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AWS Trading Part 2 - The Strategy

The code and diagrams for the strategy can be found on github. AWS Trading Part 2 Youtube video is here. Introduction In part 1 youtube video link we covered the data pipeline portion of the AWS trading bot architecture. I demonstrated how to set up your AWS environment, including creating a simple dynamoDB database to hold our price and strategy data. Then we walked through the data pipeline code in detail including how to grab the data and populate our db with it. In this post we’ll cover t

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New YouTube Series Launched: Building Your AWS Trading Data Pipeline!

I just published Part 1 of my new YouTube series, and I'm excited to share it with you all! After my recent post about automating trading strategies with AWS Cloud, many of you asked for a deeper dive into the technical implementation. Well, here it is! What's in Part 1? In this first video, we're tackling the foundation: configuring your AWS data pipeline and writing the Python code to make it all work. I walk through the exact steps I use in my own automated trading system, showing you how

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How I Automated My Trading Strategy Using AWS Cloud for Free (Part 1)

This year I launched a strategy subscription service for a long-only ETF strategy developed in house. I learned a lot through this process but I made several mistakes that pushed me to learn new skills and improve the product offering. In this series I will discuss my initial mistakes, and how correcting them led me to automate the system using AWS cloud and how you can too. Mistake #1 First mistake was not considering automation in the beginning. I had the script, I ran it daily, used the s

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Blackarbs Retirement Strategy Algorithm Debut (Part 2)

Join the growing Blackarbs Research Group Discord community here Get access to the strategy that has returned 48% live trading since November 2023 here (Updated: 2024-Mar-02) Recap In part 1 of the series, I introduced the blackarbs retirement algorithm, a long only leveraged ETF strategy meant to perform at or better than SPY (the market benchmark) with less volatility. I discussed the goals I set for the algo and how thus far in simulated backtests and live trading it has met those goals.

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Blackarbs Retirement Strategy Algorithm Debut (Part 1)

Join the growing Blackarbs Research Group Discord community here Get access to the strategy that has returned 48% in live trading since this article was written here (Updated: 2024-Mar-02) Mission Recap 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 crystall

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

Introduction 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 repopularize the idea of using the opening range in a a more specific way than other methods. In this article I set out t

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How to Get (Almost) Free Tick Data

Access to high quality, cost effective market data is a continuing problem for retail traders. I was recently told about the ongoing efforts of the startup brokerage “Alpaca”. The gentleman I spoke with said the API gave access to the tick data of thousands of stocks everyday and without cost. I thought it was too good to be true but recently I took a little bit of time to investigate. In this article I will describe the basic process to accessing the tick data, and some basic code I was exper

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Mean Reversion Strategies in Python (Course Review)

This post contains affiliate links. An affiliate link means Blackarbs may receive compensation if you make a purchase through the link, without any extra cost to you. Blackarbs strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. In this post I will be reviewing the course “Mean Reversion Strategies by Dr. E.P. Chan” (<—affiliate link, use discount code LONGSHORT for an additional 5% off at checkout). First off, f

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The Secret to Shorting Stocks

This post contains affiliate links. An affiliate link means Blackarbs may receive compensation if you make a purchase through the link, without any extra cost to you. Blackarbs strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. 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

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Introducing the Take Profits Strategy Subscription

Before I address the topic of this post, I want to provide a little background context for the new initiatives of Blackarbs. If you want to skip to the offer just click this link. The Beginning I started my career in finance, fresh out of college in 2008/2009, at a proprietary trading shop. At that time, I had very little experience trading, but due to the referral of a good friend, in combination with my background in low-stakes no-limit hold-em poker, I was able to land the job. It was an e

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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. To evaluate the similarity of the real and synthetic returns we will compare the following: * visual inspection * histogram comparisons * descriptive statistics * correlations * autocorrelations The data set we will

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

For newsletter subscribers this post is best viewed directly on my blog. Recap In Part 3 of the series we reviewed the relationship between returns and correlation of the 2-asset portfolio UPRO and TMF. The basic equal weight strategy was very compelling in terms of total return and CAGR. However, the strategy is susceptible to large drawdowns, especially in situations where US equities and long term bonds are out favor, for example in the 2015 and 2018 periods. We also went over some prototy

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