Trading strategies
The Winter of our Pairs Trading Discontent: Problems, limitations, frustrations
Part 3 of a series on Statistical Arbitrage for Independent Traders Previously: In the last article, we built up a
Trading strategies
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Trading strategiesMoneyball: Finding Undervalued Pairs Using Unconventional Metrics
Previously: A Tale of Two Prices (the core idea of stat arb) Last time we established that stat arb is
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Trading strategiesA Tale of Two Prices
Part 1 of a series on Statistical Arbitrage for Independent Traders. It was the age of wisdom, it was the
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Quant tradingThink like a traderTrading strategiesThe 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
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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
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FactorsOptionsTrading strategies
Options 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
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PythonQuant tradingTrading strategies
Trading 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
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Quant tradingRTrading strategies
Building 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
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FactorsQuant tradingRTime series modellingTrading strategies
How 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
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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,
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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
