10 Mar 2024 ·
13 mins
I look at some alphas for a crypto stat arb strategy. We use momentum, carry and breakout - simple price action features. I evaluate how 'good' they are: looking their mean returns across deciles, the info coefficients and how they decay over time. Then I combine these with 'hardcoded' weights to see the hypothetical returns of trading these signals frictionlessly.
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22 Jan 2024 ·
13 mins
Based off Avellaneda and Stoikov's 2006 paper, we simulate a market-making strategy that sets quotes off an indifference price: an offset to the midprice based on inventory. I calibrate the model in Python to sample L2 order book data. I learn basic limit order book mechanics and the problems of simulating a HFT strat. 📚
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31 Dec 2023 ·
10 mins
Based off Salomon Brother’s 2000 paper which showed how PCA on the yield curve can be used to weigh curve-neutral butterfly trades (theoretically) free of level and slope directional bias. I replicate the (no longer stationary, of course) PCA-weighted butterfly spreads on treasury yields from 2012-2022 in Python. ⚖️
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