RThink like a traderTrading strategiesZorro
Get Rich Quick Trading Strategies (and why they don’t work)
Every aspiring millionaire who comes to the markets armed with some programming ability has implemented a systematic Get Rich Quick
Trading strategies
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Cointegrationk-means clusteringRTrading strategiesPairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes
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RTrading strategiesOvernight and Intraday SPX returns
One of the things I’ve noticed from staring at the screen all day for the last few months is that
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RTrading strategies
The VIX Futures Basis
In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX”
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BacktestingFactorsQuant tradingRTrading strategies
Revenge of the Stock Pickers
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
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Quant tradingTime series modellingTrading strategies
A Vector Autoregression Trading Model
What is Vector Autoregression The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships
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BacktestingQuant tradingRTrading strategiesZorro
Kalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
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CointegrationQuant tradingTrading strategiesZorro
Pairs Trading in Zorro
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
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BacktestingCointegrationQuant tradingRTime series modellingTrading strategies
Kalman Filter Example:
Pairs Trading in RThis Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
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BacktestingQuant tradingTrading strategiesZorro
Pattern Recognition with the Frechet Distance
Chart patterns have long been a favourite of the technical analysis community. Triangles, flags, pennants, cups, heads and shoulders…. Name
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CointegrationQuant tradingRTime series modellingTools of the tradeTrading strategies
Practical Pairs Trading
Some price series are mean reverting some of the time, but it is also possible to create portfolios which are
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Quant tradingThink like a traderTrading strategies
Risk Premia Harvesting:
Investing in Things That Go UpThis risk premia post is part of a series derived from one of our recent Bootcamps, in which we developed
