Why Bitcoin is the Ultimate Safe Haven Asset
In 2008, in the middle of the global financial crisis, Satoshi Nakamoto published a white paper describing the bitcoin protocol. The bitcoin blockchain then…
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Why Bitcoin is the Ultimate Safe Haven Asset
In 2008, in the middle of the global financial crisis, Satoshi Nakamoto published a white paper describing the bitcoin protocol. The bitcoin blockchain then…
What is Bitcoin’s Correlation With Other Financial Assets?
I’m strongly considering entering into a substantial investment in bitcoin as part of my passively managed, fully long portfolio. Before I do that, I…
A Simple Machine Learning Model to Trade SPY
I have created a quantitative trading strategy that incorporates a simple machine learning model to trade SPY as part of my ongoing research in…
How to Apply Machine Learning to Trading
Recently, I have been interested in applying machine learning to trading. This post contains some of my thoughts regarding a framework for thinking about…
How to Measure the Performance of a Trading Strategy
This post contains some of the research I have done regarding how to measure the performance of a trading strategy. The immediate goal…
The Definitive Guide to Shorting Leveraged ETFs
This post documents some of my research in creating a trading strategy centered around shorting leveraged exchange-traded funds (ETFs). I present the following…
Reverse Engineering AQR’s Risk Parity Strategy
I’m going to start this post by saying that it makes no sense for anyone to pay management fees to get a return stream that…
How to Implement a Simple Risk Parity Strategy
When I worked at Bridgewater Associates, I regularly came across marketing materials about the theory behind risk parity and evidence that risk parity portfolios…
Index Front Running: What Happens When a Stock is Added to an Index?
This post documents some of my research on index front running. This trading strategy is simply buying stocks before they are added to indexes…
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This blog focuses on investing using an algorithmic, quantitative, and systematic approach.
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Trading StrategiesAll posts
How to Measure the Performance of a Trading Strategy
This post contains some of the research I have done regarding how to measure the performance of a trading strategy. The immediate goal…
Risk ParityAll posts
Reverse Engineering AQR’s Risk Parity Strategy
I’m going to start this post by saying that it makes no sense for anyone to pay management fees to get a return stream that…
How to Implement a Simple Risk Parity Strategy
When I worked at Bridgewater Associates, I regularly came across marketing materials about the theory behind risk parity and evidence that risk parity portfolios…