Tag: trading

Mixture Model Trading (Part 4 - Strategy Implementation)

Post Outline * Chapter Goals and Outline * Links * Introduction * Mixture Model Trading Algorithm Outline * GMM Algorithm Implementation * Next Steps Chapter Goals and Outline * Use Part 3 - strategy research as a basis for algorithmic trading strategy. * Implement strategy using the Quantconnect platform. Links * Mixture Model Trading Github Repo * Part 4 Jupyter Notebook Link * Full Algorithm Python Script Introduction This notebook will walkthrough the algorithm implement

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Mixture Model Trading (Part 3 - Strategy Research)

Post Outline * Introduction * Links * Notebook * Next Steps Introduction This is the beginning of a three part series that I completed towards the end of 2017 as a learning module for Quantinsti.com. The purpose of the series is to demonstrate a research workflow focused around the theory and application of mixture models as the core framework behind a algorithmic trading strategy. Below is a quote taken from the README of the github repo: “The primary goal of this repo is to demonstrat

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Why I bought back into RDC ( UPDATED 3.15.2015 )

I'm going to keep this relatively short and sweet. Back in late December 2014 I bought ( RDC ) at a cost basis of ~$20 for the following reasons: * The bulk of RDC's most critical assets are contracted through 2015 and into 2016 * Strongest balance sheet (lowest debt leverage) compared to other offshore drillers in the industry * Management team considered best in industry * Long term buyers appeared to defend the $20 share price level * At ~$20 the price to book is an absurd 0.5! Simply

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What I Saw ( Week of 12.8.14 )

Tuesday of this week I expressed a mildly bearish sentiment regarding the broad market. Based on stock market internals including weakening market participation, the duration and velocity of the near vertical bounce off of the October lows it seemed increasingly likely that we would see some profit taking and some sort of correction. Let's see if this estimation was validated by the market. I would say it looks like market participants did decide it was a good time for profit taking/risk reduct

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What I'm Watching ( Week of 12-8-14 )

How long does equity optimism last without correction? Over the weekend I examined the market internals and came away mildly bearish at these levels. Extreme optimism and lack of participation among the broad indexes make this a week ripe for profit taking and I've been aggressive with my trailing stops etc during the last 2 trading sessions. When will OIL finally bounce? Have investors finally capitulated? I'm short oil via the Inverse ETF SCO ( wish I had more size ) however this has been a

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What I Saw ( Week of 12.1.14 )

1. Do the airline stocks and oil continue to trend strongly in opposite directions? ANSWER: Simply put, mostly yes. The below chart shows the following stocks ( OIL, AAL, ALK, JBLU, UAL ) relative to the broader market ( SPY ) over the last 5 days. Out of the 4 airline stocks chosen here, only ALK underperformed the market. Using OIL as a proxy for oil, investor sentiment is still negative, and some airlines stocks are continuing to benefit from the plunging price. 2. Do we see a continuation

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What I'm Watching ( Week of 12.1.2014 )

1. Do the airline stocks and oil continue to trend strongly in opposite directions? 2. Do we see a continuation of last week's sell off in small caps and does that translate to a mini correction? 3. When risk (high beta small caps/high yield) is sold do we see a continued bid in Utilities and Consumer Staples? 4. Keeping an eye out on high yield bonds ( HYG ) and Investment grade corporate bonds ( LQD ) for clues... What are you watching this week?

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