Navigating Tradeoffs with Convex Optimisation

Navigating Tradeoffs with Convex Optimisation This is the final article in our recent stat arb series. The previous articles are linked below: A short take on stat arb trading in the real world A general approach for exploiting stat arb alphas Ideas for crypto stat arb features Quantifying and combining crypto alphas A simple and …

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Quantifying 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 might quantify their strength and decay characteristics and then combine them into a trading signal. This article continues our recent articles on stat arb: A short take on stat arb trading in the real world …

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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 most interesting difference, from the perspective of the trader, is that the VRP may be somewhat amenable to timing – more than the ERP at any rate. In this article, I’ll use some of the …

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More Intuitive Joins in dplyr 1.1.0 – how to do an asof join on trades and quotes data

dplyr 1.1.0 was a significant release that makes several common data operations more syntactically intuitive. The most significant changes relate to joins and grouping/aggregating operations. In this post we’ll look at the changes to joins. First, install and load the latest version of dplyr: install.packages(“dplyr”) library(dplyr) A new approach to joins The best way to …

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How to Connect Google Colab to a Local Jupyter Runtime

Colaboratory, or Colab, is a hosted Jupyter notebook service requiring zero setup and providing free access to compute resources. It is a convenient and powerful way to share research, and we use it extensively in The Lab. What’s The Lab? The Lab is the RW Pro group’s portal for doing collaborative research together as a …

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Working with Tidy Financial Data in tidyr

Holding data in a tidy format works wonders for one’s productivity. Here we will explore the tidyr package, which is all about creating tidy data. In particular, let’s develop an understanding of the tidyr::pivot_longer and tidyr::pivot_wider functions for switching between different formats of tidy data. In this video, you’ll learn: What tidy data looks like …

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How To Get Historical S&P 500 Constituents Data For Free

spx constituents historical mean return

In this post, we are going to construct snapshots of historic S&P 500 index constituents, from freely available data on the internet. Why? Well, one of the biggest challenges in looking for opportunities amongst a broad universe of stocks is choosing what stock “universe” to look at. One approach to dealing with this is to …

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