Quant Mashup - Quant Fiction Contract-Specific Trading Costs and Optimal Execution Strategy [Quant Fiction]There are as many strategies for extracting alpha from the markets as there are traders. Unfortunately, this article will be discussing none of them. If that’s what you’re looking for, I suggest you check out the very sophisticated techniques covered in this video. OK. If you’re still reading,(...) Position Sizing for Practitioners Part 3: A Portfolio Approach [Quant Fiction]“Diversification is the Only Free Lunch” I’m sure everyone has heard this old adage at some point in their trading career. Most people probably shrug it off and go back to watching The Big Short and dreaming of putting on that one career-making trade. Or maybe they’re still trying to figure(...) Bitcoin Seasonality: Fooled by Randomness [Quant Fiction]Autumn is my favorite time of year. Football (and more importantly as a Bills fan, fantasy football) is back, everything tastes like pumpkin, and I don’t get sweaty walking around outside. It’s also the start of the cryptocurrency bull season! Or is it? Let’s find out. It’s already started:(...) Trading Metrics that Actually Matter [Quant Fiction]Traders love their performance metrics. Anyone who’s used their platform’s backtesting features has probably come across a few dozen of them, and everyone’s got their favorite. Anybody who’s anybody in the finance world has one named after them: Sharpe, Sortino, Calmar, Treynor, Gartman,(...) Position Sizing for Practitioners - Part 2: Dealing with Drawdown [Quant Fiction]What does “optimal” mean, anyway? In the first part of this series, we discovered that the staked fraction of capital that yields the greatest compounded returns also yields a less-than-optimal level of drawdown. To realize the greatest return on capital, an investor in SPY since its inception(...) Position Sizing for Practitioners - Part 1: Beyond Kelly [Quant Fiction]Albert Einstein once proclaimed that “compound interest is the eighth wonder of the world” (allegedly, at least; people attribute all kinds of sayings to that guy). Let’s just assume that he did. This is the single most important reason why people participate in the markets. The magic of(...) Volume and Volatility: A Tale of Two Vols [Quant Fiction]Outside of price action, two of the most popular market characteristics analyzed are volume and volatility. Volatility is often used to determine market regime, while the traditional use for volume is to confirm price movement. This post will investigate the relationship between these two(...) Excess VIX: A Predictive Volatility Model [Quant Fiction]The events of the past month, most notably the implosion of XIV, has focused public interest on volatility as an asset class. They’ve also illustrated that short vol as a strategy might be a little more risky than advertised (gasp!). The VIX is supposed to serve as a gauge of how much uncertainty(...)