Formulaic Alphas (some announcements!)
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for those of you yet unaware…we released our final lecture of the Essentials in Quantitative Trading lectures:
We are increasing the price there…from about 250 to about 380~400? pretty soon. Just a heads up.
This post is our classic formulaic alpha report. But just a few updates. Since we have swung through a series of quant dev posts over the last few months, including quant backtesting, alpha modelling and encoding + no-code solutions…it’s time for us to go back to the other exciting stuff. I have been thinking about what to write on for the upcoming months…and I’m excited to say: we are going to talk volatility trading and everything under the sun.
To clarify, I now fall under the ‘retail’ group - and also have no experience working professionally at a volatility desk. Sure, I have some grasp of stochastic calculus, but I’m sure I’ll say some whacky or even incorrect stuff about volatility markets due to the inexperience. If you spot them - let me know! If you don’t….well eye everything suspiciously.
My personal goal is to develop an in-house `retail’ volatility desk. On here, I hope to slowly but steadily build out a systematic process of harvesting variance risk premia, and build out the quant research tools that helps one manage a volatility portfolio. As I work towards this goal, I hope to discuss and write the useful findings here in parallel.
To some extent - that was my goal for our readers so far - and I think to some extent…we have achieved that…but the system we have is mostly suited for quant research in the trading of linear products. Crypto, equities and what not. It would be completely unsuitable if we were to say, test ideas in the options market.
I am not going to lie - the task I set ahead seems a tad tall for me, but those who have been around long enough with me know that’s my style. We are going to embark on this, make something stupid, then iteratively improve…until we get something pretty nice…just like we did with our Russian Doll code. That definitely sounds exciting to me…I hope that excites you too.
We are going to figure out alot of things from scratch, for instance, like writing out the code for a option pricing model. Not for profitability…but just to get familiar with the option mechanics.
Sure, to some, this won’t be your cup of tea. We will still carry on with our market notes and formulaic alpha reports…and eventually we will swing back round to quant dev and all that.
Here is your report: (paid)