You’ll find links to RW Pro webinar content arranged by date (newest to oldest) on this page.
- 29 November 2024 – webinar and summary
- VX futures calendar trade
- Some holiday trades in UGA and USO
- Leveraged ETF flows as a predictor of returns (no trade, but some interesting analysis)
- 15 November 2024 – webinar
- AMA with Euan Sinclair
- 8 November 2024 – summary
- YOLO carry factor is live
- 1 November 2024 – webinar and summary
- Using Excel to explore whether high stock valuations are associated with lower expected returns
- 18 October 2024 – webinar and summary
- YOLO inverse vol weighting in production
- Modelling in-play soccer matches
- 4 October 2024 – webinar and summary
- Equity pairs refresh
- YOLO improvements – carry and aggressor imbalance simulations
- 20 September 2024 – webinar and summary
- Timing bonds with short-term yield curve signals
- Short-term mean-reversion between SPY and TLT
- Using volume to time a stock index position
- 13 September 2024 – summary
- End of month flow effects strategy review
- Timing SPY with volume
- 6 September 2024 – webinar and summary
- YOLO improvements and discussion of universe problems
- 30 August 2024 – RWI post
- Managing to a drawdown target
- 23 August 2024 – webinar and summary
- YOLO improvements:
- Inverse vol weighting
- Aggression imbalance
- Carry
- YOLO improvements:
- 9 August 2024 – webinar and summary
- Discussing the recent volatility spike
- Quant analysis in Excel placing the recent vol spike in context
- Inverse vol weighting YOLO weights
- 2 August 2024 – summary
- Trading UVXY
- 26 July 2024 – webinar and summary
- The current trading environment
- Equity pairs refresh
- Volatility adjusting the YOLO strategy’s positions
- 12 July 2024 – webinar and summary
- A generic quant trading system Part 2
- 28 June 2024 – webinar and summary
- A generic quant trading system Part 1
- Cross-sectional analysis techniques, with an example of cross-sectional momentum in crypto
- Coin-M futures price and funding data in The Lab
- 31 May 2024 – summary
- VIX basis strategies review
- 23 May 2024 – webinar
- Working with data in BigQuery
- 10 May 2024 – webinar and summary
- The landscape of trading edges
- 25 April 2024 – webinar and summary
- Crypto reversal effects
- 19 April 2024 – summary
- End-of-month flow effects strategy review
- 12 April 2024 – webinar and summary
- Trade helper spreadsheet for the Hurricane Slayer Guy VIX trade
- Includes a description of the strategy
- 5 April 2024 – summary
- Crypto carry strategy review
- 29 March 2024 – webinar and summary
- Trade sizing and rebalancing
- Trend following SPY
- 22 Mar 2024 – summary
- YOLO strategy update
- 15 Mar 2024 – webinar and summary
- Crypto froth
- 1 Mar 2024 – webinar and summary
- Trading crypto pumps
- Intraday crypto seasonality
- Constant maturity futures
- 16 Feb 2024 – webinar and summary
- Crypto trend predictability
- Managing short VIX positions
- Update to rsims – simulations for crypto perpetual futures
- 2 Feb 2024 – webinar and summary
- Modelling known volatility events in the VIX term structure
- Is Dec VX mispriced because traders can’t count holidays?
- 18 Jan 2024 – webinar and summary
- Review of 2023 predictions
- Review of 2023 strategy performance
- Is short volatility getting crowded?
- 14 Dec 2023 – webinar and summary
- James in a Santa suit
- All about the VIX – the index, the futures, the ETFs
- The volatility risk premium in VIX futures
- The VRP doesn’t come from the basis
- Naive carry in slope signals
- Slope and level
- Trading the VIX basis against the SPX basis
- NAV Stat Arbs
- 8 Dec 2023 – summary
- Plans for next year
- TLAQ champagne webinar plus simple spreadsheet for tracking exposures
- Highlights of 2023
- 30 Nov 2023 – webinar and summary
- Review of the current low vol environment
- A seasonal bias in our VIX basis strategy
- Analysing the efficiency of the US closing auction
- James slams a NZ closing auction for fun and profit
- YOLO production update
- 24 Nov 2023 – summary
- Exploring a new factor weighting scheme
- Black Friday deals from TradingView and DeltaRay
- 17 Nov 2023 – summary
- Simulating recent changes to YOLO (factor parameters, snapshot time)
- Simulating making hourly YOLO decisions
- 10 Nov 2023 – summary
- Updating YOLO factor parameters
- Short-term mean reversion in crypto
- 2 Nov 2023 – webinar and summary
- Resurrection of YOLO on Binance
- Includes some useful lessons on combining cross-sectional and time-series signals
- Introduction to trading the auction
- 27 October 2023 – summary
- YOLO back online on Binance
- An offer on MesoSim (options backtesting tool)
- 19 Oct 2023 – webinar and summary
- Year-to-date equity pairs strategy performance review (discussion of summary from 13 Oct below)
- Straddle over earnings trade initial analysis
- Introduction to portfolio optimisation for trading, including examples
- 13 October 2023 – summary and code
- Equity pairs strategy review
- 6 October 2023 – summary
- Options earnings analytical data set now in The Lab
- Review of the last few weeks
- 29 September 2023 – summary
- ORATS data discount for members
- Turn of month strategies review
- Options earnings simulation data preparation update
- 21 September 2023 – webinar and summary
- Market update
- Systematic strategy update
- Pairs trading universe refresh
- Straddle over earnings research
- 15 September 2023 – summary
- Introduction to Straddle over Earnings trade
- 7 September 2023 – webinar and summary
- Run through of new crypto data (Binance spot and perp, coincodex market capitalisation)
- Aping recent highs in crypto spot
- Crypto trend and momentum (aka YOLO) on Binance
- Perp carry on Binance
- Jensen’s inequality and combining signals
- Rebalancing options trades
- Introduction to Straddle over Earnings trade
- 1 September 2023 – summary
- New crypto data in The Lab (Binance spot and perp, coincodex market capitalisation)
- 10 August 2023 webinar and summary
- UVXY – what it is, how it works
- Five strategies for trading UVXY
- 4 August 2023 – summary
- Data Engineering for Traders update
- New Lab repo for Zorro tools
- PEAD update
- 27 July 2023 – webinar and summary
- Momentum of trend in stocks
- Munging options data
- 21 July 2023 – summary
- First look at new options data
- PEAD summary of work so far
- 13 July 2023 – webinar and summary
- Equity pairs refresh and strategy summary
- Designing a PEAD strategy including short borrow costs
- Short-term squeeze dynamics in stocks
- 7 July 2023 – summary
- Equity pairs refresh
- PEAD update
- 28 June 2023 – webinar and summary
- Volatility risk premium update
- Using simulation to answer questions
- PEAD update and stock borrow data in The Lab
- Trading leveraged ETFs: short and hedge, replace equity exposure
- 16 June 2023 – webinar and summary
- Review of stock-bond reversal trade
- More bond timing with yield and value
- PEAD update
- 9 June 2023 – summary
- PEAD update
- 1 June 2023 – webinar and summary
- Timing bond exposure with the yield curve
- PEAD update
- 26 May 2023 – summary
- New VX data in The Lab
- New analytical dataset for researching PEAD in The Lab
- 19 May 2023 – webinar and summary
- Improvements to the bond seasonality (window-dressing) trade
- Introduction to post earnings announcement drift trade
- 5 May 2023 – webinar and summary
- Recap of VIX basis trade
- Weekend effect in VIX futures
- Turn of month calendar effect in VIX futures
- VIX futures calendar trade
- 20 April 2023 – webinar and summary
- Trading VX futures by pricing them against SPX options implied volatility
- Constructing a constant maturity VX futures series
- A catalogue of edges, including our best ideas in each category
- Review of asset class time series and cross sectional momentum
- Seasonal effects in US stocks
- 14 April 2023 – summary
- Data Engineering for Traders update
- 28 March 2023 – webinar and summary
- Intro to new Data Engineering for Traders course
- WTF is the VIX index calculation?
- Rebalancing voodoo
- Fallen angel bonds
- 10 March 2023 – summary
- TLAQ update – simulation and portfolio construction
- Rolling percentile calculation with Rcpp
- 3 March 2023 – summary
- TLAQ update
- Troubleshooting the Zorro pair trading script
- 17 Feb 2023 – webinar and summary
- TLAQ update
- VIX degenerate stuff – early research on VX futures positioning trades
- 10 Feb 2023 – summary
- TLAQ update
- New VX data in The Lab
- 26 January 2023 – webinar and summary
- Review of markets and strategies in 2022
- Planning for 2023
- 15 November 2022 – webinar
- FTX blow up review
- Review of a member’s systematic strategy implementation
- 15 September 2022 – webinar and summary
- Market conditions update
- Risk Premia Harvesting Model Portfolio
- ETH merge futures pricing run through
- Front running imbalances trade
- 9 September 2022 – webinar and summary
- Data analysis – luck and stability
- 2 September 2022 webinar and summary
- Data analysis – cross-sectional return prediction
- Crypto stat arb
- Crypto perpetual futures carry
- FTX leveraged tokens’ anomalous returns
- Bond seasonality
- 26 August 2022 summary and webinar
- PnL of the average liquidity provider
- Spoofing and flipping
- Crypto perpetual futures carry
- Correlation and clustering crypto vs tradfi assets
- Extreme lending squeeze trade in crypto
- 19 August 2022 summary
- Data analysis – return prediction
- Crypto perpetual futures carry
- 12 August 2022 summary
- Macro Research Pod introduction
- Data analysis – persistence and overlapping
- Risk Premia on UCITS ETFs
- Crypto squeeze effects
- 5 August 2022 summary
- Crypto stat arb
- Quantifying alphas
- Crypto extreme lending tactical trade
- Crypto carry
