Extracting Structured Datasets for Systematic Strategies from Unstructured Textual Sources: Brain…Natural Language Processing (NLP) is a broad field that enables computers to process and analyze unstructured textual data. In this…Jul 11Jul 11
Is There Alpha in Borrow Fees?Borrow fees reflect how likely short sellers think a stock is to decline. Can this information be incorporated into trading strategies as…May 16May 16
Cloud or Local: Where to Run Your Quant Trading?Is it better to run your quant trading in the cloud or locally? In this article, I outline the pros and cons of each approach and explain…Nov 30, 2023Nov 30, 2023
Market Cap vs Dollar Volume: Which to Use for Universe Selection?Market cap and dollar volume are two commonly used metrics for filtering a trading universe by size of security. Does it matter which one…Oct 20, 2023Oct 20, 2023
Researching the Quality Factor with Alphalens and ZiplineBuying high-quality stocks and avoiding low-quality ones can improve investment returns. In this post, I use Alphalens and Zipline to…Sep 28, 2023Sep 28, 2023
Financial Distress Factors: the Altman Z-Score and Interest Coverage RatioAre rising interest rates straining balance sheets and increasing the risk of bankruptcies? This article investigates two financial…Sep 7, 2023Sep 7, 2023
Sector Neutralization: Why It Matters and How to Use ItSector neutralization is a technique to hedge out sector bets and reduce the impact of sector-specific risks on the portfolio by ranking…Aug 22, 2023Aug 22, 2023
Why Backtests Run Fast or Slow: A Comparison of Zipline, Moonshot, and LeanBacktest speed can significantly affect research friction. The ability to form a hypothesis and quickly get an answer from a backtest…Aug 8, 2023Aug 8, 2023
What’s Better, High Profit Margins or Improving Profit Margins?Should investors prefer companies with high profit margins or companies with improving profit margins? Is it better to own an unprofitable…Jul 13, 2023Jul 13, 2023
Analyzing the Profitability Factor with AlphalensHow does a company’s profitability affect its stock returns? In this post, I use Alphalens, a Python library for analyzing alpha factors…Jun 28, 20231Jun 28, 20231
