Recent content by sef88

Trade small for short volatility strategies. Assume the worst.

It may be tough to put a zipline framework into production without a platform such as Quantconnect. It may be also tricky to store backtested parameters in personal databases. Also, I'm unsure if tensorflow is appropiate. It's cool to test all the ML algorithms. But when money is on the line...

Yea some errors might creep up. Hence periodic diagnostics reports (through email or telegram or slack) are quintessential. Probably have to include more engineering safeguards; triangulate with different data sources. Depending on your portfolio size, you may also want to introduce a...

Built something last year. May be useful for starters. Not meant for workflow and systems that requires streaming data. https://medium.datadriveninvestor.com/designing-and-building-a-fully-automated-algorithmic-trading-portfolio-management-system-6945c6c87620

In this case, your best bet is to first look at empirical data of that particular index/ equity to estimate the probability of success/ failure. Next extend it to other indexes or equities of same nature. Also, go beyond empirical data and estimate parameters and simulate fat tail events. Last...

Selling options generally have positive expected value.

Python

There are ways to obtain high Sharpe (talking about 10-100) market neutral returns not possible in traditional markets. One key risk is platform risks which you could mitigate by assuming redundancy across network of platforms. Another risk is regulatory risk.

Hi all! My poor attempt in replicating some of Rob's work during my 6 mth sabbatical. - Write-up - Git repo - Jupyter notebook Unfortunately, I can't take this further in my own capacity because of certain restrictions in my new job. Cheers, JR

Brokerages will usually add further costs on the rates. So futures still make more sense. https://www.interactivebrokers.com/en/index.php?f=46376

CME? For me I hedge my home currency, USD/SGD risk in SGX.

Just thinking from perspective of shorting a currency and you incur a negative balance in interactive brokers. Then you would have to pay overnight interest. Whereas for futures, you don't have to pay if there's no change in spot.

Use futures, you will save on the costs.

Strangle?

Systematic trading or Leveraged Trading by Robert Carver.