factors

Posted on Mar 31, 2020 by Kris Longmore
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To say we're living through extraordinary times would be an understatement. We saw the best part of 40% wiped off stock indexes in a matter of weeks, unprecedented co-ordinated central bank intervention on a global scale, and an unfolding health crisis that for many has already turned into a tragedy. As an investor or trader, what do you do? You manage your exposures the best you can, dial everything down, and go hunting for the opportunities that inevitably present themselves in a stressed out market. We've been hunting pretty much since this thing kicked off - and we want to show you what we found. And, more importantly, the tools and approach we used to find them. To that end, we are opening the gates to our Robot Wealth Pro community, a tight-knit network of independent traders with whom we share our firm's research, data, systematic trading strategies, and real-time ideas. We normally insist that you go through an introductory Bootcamp before joining our Pro team, but these are extraordinary times and we want to get after these opportunities as...

Posted on Sep 10, 2019 by Kris Longmore
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When tinkering with trading ideas, have you ever wondered whether a certain variable might be correlated with the success of the trade? For instance, maybe you wonder if your strategy tends to do better when volatility is high? In this case, you can get very binary feedback by, say, running backtests with and without a volatility filter. But this can mask interesting insights that might surface if the relationship could be explored in more detail. Zorro has some neat tools that allow us to associate data of interest with particular trading decisions, and then export that data for further analysis. Here's how it works: Zorro implements a TRADE struct for holding information related to a particular position. This struct is a data container which holds information about each trade throughout the life of our simulation. We can also add our own data to this struct via the TRADEVAR array, which we can populate with values associated with a particular trade. Zorro stores this array, along with all the other information about each and every position, as members of the TRADE struct....