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DataDrivenInvestor

Designing and Building a Fully Automated Algorithmic Trading/ Portfolio Management System

As I developed several inter-day trading/ portfolio management algorithms, I also embarked on a journey in parallel to develop a fully…

Aug 23, 2020

Designing and Building a Fully Automated Algorithmic Trading/ Portfolio Management System

Aug 23, 2020

Published in

DataDrivenInvestor

bootstrapindex, a Python Package with Walk Forward Analysis and Block Bootstrapping capability

For anyone who’s a practitioner of time series forecasting, quantitative finance or systematic trading, he/she may be familiar with these…

Jan 11, 2021

bootstrapindex, a Python Package with Walk Forward Analysis and Block Bootstrapping capability

Jan 11, 2021

Published in

DataDrivenInvestor

Deploying 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, 2020

Deploying a hedging feature for foreign exposure in fully automated algorithmic trading system

Dec 18, 2020

Published in

DataDrivenInvestor

How to place option spread (e.g. straddle) through Interactive Brokers API, a 101 tutorial

Recently, I was investigating an options spread strategy to exploit volatility risk premium in the market. I backtested the strategy with…

Dec 12, 2020

How to place option spread (e.g. straddle) through Interactive Brokers API, a 101 tutorial

Dec 12, 2020

Published in

DataDrivenInvestor

Performance 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, 2020

Performance monitoring component in my fully automated algorithmic trading system (Part 3)

Nov 15, 2020

Published in

DataDrivenInvestor

Plans for developing a trend following strategy in futures using continuous forecasts (inspired by…

Project motivation

Nov 11, 2020

Plans for developing a trend following strategy in futures using continuous forecasts (inspired by…

Nov 11, 2020

Published in

DataDrivenInvestor

Developing 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, 2020

Developing a performance monitoring component in my fully automated algorithmic trading system…

Nov 10, 2020

Published in

DataDrivenInvestor

Developing a performance monitoring component in my fully automated algorithmic trading system

It’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, 2020

Developing a performance monitoring component in my fully automated algorithmic trading system

Oct 6, 2020

Could volatility targeting increase risk-adjusted returns for quantitative strategies

Note: Man AHL’s framework in this paper is used in the write-up here.

Jul 29, 2020

Could volatility targeting increase risk-adjusted returns for quantitative strategies

Jul 29, 2020

Jirong

Jirong

I am a curious learner that is passionate about quantitative finance, economics, computer science and statistics. https://www.linkedin.com/in/jirong-huang-266b5

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