Here’s a thing that I suspect will make money, but that I haven’t yet tested (for reasons that I will explain shortly): Every day, at the start of the trading day, get the SPX straddle price and convert it to an expected SPX price move. Then at the end of the trading day, take the …
This post presents an analysis of the SPY returns process using the QuantConnect research platform. QuantConnect is a strategy development platform that lets you research ideas, import data, create algorithms, and trade in the cloud, all in one place. For this research, I’ve used their online research notebook, and it came preinstalled with all …
In the world of Big Data, there are lots of tools and technologies to choose from. Choosing the “right” one depends on the things that you are building and the problems you are trying to solve. Trading firms have skilled teams that monitor and deploy data pipelines for their organisation and the technical overhead that …
In today’s article, we are going to take a look at rolling and expanding windows. By the end of the post, you will be able to answer these questions: What is a rolling window? What is an expanding window? Why are they useful? What is a Rolling or Expanding window? Here is a normal window. …
Modern data science is fundamentally multi-lingual. At a minimum, most data scientists are comfortable working in R, Python and SQL; many add Java and/or Scala to their toolkit, and it’s not uncommon to also know one’s way around JavaScript. Personally, I prefer to use R for data analysis. But, until recently, I’d tend to reach …
In today’s post we are going to be extracting CoT (Commitment of Traders) reports from the CFTC website using a pipeline built on Apache Airflow. What is CoT data? The CoT report is a weekly publication which reports the open positions of market participants in the U.S futures market. It’s published every Friday at 3:30 …
I’m a bit late to the party with this one, but I was recently introduced to the feather format for working with tabular data. And let me tell you, as far as reading and writing data goes, it’s fast. Really fast. Not only has it provided a decent productivity boost, but the motivation for its …
One of the ongoing research projects inside the Robot Wealth community involves an FX strategy with some multi-week hold periods. Such a strategy can be significantly impacted by the swap, or the cost of financing the position. These costs change over time, and we decided that for the sake of more accurate simulations, we would …
Cryptocompare is a platform providing data and insights on pretty much everything in the crypto-sphere, from market data for cryptocurrencies to comparisons of the various crytpo-exchanges, to recommendations for where to spend your crypto assets. The user-experience is quite pleasant, as you can see from the screenshot of their real-time coin comparison table: As nice …
