One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships and feedback loops. If
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
In the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
This Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
Chart patterns have long been a favourite of the technical analysis community. Triangles, flags, pennants, cups, heads and shoulders…. Name
When tinkering with trading ideas, have you ever wondered whether a certain variable might be correlated with the success of
In part 1 of this series, we talked about how a market-savvy systematic trader would approach a period of drawdown
Some price series are mean reverting some of the time, but it is also possible to create portfolios which are