by Qian Zhu and Tom Starke If you want to learn about things deeply, you need to break them. Sharpe Ratio is one of the top metrics used by traders and investors to evaluate their trading strategy/investment systems. It is often referred to as the ‘risk-adjusted performance measures’, which gives confidence to investors by comparing…
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Chat With Traders EP 147: Detective work leading to viable trading strategies, and the rise of AI. Dr. Thomas Starke and Aaron Fifield talk about things related to quant trading, strategy development and robustness, disruptive technologies, artificial intelligence, and quantum computing.
Note: the following post is purely to illustrate how to avoid pitfalls in trading. My motivation for this post was to give an example of mistakes that I have made myself all too often and I can fully appreciate how one would come to those conclusions. I’m sure that the authors are excellent in machine…
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by Mary Lin, Tom Starke and Michelle Lin This blog post is a revised edition of Tom’s original blog post with a newer data set. More information, source code & inspiration can be found here. Code for this blog post is in our Github repository. Options are complex instruments with many moving parts. Specifically, options are contracts…
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AI Pairs Trading System This system sees a Machine Learning twist added to a popular hedge fund & prop trading pairs strategy. Dr. Tom pushes the limits of MT4 to deliver a strategy like you have never seen before. This is a quant system from one of the best.
Dr. Tom Starke will give two presentations at the ODSC Global Data Science Conference in Bengaluru, India Introduction to Algorithmic Trading This introductory level workshop will give you the ability to navigate the world of quantitative finance. It will focus on core principles of rigorous statistical research, and try to teach overall intuitions so you…
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Dr. Tom Starke will give a presentation on 28 April with the title: Reinforcement Learning for Trading – Practical Examples and Lessons Learned Abstract Since AlphaGo beat the world Go champion, reinforcement learning has received considerable attention and seems an attractive choice for completely autonomous trading systems. This talk shows practical aspects and examples of…
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What is kdb+? Kdb+ is a powerful column based time series database. It is commonly used in investment banks and hedge funds around the world for extremely fast time series analysis. Kdb+ uses vector language Q, which itself was built for speed and expressiveness. Q commands can be entered straight into the console, as compilation…
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In the previous post we plotted a response surface of our strategy parameters and their PnL in order to assess if our choice of parameters is rational and not just a local maxima, which rapidly drops off as we move away from it. In this section we investigate how we can use machine learning to…
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In the last section we looked at bootstrapping by random sampling one of our best strategy PnL curves in order to determine how stable and reliable the returns are. In this section we will look at the response surface of the returns, that is the PnL with respect to the underlying parameters. In our case…
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