December 15, 2022

On ML: For ‘Feature’ Consideration

By quantish

2 Min Read

15December

I’m a big fan of the folks at RobotWealth, the great work they are doing and their efforts to educate others. One of my favorite posts from @Kris goes into great detail about features, the importance of stationarity, and other key considerations when applying ML to trading. I shared this with a friend recently, and he summarized this gem of a post into key takeaways, and I thought to share some...

August 22, 2022

Trading Earnings Volatility With Options

By quantish

2 Min Read

22August

This strategy was inspired by u/mori226. The system trades options spreads (diagonals) around earnings volatility, buying when IV is lowest, selling when it is highest. Current work-in-progress is in the embedded PDF below and includes backtest results from my prototyping in OptionStack. Spread Entry Long: One month after earnings, buy cheap LEAP calls.Entry Criteria (all must be met)It’s been at...

February 5, 2022

Not All NFTs Are Collectibles

By quantish

2 Min Read

05February

There are NFTs and then there are NFT collectibles. An NFT, or a Non-Fungible Token, is a breakthrough innovation in verifiable ownership. Verifiable ownership is a critical and fundamental component of human society, be it ownership of a property, an idea, an identity, etc. NFT collectibles are an application of NFT technology, and people use it to prove ownership of digital assets that they...

January 5, 2022

Stock Universe Selection on Multiple Timeframes

By quantish

3 Min Read

05January

This is my take on scheduled intraday universe selection, written in Python (LEAN). The attached code is not a tradable strategy, it’s a template for others to use in building their own strategies. Feel free to re-use this, customize it, make it better and re-share.   General ArchitectureThere are three universe selection phases: Coarse, Fine and Intraday (scheduled). In the Fine and...

December 9, 2021

Kalman and Laguerre signals

By quantish

1 Min Read

09December

It seems that the Kalman filter and Laguerre filter work well with EMAs for entries/exits. The attached algorithm trades Crypto (or any ‘trendy’ asset), using crossovers between the three. It has a 60% Win Rate and a 3.58 Sharpe, but don’t be fooled. This isn’t because it’s an amazing strategy, it’s because crypto assets went parabolic during the backtest period. So...

November 2, 2021

Presenting. Crypto. Trend following.

By quantish

1 Min Read

02November

I gave a presentation to a small group of crypto traders and software engineers about strategy automation. The goal was to show what was possible using the tools and platforms available to retail traders, and possibly inspire them to give it a try. I think it worked. The slides are embedded below. I walk through a basic breakout strategy with a trailing stop, and on the last slides you can find...

September 5, 2021

Backtest Results for a Portfolio Hedge using SPY Put Options

By quantish

2 Min Read

05September

I’ve been doing some research on portfolio hedges using Quantconnect and it’s quite interesting.  Here are the results from backtesting a ‘Protective SPY Put’ hedge. Summary of Results: It’s proven to be effective, but there is some selection bias at play. ie: In my backtest, I’ve picked Put options that are ‘just the right’ distance away from spot...

July 8, 2021

Fun with a ‘SPY Climber’

By quantish

1 Min Read

08July

After a long work day I often challenge myself to write the least amount of code to generate the most profitable equity curve. I never have any intent to trade the thing –it’s deliberately overfit– but I find it to be good calming way to unwind.  Some people have a Zen garden on their desk. To each his own. Last night I wasn’t up for a challenge, but I still wanted the...

February 9, 2021

Look Ma, a Workflow

By quantish

3 Min Read

09February

A few months ago someone on reddit asked about my workflow for strategy research. I thought about it and realized how far I’d come on this exciting and humbling journey. From indicator soup to some semblance of evidence based strategy validation. I’m not quite using this exact process any more, but thought it worth documenting for posterity. Here’s my reply, paraphrased and formatted...

February 1, 2021

Smart Friends With Options

By quantish

2 Min Read

01February

My high school buddy KW inspired me to take on systematic trading, but my other high school buddy FA showed me that I had Options. Pun aside, this has made all the difference. I have learned a LOT. Fun fact: FA once recommended that I take a position with TSLA calls — the position went 50x. Unfortunately I didn’t understand what he was talking about at the time, and I missed out. But...