Quantum Financier

I had the pleasure to hang out with the good folks over at Resolve Asset Management recently. Part of our discussion centered around the differences between our two worlds. As you can imagine, pr...

https://quantumfinancier.wordpress.com/2018/06/02/sharpe-ratio-1-careful-what-you-wish-for/

When reading non-trading related books I always like to think about how they might apply to my field of choice. One of my all-time favorite books is one which at first glance has nothing to do wi...

https://quantumfinancier.wordpress.com/2018/06/01/extreme-ownership-a-traders-perspective/

Giving software you wrote access to your or your firm’s cash account is a scary thing. Making a mistake when manually executing a trade is bad enough when it happens (you can take my word for i...

https://quantumfinancier.wordpress.com/2018/02/24/algorithm-design-and-correctness/

The blogosphere is a very interesting microcosm of the trading world. Many of my older readers will no doubt remember the glory days of “short-term mean-reversion”. By which I mean of course ...

https://quantumfinancier.wordpress.com/2018/02/07/60-of-the-time-it-works-every-time/

Put that machine learning tutorial down. Machine learning is for closers only. As some of you that were around back in the early of this blog may know, I always held high hopes for the applicatio...

https://quantumfinancier.wordpress.com/2017/12/23/machine-learning-is-for-closers/

A good discussion not to long ago led me to start a revolution against some data management aspects of my technology stack. Indeed it is one of the areas where the decisions made will impact ever...

https://quantumfinancier.wordpress.com/2016/01/10/give-me-good-data-or-give-me-death/

Backtesting is a very important step in strategy development. But if you have ever went through the full strategy development cycle, you may have realized how difficult it is to backtest a strate...

https://quantumfinancier.wordpress.com/2015/03/23/99-problems-but-a-backtest-aint-one/

Reports of my death have been greatly exaggerated ~Mark Twain Wow, it has been a while. Roughly four years have gone by since the my last post. It might seem like a long time for some, but coming...

https://quantumfinancier.wordpress.com/2015/03/17/hello-old-friend/

As we look to 2011 through the rear view mirror, I make a quick divergence from my recent lethargy to send my best wishes for 2012 to all readers. May 2012 be a trading year filled with opportuni...

https://quantumfinancier.wordpress.com/2011/12/28/what-to-expect-in-2012/

In continuation with last post, I will be looking at building a robust ensemble for the S&P 500 ETF and mini-sized future. The goal here will be to set-up a nice framework that will be (hopefully...

https://quantumfinancier.wordpress.com/2011/07/01/ensemble-building-101/