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Tag Archives: Tutorials

Complex Backtesting in Python – Part II – Zipline Data Bundles

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How to Become a Professional Trader

Would you like to trade for a living? Of course you do. That’s why you are here, reading this article. Professional trading is the subject of much lore and myths, and it can be difficult sometimes to tell reality from fiction. Before you read this article, you need to make a decision. Do you want to become a professional trader? ...

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Don’t get burned – Limiting position sizes based on historical volatility

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Making Your Own Quant Reporting Engine

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Making a RightEdge Data Adapter

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Setting up your own quant environment – Populating the database

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Twelve Months Momentum Trading Rules – Part 2

Earlier this week I published a simple 12 month momentum model which shows surprisingly good performance. The rules used are so simple that many of you are probably doubting the results. Perhaps you want a closer demonstration? Let’s take a look at the details of this model and see if it really works. First, let’s revisit the rules. Every Friday ...

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Leverage Schmeverage!

Leverage Schmeverage!

Is it risky to be 150% leveraged? How about 1500%? It’s the wrong question to ask. Leverage and risk are not necessarily connected. A common argument against trend following hedge funds is that they are too leveraged. This is based on a lack of understanding of leverage. Most people who bring up this argument are just used to one asset ...

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How to Build Correlation Matrices

They key to trend following is to be very diversified, so that your return curve moves up in a reasonably smooth manner. What you need to ask yourself however is whether you are holding a real diversified portfolio or just a very expensive illusion of safety. Everyone talks of increasing correlations the new risk on/risk off world, but few topics ...

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