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195 dokumenttia
This short reflection argues that machine-learning and statistical methods are tools for analysis, not trading edges by themselves. It offers questions for assessing whether a discovered effect has a plausible structural, economic, financial, or behavioral…
The article explains how to express trading signals as expected returns, giving a common scale for comparing features and combining them with risk estimates and trading costs. Its example uses Binance perpetual futures and considers carry, short-term…
This review describes Zorro as a platform for implementing, testing, optimizing, and executing systematic strategies. It argues that researchers can use an established framework to iterate on hypotheses, adapt existing strategies to new instruments, and…
This article outlines a way to assess whether a strategy’s backtest results stand out from outcomes generated by chance. It proposes constructing randomized strategies that match the original strategy’s simulation period, trade count, direction, and average…
This course overview describes a research framework for systematic trading, emphasizing that a profitable backtest does not by itself establish a durable strategy. It recommends understanding market participants and the structural reasons an edge might…
The article argues that a trading business needs a plausible, explainable source of returns rather than relying on discretionary chart reading or feeding features into a machine-learning model without a clear rationale. It frames durable edges as…
This review surveys the research topics covered in Euan Sinclair’s book on positional option trading. It highlights potential sources of returns involving the implied volatility forward curve, cross-sectional equity option returns linked to fundamental…
The article explains how sample averages tend to approach their underlying population averages as observations accumulate. A restaurant-rating simulation illustrates that small samples can vary widely, while larger groups of reviews give a more stable…
This article introduces a conversation with Kris Abdelmessih, drawing on his experience as an options market maker in New York trading pits and later building a commodity-options business for a hedge fund. It previews discussion of differences between…
The article outlines a process for developing trading ideas that considers both potential returns and practical constraints. It recommends browsing academic research for useful observations, learning from experienced traders’ anecdotes, revisiting…
The article presents two R approaches for simulating geometric Brownian motion price paths. A nested-loop version generates one random shock at a time for each path and time step. A vectorized version draws the shocks in a matrix, applies the per-step growth…
The article examines momentum as a way to time exposure to a diversified risk-premia strategy. It describes measuring each asset’s trailing six-month return, ranking assets, and rotating into the top four with weights inversely related to their volatility…
This article presents a machine learning workflow for exploring candidate predictors in a simple trading system. It discusses data mining bias, feature construction, preprocessing, removing correlated inputs, and several selection methods, including maximal…
This essay argues that systematic traders should investigate a market effect before building elaborate backtests, optimized rules, or machine learning systems. It recommends forming small, falsifiable hypotheses and using direct, data-efficient analysis such…
The document describes cross-sectional signals for ranking equity options by potential volatility mispricing. It outlines value, company size, idiosyncratic volatility, beta convexity, implied volatility term structure, the implied versus realized volatility…
This introductory guide explains an algorithmic trading system as a chain of connected tasks: obtaining market data, analyzing it, checking trade conditions, executing orders, managing risk, and maintaining portfolios, records, and post-trade analysis. It…
This short essay argues that independent traders should learn from the ideas behind institutional strategies without copying their implementations. It points to statistical arbitrage opportunities that can arise when supply and demand are uneven or when…
The article describes a three-part approach to equity statistical arbitrage for independent traders. First, rank related stock pairs using measures of historical mean-reversion returns and consistency of convergence, then retain economically sensible…
This article frames trading as the management of positions rather than a sequence of individually realized trades. Buying and selling exchange cash for assets; profit and loss arise as the value of the held exposure changes. The practical process is to…
The article discusses two proposed crypto trading signals. The retail-flow factor uses order-book data to distinguish retail from institutional activity and treats unusually strong retail participation as a contrarian signal. The author reports a near-linear…
This article introduces several ways to assess whether an exchange-rate series may suit a mean-reversion strategy. It explains the Augmented Dickey-Fuller test as a check for a unit root, the Hurst exponent as an indicator of trending or reverting behavior,…
The article argues that a trading edge can come from understanding what other participants believe, what motivates them and how their behavior affects prices. Instead of accepting familiar market claims as causal truths, it recommends asking whether the…
The article introduces expected value as a way to assess uncertain bets. Its simple dice-game example asks a risk-neutral player to list possible outcomes, assign each a probability and payout, multiply probability by payout, and sum the results. That…
This introduction defines an option as a contract giving its holder a right, without an obligation, to trade an underlying asset at a specified strike price by an expiration date. It distinguishes calls, which grant the right to buy, from puts, which grant…