PinnedJironginDataDrivenInvestorDesigning and Building a Fully Automated Algorithmic Trading/ Portfolio Management SystemAs I developed several inter-day trading/ portfolio management algorithms, I also embarked on a journey in parallel to develop a fully…Aug 23, 20202Aug 23, 20202
JironginDataDrivenInvestorbootstrapindex, a Python Package with Walk Forward Analysis and Block Bootstrapping capabilityFor anyone who’s a practitioner of time series forecasting, quantitative finance or systematic trading, he/she may be familiar with these…Jan 11, 20211Jan 11, 20211
JironginDataDrivenInvestorDeploying a hedging feature for foreign exposure in fully automated algorithmic trading system“There is so much debt production and debt monetization,” Ray Dalio, legendary hedge fund manager mentioned in a Bloomberg interview.Dec 18, 20201Dec 18, 20201
JironginDataDrivenInvestorHow to place option spread (e.g. straddle) through Interactive Brokers API, a 101 tutorialRecently, I was investigating an options spread strategy to exploit volatility risk premium in the market. I backtested the strategy with…Dec 12, 20201Dec 12, 20201
JironginDataDrivenInvestorPerformance monitoring component in my fully automated algorithmic trading system (Part 3)If you’ve multiple strategies in your portfolio, you may wonder to yourself: How much of overall performance is due to this particular…Nov 15, 2020Nov 15, 2020
JironginDataDrivenInvestorPlans for developing a trend following strategy in futures using continuous forecasts (inspired by…Project motivationNov 11, 20201Nov 11, 20201
JironginDataDrivenInvestorDeveloping a performance monitoring component in my fully automated algorithmic trading system…As management thinker Peter Drucker once said, ‘You can’t manage what you can’t measure’. I try to adhere to this philosophy in different…Nov 10, 2020Nov 10, 2020
JironginDataDrivenInvestorDeveloping a performance monitoring component in my fully automated algorithmic trading systemIt’s one thing to back-test your signals and forecasts on historical data but it’s a completely different animal in terms of execution. I…Oct 6, 20201Oct 6, 20201
JirongCould volatility targeting increase risk-adjusted returns for quantitative strategiesNote: Man AHL’s framework in this paper is used in the write-up here.Jul 29, 2020Jul 29, 2020