveness and stability of the inherently noisy estimates we make from
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Quant tradingRTime series modellingUsing Exponentially Weighted Moving Averages to navigate trade-offs in systematic trading
A big part of the job of the indie trader is data analysis. We’re always looking in the past data
