Friday, October 16, 2015

An open-source genetic algorithm software (Guest post)

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By Lukasz Wojtow Mechanical traders never stop researching for the next market edge. Not only to get better results but also to have more ...
3 comments:
Friday, September 18, 2015

Interview with Euan Sinclair

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I have been a big fan of options trader and author Euan Sinclair for a long time. I have cited his highly readable and influential book  Opt...
24 comments:
Thursday, July 02, 2015

Time series analysis and data gaps

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Most time series techniques such as the ADF test for stationarity, Johansen test for cointegration, or ARIMA model for returns prediction, a...
78 comments:
Monday, April 13, 2015

Beware of Low Frequency Data

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(This post is based on the talk of the same title I gave at Quantopian's NYC conference  which commenced at 3.14.15 9:26:54. Do these nu...
138 comments:
Saturday, February 28, 2015

Commitments of Traders (COT) strategy on soybean futures

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In our drive to extract alphas from a variety of non-price data, we came across this old-fashioned source: Commitments of Traders (COT) on f...
99 comments:
Thursday, January 08, 2015

Trading with Estimize and I/B/E/S earnings estimates data

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By Yang Gao Estimize is an online-community utilizing 'wisdom of crowds' to offer intelligence about market. It contains a wide r...
81 comments:
Friday, November 14, 2014

Rent, don’t buy, data: our experience with QuantGo (Guest Post)

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By Roger Hunter I am a quant researcher and developer for QTS Partners, a commodity pool Ernie (author of this blog) founded in 2011. I he...
104 comments:
Friday, September 05, 2014

Moving Average Crossover = Triangle Filter on 1-Period Returns

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Many traders who use technical analysis favor the Moving Average Crossover as a momentum indicator. They compute the short-term minus the lo...
145 comments: