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
Tools of the trade
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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
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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,
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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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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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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
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DataOptionsQuant tradingR
Beyond Stocks: The Surprising Volatility Returns of Oil and Gold
I’ve previously discussed the Volatility Risk Premium (VRP) and how it differs from the Equity Risk Premium (ERP). Probably the
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DataR
A Free Interactive IPO Calendar
Sometimes it’s nice to step away from the deep technical stuff and just build something simple and useful. What Is
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DataRTools of the trade
Price data from Yahoo Finance in R – the Easy Way!
Traders typically have many ideas for trading strategies – more than they can ever implement in practice! Therefore it’s useful