Quant Mashup - Largecap Trader

PyFolio Performance Reporting in Python [Largecap Trader]

Pyfolio is a Python library that takes a return series of an asset, hedge fund, trading strategy, anything with daily returns and automatically generates some really cool statistics and charts. There is a LOT of cool stuff to explore in the library, have fun! Performance statistics Backtest(...)

DIY Quants [Largecap Trader]

With the recent announcement at Point72 of a $250MM investment in quantitative trading platform Quantopian and a recent FT article, there has been a surge in interest in Do-It-Yourself quant strategies. Here’s one from WSJ. There are some significant challenges for these startups in my opinion*:(...)

Automatic Support/Resistance using ML [Largecap Trader]

I think an interesting application of ML could be generating the ‘features’ for inclusion in a trading algorithm, converting non-numerical data into numerical. For example, converting market sentiment or satellite imagery to count cars in a retailer’s parking lot. More examples here. I had(...)

Equity Supply/Demand Indicator [Largecap Trader]

I read a very interesting post from AlephBlog which led me to another blog called Philosophical Economics. It’s a long and in depth article I had to read a few times to understand but the basic gist of it is that when investors are under allocated to equities, future returns are better than when(...)

Machine Learning & SciKit Learn [Largecap Trader]

I made the point to someone the other day that technology and coding is getting easier and easier to accomplish. I don't think I would have been able to perform 'machine learning' five years ago but with the resources available today (Python, SciKit Learn, and pages upon pages of(...)

Speculation in a Path Dependent World [Largecap Trader]

I’m happy to publish my first paper on SSRN entitled, “Speculation in a Path Dependent World” I found many otherwise talented managers entering a multi-manager platform (assigned capital with strict risk limitations) having a difficult time transitioning. The paper is my simple attempt to(...)

Fama French Multifactor Model in Python [Largecap Trader]

Factor modelling is everywhere these days. I wrote about smart beta here. It is good to quantify performance drivers but the usual caveats apply to quantitative studies utilizing backward looking data, “past performance does not guarantee future results”. I wanted to share a little exercise I(...)