Quant tradingThink like a traderTrading strategies
The Hidden Gems of High Yield Bonds: Fallen Angels
What’s a Fallen Angel Bond? It’s a bond that’s been kicked out of investment-grade paradise. Once upon a time, it
Trading strategies
-
-
ExcelQuant tradingTrading strategiesModelling UVXY trading strategies with Excel
UVXY is an ETF that targets 1.5x the daily returns of a 30-day constant-maturity position in VX futures – the
-
FactorsOptionsTrading strategiesOptions Trading with Cross-Sectional Volatility Factors
A few years ago, I got deep into the idea of constructing a long/short equity options portfolio based on the
-
PythonQuant tradingTrading strategiesTrading 0DTE Options with the IBKR Native API
Here’s a thing that I suspect will make money, but that I haven’t yet tested (for reasons that I will
-
Quant tradingRTrading strategiesBuilding Intuition for Trading with Convex Optimisation with CVXR
This article continues our recent stat arb series. The previous articles are linked below: A short take on stat arb
-
FactorsQuant tradingRTime series modellingTrading strategiesHow to Model Features as Expected Returns
Modeling features as expected returns can be a useful way to develop trading strategies, but it requires some care. The
-
BacktestingFactorsQuant tradingRTrading strategiesA 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,
-
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
-
Quant tradingTrading strategiesA General Approach for Exploiting Statistical Arbitrage Alphas
Last week, I wrote a short article about statistical arbitrage trading in the real world. Statistical arbitrage is a well-understood
-
Think like a traderTrading strategiesA Short Take on Real-World Pairs Trading
In textbooks, one often sees pairs trading algorithms start by regressing prices of Asset A on Asset B to calculate
-
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
-
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.