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…·4 min read·Aug 23, 2020--2--2
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…·5 min read·Jan 11, 2021--1--1
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.·6 min read·Dec 18, 2020--1--1
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…·6 min read·Dec 12, 2020--1--1
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…·4 min read·Nov 15, 2020----
JironginDataDrivenInvestorPlans for developing a trend following strategy in futures using continuous forecasts (inspired by…Project motivation·5 min read·Nov 11, 2020--1--1
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…·4 min read·Nov 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…·4 min read·Oct 6, 2020--1--1
JirongCould volatility targeting increase risk-adjusted returns for quantitative strategiesNote: Man AHL’s framework in this paper is used in the write-up here.5 min read·Jul 29, 2020----