Blackarbs Retirement Strategy Algorithm Debut (Part 1)

/
Blackarbs Retirement Strategy Algorithm Debut (Part 1)

Blackarbs current mission is to create automated strategies with the goal of beating the market with superior risk adjusted returns. Originally, I wanted to illuminate some of the more hidden aspects of markets and investing that I found interesting and of value. Over time, that goal crystallized into creating a strategy or strategies that made (potential) superior performance accessible to investors of all types and demographics. To this end I believe we have finally created a flagship algorithm. 

Read More

Is it Possible to Know the Daily High or Low Intraday with 80% Accuracy?

/
Is it Possible to Know the Daily High or Low Intraday with 80% Accuracy?

This is an old concept concerning the opening range. The idea is that the opening range often sets the day’s high or low within the first hour of cash equities trading (9:30 am - 10:30 am EST). Recently a trader on [Youtube] made the claim that you can know with 88% probability the high or low of the day after the first hour of trading. He managed to successfully re-popularize the idea of using the opening range in a a more specific way than other methods.

In this article I set out trying to validate or reject this claim with the available intraday data I have. Ideally, if this claim is true, there should be a methodology or mechanical trading approach to exploit this phenomenon.

Read More

The Secret to Shorting Stocks

/
The Secret to Shorting Stocks

Misinformation is everywhere. Many people believe the key to successful short selling is simply the inversion of a successful long strategy. I also used to believe this, among other short selling myths.

This article will demonstrate the impact, just one of the revealed secrets to short selling, can have on your algorithmic strategy development.

Read More

Synthetic ETF Data Generation (Part-2) - Gaussian Mixture Models

/
Synthetic ETF Data Generation (Part-2) - Gaussian Mixture Models

This post is a summary of a more detailed Jupyter (IPython) notebook where I demonstrate a method of using Python, Scikit-Learn and Gaussian Mixture Models to generate realistic looking return series. In this post we will compare real ETF returns versus synthetic realizations.

Read More

A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 4)

/
A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 4)

Introduction

In this blog post we will review the simulated performances of a few UPRO/TMF strategy implementations using the Quantconnect platform. If you’re not familiar with the platform, it is an algorithmic trading platform that provides backtesting and live trading across of variety of asset classes including: equities, futures, forex, options, and cryptocurrencies. I like using the platform because of the access to a large number of asset classes, the development team is responsive and you can code strategies in Python (even though the underlying platform is built in C). The strategies’ performances are evaluated using pyfolio and ffn. Note that in some cases their calculations are slightly different.

Read More