Quant Mashup - Signal Plot
The Definitive Guide To Momentum Investing and Trading [Signal Plot]
During my review of several quantitative trading books and papers, I kept on seeing information on two classes of trading strategies: mean reversion and momentum. I thought the things I read explained mean reversion quite clearly, but I wasn’t entirely clear on how to implement momentum investing
- 6 years ago, 25 Aug 2017, 11:40am -
Why Bitcoin is the Ultimate Safe Haven Asset [Signal Plot]
In 2008, in the middle of the global financial crisis, Satoshi Nakamoto published a white paper describing the bitcoin protocol. The bitcoin blockchain then came into existence on January 3, 2009 when Nakamoto created the genesis block — the first block of the blockchain. All subsequent blocks
- 6 years ago, 31 May 2017, 06:29pm -
What is Bitcoin's Correlation With Other Financial Assets? [Signal Plot]
I’m strongly considering entering into a substantial investment in bitcoin as part of my passively managed, fully long portfolio. Before I do that, I decided to look into two questions regarding bitcoin’s role in a portfolio: What is bitcoin’s correlation with other financial assets? Can
- 7 years ago, 13 Feb 2017, 08:42pm -
A Simple Machine Learning Model to Trade SPY [Signal Plot]
I have created a quantitative trading strategy that incorporates a simple machine learning model to trade SPY as part of my ongoing research in quantitative trading. The focus here was not on creating a strategy with alpha but rather to develop a framework both in my mind and in code to develop more
- 7 years ago, 2 Feb 2017, 10:01am -
How to Apply Machine Learning to Trading [Signal Plot]
Recently, I have been interested in applying machine learning to trading. This post contains some of my thoughts regarding a framework for thinking about trading as a machine learning problem, treating trading as a classification or regression problem, and transforming the output of a machine
- 7 years ago, 1 Feb 2017, 11:19am -
How to Measure the Performance of a Trading Strategy [Signal Plot]
This post contains some of the research I have done regarding how to measure the performance of a trading strategy. The immediate goal of conducting this research is to build out a collection of performance measure tools in R to evaluate, compare, and measure the performance of trading strategies.
- 7 years ago, 31 Jan 2017, 01:59pm -
The Definitive Guide to Shorting Leveraged ETFs [Signal Plot]
This post documents some of my research in creating a trading strategy centered around shorting leveraged exchange-traded funds (ETFs). I present the following thought experiment to motivate readers: Suppose an underlying instrument increases by 25% on day 1 and decreases by 20% on day 2. The return
- 7 years ago, 30 Jan 2017, 10:01pm -
Reverse Engineering AQR's Risk Parity Strategy [Signal Plot]
I’m going to start this post by saying that it makes no sense for anyone to pay management fees to get a return stream that is highly correlated to any existing asset class. Unfortunately, many actively managed funds fall in this category. There’s two reasons for this. One, you can replicate
- 7 years ago, 13 Oct 2016, 12:55pm -
How to Implement a Simple Risk Parity Strategy [Signal Plot]
When I worked at Bridgewater Associates, I regularly came across marketing materials about the theory behind risk parity and evidence that risk parity portfolios perform better than traditional portfolios on a risk-adjusted basis. The theory and evidence was quite convincing. The story goes that Ray
- 7 years ago, 11 Oct 2016, 02:32pm -
Index Front Running: What Happens When a Stock is Added to an Index? [Signal Plot]
This post documents some of my research on index front running. This trading strategy is simply buying stocks before they are added to indexes that passively managed funds are designed to track. I initially came across this idea through a Bloomberg article, The Hugely Profitable, Wholly Legal Way to
- 7 years ago, 3 Oct 2016, 02:06pm -
The Optimal ETFs For Each Market Segment [Signal Plot]
In one of my previous posts, I wrote about my framework for choosing ETFs since I wanted a method of choosing the optimal ETFs for expressing my market views. Generally, the framework is to choose an ETF with a low expense ratio, low trading costs, low tracking error, and a tax-advantaged structure.
- 7 years ago, 28 Sep 2016, 01:22pm -
How to Scrape Data for Over 1,900 ETFs [Signal Plot]
You can download the ETF metadata I scraped here and the price history here. You can also take a look at the code I used to scrape this data at my Github repository. Why Scrape ETFs? At the investment management firm I worked at, we had teams of people that devoted lots of time just trying to
- 7 years ago, 27 Sep 2016, 01:13pm -