Challenged by a young CEO I wrote a terse CTA (Commodity Trading Advisor) investment strategy. I discuss the somewhat quirky background of my code fragment. Convex Programming opens the door to deeper insights into the 10 line strategy. I will boost the Sharpe Ratio and control both Kurtosis and trading costs.
Measuring the correlation to existing CTAs will show that the strategy is not far off the real deal. I will rely on Two Sigma's Beakerx platform, Python and Binder. This talk will be highly interactive and you are all encouraged to bring along your Laptops to compute along.
Don't miss this talk if you are a Winton, AHL, BlueCrest, or IMC Financial Markets fan.
You can run the software underlying this talk using docker
docker run -p "7777:8888" tschm/cs:latest
on your local machine.
You may not have access to docker. In this case run the software by launching the Binder service.