haven't threaded in awhile - here's one on VOLATILITY ESTIMATORS 🧵🧵🧵:
- close-to-close estimator
- parkinson estimator
- garman-klass estimator
- rogers-satchel estimator
- yang-zhang estimator

so... let's begin with some definition. what is an estimator? an estimator is a statistic computed from sample data meant to approximate some, usually unknown, population parameter of a random variable.

Intuitive Guide to Trader Position Sizing 🧵

A significant beginner headache relates to position sizing...you watch a video, they tell you some rules, but how big or small should you size? Many technical traders use stop losses, ATRs and all sorts of complicated relationships The portfolio managers keep it simple: volatility targeting. This thread is an intuitive explanation of volatility targeting.

A thread🧵of our free resources/papers including code in the past year:
Python Data Service Layer:
hangukquant.substack.com/p/data-service… Python Backtester w Vol Targeting:
hangukquant.substack.com/p/targeting-ri…

In this post, we add on to the market notes (Chapter 12.7) on change of numeraire methods for continuous time treatments to stochastic calculus. In the next market notes, we introduce computational concepts in linear algebra on Euclidean spaces
hangukquant.substack.com/p/change-of-nu… (we will make this available for all readers) - this sets us up with the machinery and terminology required for talking about the mathematics of multiple random variables.

We have a momentum strategy of moving average pairs, and our Sharpe was 1.10. We are interested in questions like;

i) what is the probability of getting Sharpe 1.10 or better if we went long as often but at random timings as opposed to our rule based timing? (asset picking) ii) what is the probability of getting Sharpe 1.10 or better if we went long some other asset B when our rule said to buy A? After all, markets are correlated. If we are good at timing (smart-beta), what is our alpha component of the total return?

As @therobotjames put it, often when people say they give away alpha, they rarely are. Here's an exception: I am discussing one of my event driven trades live ON TWITTER (probably a bad idea, but HangukQuant is now 2000 readers and I am celebratory). HERE GOES: Singapore's monetary policy is the S$NEER, a managed float FX trade weighted againt a basket of trading partner currencies. 2 policy statements a year, and monthly updates on true values of S$NEER. When SGD exceeds policy bounds, central bank intervenes.

end of quant tool series with HangukQuant. Take your Python programming skills to the next level with these resources:
Note that these resources are fairly detailed, not difficult but also so comprehensive that they will require resilience to sit through and study. There is no avoiding hard work here, unfortunately.

Fluent Python is a great book for understanding Python basics, internals and mechanics top to bottom. This will give you knowledge of the language itself.

While equity hedge funds struggle in the past 2 years, apparently dumb #CTA money seeing great returns and chugging along - increased my trend/managed futures exposure way ahead into this ‘crisis’ - I don’t care about complexity when it comes to money! Easy money is better…TREND FOLLOWING will continue to see some outsized performance in this divergent market - their returns are: price stickiness. Trend returns in commodity futures can be decomposed into roll yield and spot change. Term structure slope enforces trends!

In korea, there is a game called the `ladder' game. Friends asked me how come the results always lead to a one-one mapping in terms of ranking. heard of the game @saanglee ?

If only they read simple mathematical proofs for invertibility...haha basically you draw a ladder like this, and each number will be mapped to a unique letter, no matter how you draw it.

We can easily proof this: we want to show that two numbers cannot map to the same letter. Suppose not. Then there exists two numbers pointing to same letter.

We implemented a fully functional database service with PyMongo as our driver, and integrate it with the data retrieval service this week. This version of the paper adds 30 pages of discussion and code implementation, totaling a 55-page report.

(post linked, GIVEAWAY below) In the next report, we cover topics in asynchronous programming, multi-threading, batch processing, reducing network trips and HTTP handshakes to increase read-write throughput.

From the first 100 RTs, we will pick 5 for full access to v2 paper, and another 5 for full access to

Few days ago, I posted out 20 pages of free code for data retrieval, making a data service layer. Full version is out now. Sample invocations:
Next up is to discuss challenges involved during this mini project, and the design of database systems in relation to issues discussed. - I would likely show integration with a NoSQL DB (not decided yet). If you like the content and want more free previews of code, please help to share and RT! Love whoring for all the attention I get from strangers :)

HangukQuant is 1Y OLD! Some comments/announcmenet
1. We are very thankful for the support of > 1500 passionate traders.
2. We will be pivoting our stance towards stringent code policies and be more liberal about what we share with our readers

hangukquant.substack.com/p/1-y-annivers… 3. We will be sharing more compiled resources, including code, alpha ideas, test results, food for thoughts and disseminating them as digital books
4. We will be discussing a broader range of topics, both in terms of systematic trading processes and discretionary approaches.

got some questions asking about combining quantitative equity forecasts and discretionary forecasts with options - I don't particularly have a solid framework around it. but I think I want to stress a point brought up by @therobotjames and @SinclairEuan around option in that if you intend to use equity long triggers as some muddly way of shorting puts then you are getting into a grey area where you cannot distinguish whether the pnl is coming from the equity models or the variance premia

Stars Aligned in the East of Asia; Chinese Equities?
Here’s 7 reasons why I am looking at the Chinese market, and some malleable thoughts. 1. Russia vs Ukraine

The moratorium of exports out of Russia into the Western World undoubtedly causes upward pressure on energy prices and commodities alike. Everything tangible goes up. Meanwhile, China and Russia are holding hands and ramping up international trade.

Reading De Prado again - the same cycle we follow for alphas: embargo, paper trading, graduation, reallocation and decommission. I commented a little the reallocation in my SS, and effectively about having tiers in the attractiveness of strategies. The tiered approach effectively Is also (approximately) concave in signal allocation as a function of time.

Exhibition Alpha: Full post in thread link:

Exhibition Alpha 3: (Full Report linked in thread)

Alpha Review: (full report linked) 10-19

Live Sharpe EQUAL: 1.6
Live Sharpe MEAN: 0.8
WIN v LOSS: 6 ; 4

Download full post/subscribe link below:

One of the things I would advice people starting out in quant/systematic trading is to first spend minimum of 6 months to a year to build out infrastructure for doing research When you are actually trading love you want to reduce the latency between ideation and research to implemention

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