Useful Tools

In this section I will be including Excel spreadsheets, Python or R scripts, and Matlab scripts which are useful in illustrating certain market concepts or performing relevant calculations.

SPY 12 Month Momentum Filtered Backtest in Excel

82.79 KB 118 downloads

Trading Like a Hedge Fund Manager Spreadsheet

38.69 KB 142 downloads

Solar Eclipse Strategy Backtest

9.6MB 40 downloads

Short EURUSD Option Backtest Spreadsheet

1.5 MB 51 downloads

Kelly Criteria Spreadsheet

1.4 MB 378 downloads

ForexFactory Python Script

1.73 KB 85 downloads

Most people are familiar with the term ORB (open range breakout). It was popularized by Toby Crabel’s book “Day Trading with Short Term Price Patterns and Opening Range Breakout”, as well as the The Logical Trader: Applying a Method to the Madness (Wiley Trading) by Mark Fisher. ORB uses the price range set at the start of a trading period to determine the future price moves, using a breakout-style approach. In this article we’re going to apply this principle to the FX market using a who… Read more

How to Trade the Start of the Year: Guide to Stress-Free Positioning

Kelly betting is an optimal approach to allocating capital to your system. In this article I want to show you how to apply this approach to your trading, and more importantly what kind of interesting questions you can answer using the ideas behind Kelly betting, in particular: “How long does it take to double my money?” First let’s start out with a simple example and progress to actual markets and trading systems. The example is as follows, and tends to be an interview question for a… Read more

Kelly - What Is It and How to Use It

Market timing refers to the fact that by judiciously choosing entry and exit methods in a given market you can out-perform buy-and-hold. The first question of course is why you should buy-and-hold in the first place. The idea stems from the equity markets. Historically they have risen. The famous chart of course is the S&P 500 over the last 65 years:
S&P 500 since 1965
So why should this happen? Economic reasoning is behind this argument. Long term macro and micro economic gro… Read more

Market Timing

In this second part of the Mean-Reversion in Equities series we’ll cover the reasons behind why mean reversion works in various market regimes. In the previous article we combined the idea of looking at two consecutive down-days combined with buying the S&P 500 while it was below its five day moving average. A question that stands out: why does it work so well? And, will it ever stop? The answer to this question lies at the heart of developing good trading strategies.
What’s a … Read more

Equities Mean Reversion and Market Regimes

High Frequency trading has become both the poster-boy and the scapegoat over the last couple of years in trading circles. It’s been seen as a sure-fire way of making money, as well as a sneaky way the flash-boys tax all the other participants in the market. In this article I want to cover some of the basics of High-Frequency Trading, as well as how it applies to trading from your “Living Room.” An example of such trading from your own private realm is the following P&L chart showing profits i… Read more

High-Frequency Trading from your Living Room

Of all things on this planet?! Aren’t they boring? Not explosive enough? Isn’t this stuff what old people invest in? Also, aren’t they supposed to start to sell-off? And how do you get your hands on these over the counter instruments. In the first article of this series on Creating Profitable Trading Strategies we started with the premise that you need to look at assets and their underlying biases. We covered equities. They’re exciting. Buffett makes 19.1% a year on them. An… Read more

Why Would You Want to Invest in Bonds?