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Robot Wealth – Trade Like A Quant Bootcamp
Effective, high-probability quant trading for the independent trader.
0 – Enrolment and Initiation3 Topics
Lesson Content
3 Steps
Welcome to Trade like a Quant
Logistics – Where Does it All Happen?
Welcome from James – What Do I want You to Get out of the Course?
1 – Seeing the Market for What it Really is Lesson Content 31 Steps
On Not F**king Spiders
Is Trading a Game We Can Lose?
Trading Too Often – Every time you trade you lose money
Trading Too Often – Exercise
Trading Too Often – Exercise Solution
Trading too Big – Don’t get Rekt
Trading Too Big – Exercise 1
Trading Too Big – Exercise 1 Solution
Trading Too Big – Sizing and Volatility Trade-Offs
Trading Too Big – Exercise 2
Trading Too Big – Exercise 2 Discussion
Trying to be a Hero
Try to Lose at Trading!
Understanding the Mortal Sins
Is Trading a Game We Can Win?
Edge, Expectation and Luck
Competition
Price Discovery – The Balancing of Supply and Demand
Price Discovery Examples
Price Discovery Examples: The Limit Order Book
Price Discovery Examples: The Batch Auction
Price Discovery Examples: Auction Exercise
Price Discovery Examples: Auction Exercise Discussion
Price Discovery Examples: The Regular Trading Session
Price Discovery Examples: The Constant Product Automated Market Maker
Price Discovery: The Competition for Alpha!
The Problems of Non-Stationarity and Adverse Selection
Understanding the Mayhem: Experimenting with Random Data
A High-Level Business Plan for Your Trading
2 – Stonkingly Obvious High-Probability Edges Lesson Content 23 Steps
Stonkingly Obvious High-Probability Edges
ETF Arbitrage
ETF Arbitrage: Exercise
ETF Arbitrage: Exercise Solution
Stablecoin Creation / Redemption Arbitrage
Stablecoin Creation / Redemption Arbitrage: Exercise
Stablecoin Creation / Redemption Arbitrage: Exercise Solution
Terra / Luna Arbitrage
Market Making
Commodity Carry (in the past)
Risk Premia Harvesting
Risk Premia Harvesting: Why are we confident in it?
Risk Premia Harvesting: Strategy Implementation
Risk Premia Harvesting: Strategic Sizing
Risk Premia Harvesting: Rebalancing
Risk Premia Harvesting Exercise: Design your Strategy
Risk Premia Harvesting: How you’re gonna screw it up
Risk Premia Harvesting in 2022: What happened?
Pairs Trading in Equities
Crypto Stablecoin Lending, Basis Effects and Other Yield Plays
Crypto Basis Arbitrage in Perpetual Futures
Summary: What Do These Approaches Have in Common?
3 – Inefficiencies and Where to Find Them Lesson Content 30 Steps
Inefficiencies and Where to Find Them
“Win-Win” Games
“Win-Lose” Games
Why Are Traders Prepared to Trade at Inopportune Prices?
The Competitive Market for Dumb Money Alpha
“Win-Lose” Games You Might Be Able to Compete At
“Elevator Pitches” for Inefficiencies
Edges and Strategies
Edge: Speed Advantage: HFT Latency Arb and AMM Arbitrage
Edge: Information Advantage: Discretionary Equity Investment
Edge: Front Runnin’ Flows: The FTX Leveraged Token Rebalance
Edge: Front Runnin’ Flows: Seasonal Regularities in FX, Stocks and Volatility
Edge: Dispersin’ Dislocations: Spreading, Curve Trades, Vol Arb, Liquidations
Edge: Positioning Imbalances: Trading Futures Rolls. Short Squeezes
Edge: Exploiting Mistakes: Corporate actions, Derivatives Pricing Mistakes
Edge: Behavioural / Structural Effects: PEAD and Crypto Trend
Exercise: Specify a Crypto Trend Strategy
Some Turn-of-the Month Flow Games
The Rebalancing Game
The Window Dressing Game
Looking for Evidence in the Data
The Window Dressing Game – Data Analysis
The Window Dressing Game Summary – Strategy Rules
The Rebalance Game – Elevator Pitch
The Rebalance Game – Data Analysis
The Rebalance Game – Strategy Rules
Explore the Flow Effects App
Exercise: Define your own strategy rules
4 – Working with Financial Data Lesson Content 12 Steps
Working with financial data
What data do you REALLY need?
Understanding how your data maps to the real world
Downloading daily price data from yahoo finance
Using ChatGPT to write code to pull data from free APIs
Very gentle introduction to running R in google colab
Validating Price Data
Dealing with daily log returns
Looking at seasonality effects over the whole data set
Looking at date subsets
Exercise: do we see this same effect for different, similar assets?
Summary: Working with Financial Data
5 – Research Mindset and Data Analysis Techniques Lesson Content 9 Steps
Data Analysis – Mindset and Techniques
Real-time research Example: Analysis of Equity VRP
Simple Analysis Techniques: The assumption of persistence: Lags, Leads, Overlaps and Scatterplots
Simple Analysis Techniques: Time Series Return Prediction
Simple Analysis Techniques: Cross-sectional Return Prediction
Simple Analysis Techniques: Luck and Stability
Simple Analysis Techniques “What else would explain this?”
Consolidation – Review of techniques used
6 – Simulation, Portfolio Construction and The Fine Art of Sitting on Your Hands Lesson Content 13 Steps
Simulation
Simulation Example: RP Harvesting
Simulation Example: Window Dresssing
Simulation: Doing Statistics Even When You Suck at Math
Portfolio Zen
Get Clear on Your Objectives
Managing Strategy Volatility Contribution
The Real World: Constraints
The Real World: Not All Strategies Are Created Equal
Simple Portfolio Example
Relax and Trust The Market Gods
There Will Always Be More Trades
Guide to the Bonus Material Lesson Content 1 Steps
Guide to the Bonus Material
Bonus Material: Embrace the Mayhem Videos Lesson Content 11 Steps
Embrace the Mayhem Initiation Intro
(The Only) Two Ways to Make Money Trading
Collecting Risk Premia
Exploiting Market Inefficiencies
(The Only) Two Ways to Make Money Trading – Summary
Pick the Easy Games
The Easy Games – A Taxonomy of Edges and Strategies
Pick the Easy Games – Summary
Run it Like a Business
Run it Like a Business – Summary
Trade More Sh*t
Bonus Material: Options, Volatility, Tail Hedging and Navigating Market Chaos Lesson Content 16 Steps
Introduction
Volatility Dynamics
Options and Implied Volatility
The VIX Index
VIX Futures
VIX Basis Dynamics
A Dynamic Model of the Basis
A Dynamic VIX Basis Trading Model
Volatility of Volatility as a Predictor of Volatility Returns
Putting Strategy Rules Together
Dashboard and Strategy Simulation
2022 Review and Alternative Implementations
Specifying a Time-Varying VRP Harvesting Strategy
Tail Hedging
Dealing with Chaos: A Market Crash Survival Kit
Bonus Material: Trading Strategies Covered in Previous Iterations of the Course Lesson Content 5 Steps
Crypto Basis Arbitrage: An Introduction to Forward Contracts and Futures
Crypto Basis Arbitrage: Cryptocurrency futures on FTX
Crypto Basis Arbitrage: Perpetual Futures on FTX
Crypto Basis Arbitrage: Perpetual Futures Basis Effects
Crypto Basis Arbitrage: Homework
Bonus Material: Exploratory Data Analysis Using Excel Lesson Content 5 Steps
Data Analysis 1: Get TLT Daily Prices from AlphaVantage API
Data Analysis 2: Calculate Day of the Month and Daily Log Returns in Excel
Data Analysis 3: Group by Day of the Month and Plot Mean Returns for Each Day
Data Analysis 4: Explore Date Subsets and Look for Consistency of the Effect
Data Analysis 5: Time Series Plots
Bonus Material: Market Basics Lesson Content 12 Steps
Two Fundamental Concepts
The Stuff We Can Trade
Embracing the Mayhem
You’ll Never Figure It Out
The Paradox of Market Efficiency and Randomness
Embracing the Mayhem – A Practical Summary
What is the “Price” of a Stock?
The Limit Order Book
A Trading Day – Trading GE on the NYSE
The Pre-Open and Opening Auction
The Regular Trading Session
Log Returns
Bonus Material: Doing Financial Data Analysis in R Lesson Content 3 Steps
Objects, Functions and Pipes in R
Tidy Data and Switching between Wide and Long Format
Financial Data Manipulation in dplyr for Quant Traders
Bonus Material: Examples of Real-Time, Exploratory Research Lesson Content 5 Steps
Real World Research Examples
Research Example – Cryptocurrency Trend Effects
Research Example- Intraday Cryptocurrency Return Patterns
Research Example – Wrap-up Trend, Seasonality and Momentum Effect Research
Research Examples – Summary
Bonus Material: Simple Cryptocurrency Research in R Lesson Content 6 Steps
An Introduction to Cryptocurrency Trading
Cryptocurrency Trading Module Logistics
Repeating Seasonal Patterns
Trend and Momentum Effects
Futures Basis Effects
Trade Execution and Idiosyncratic Effects
Bonus Material: Dynamic Sizing in Risk Premia Harvesting Lesson Content 10 Steps
Our Stonkingly Obvious High-Probability Edge: Risk Premia Harvesting
Some Things Just Go up (If You Wait Long Enough)
Universe Selection
Equal Weight Buy and Hold
Equal Weight Rebalanced
Simple Risk Parity – Managing Volatility
Predicting Returns and Return Volatility
An Introduction to Volatility Targeting
Volatility Targeting in the Real World
Our Simple Risk Premia Harvesting Strategy
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