Stock Universe Selection on Multiple Timeframes


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...

Kalman and Laguerre signals


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...

Presenting. Crypto. Trend following.


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...

Backtest Results for a Portfolio Hedge using SPY Put Options


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...

Fun with a ‘SPY Climber’


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...

Automate everything.