Alpha Ensembles Part 2 Trend, Momentum, Volatility, and Volume combinationsIn part 1 of my article on alpha ensembles, I showed how to combine volume spread alphas and overnight sentiment alphas to create one…Aug 16Aug 16
Schelling’s Segregation Model in C#Thomas Schelling, a famous economist, created an agent-based model in the 1970s that illustrated how even slight preferences could lead to…Jul 12Jul 12
Maximize Our Profit With Grid SearchSearch 5,832 combinations of 3-Way Moving Averages for the Optimal ProfitMar 28, 2023Mar 28, 2023
Three-Way Moving Average Trading Strategy (No short selling required) w/ Python codeThe trading strategies I have shown so far in this blog rely on you always being in the market, i.e., always going short on a stock…Mar 20, 20231Mar 20, 20231
Let’s use ARIMA to create a formula to predict tomorrow’s stock return (and why you shouldn’t)This article differs from many you will see because I show you how to get the equation from the model and apply it to predict tomorrow’s…Mar 15, 2023Mar 15, 2023
Bitcoin order book shape analysisOn the road to developing bitcoin alphas for algorithmic tradingMar 14, 20231Mar 14, 20231
Modify the binomial option pricing model to account for the risk of a trading lapse w/ python codeIn this modified binomial model, we compute the fair value of the American call option using a recursive algorithm that considers the…Mar 9, 2023Mar 9, 2023
Enhancing our alpha backtest with metrics.Sharpe Ratio, Win-Loss Ratio, Maximum Drawdown, and Net profitMar 9, 20231Mar 9, 20231
Volume Spread Alphas and Alpha combinations — The Power of Alpha EnsemblesTrading volume changes can signal market sentiment changes.Mar 9, 20231Mar 9, 20231
Overnight Sentiment Alpha #2One of the goals of this blog is to bring you an entire library of valuable alphas that can be adjusted by window period. In financial time…Mar 8, 2023Mar 8, 2023
