Robot Wealth – Trade like a Quant Bootcamp

Course Contents:
Week 0 – Enrolment and Initiation

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?
Intro Webinar Replay

Week 1 – Seeing the Market for What it Really is

Seeing the Market for What it Really is
Is Trading a Game We Can Lose?
Try to Lose at Trading!
Understanding the Mortal Sins
The Mortal Sin of Trading Too Much
The Mortal Sin of Trading Too Big
The Math of Trading Too Big: Compounding
The Math of Trading Too Big: CAGR
The Math of Trading Too Big: Volatility Drag
The Math of Trading Too Big: Volatility Estimation
The Math of Trading Too Big: Position Sizing
The Math of Trading Too Big: Google Sheets Exercise
The Mortal Sin of Trying to Be a Hero
Is Trading a Game We Can Win?
Price Discovery
Price Discovery: The Limit Order Book
Price Discovery: The Opening Auction
Price Discovery: The Regular Trading Session
Price Discovery: The Competition for Alpha!
Experimenting with Random Data
A High-Level Business Plan for Our Trading
TLAQ Week 1 Webinar Replay

Week 2 – Stonkingly Obvious High-Probability Edges

Stonkingly Obvious High-Probability Edges
Successful Trading Approaches of the Past
Approach 1: ETF Arbitrage
Approach 2: Market Making
Approach 3: Commodity Carry and Trend-Following (in the past)
Approach 4: Pairs Trading
Approach 5: Crypto Basis Arbitrage
Summary: What Do These Approaches Have in Common?
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
TLAQ Week 2 Webinar Replay

Week 3 – Inefficiencies and Where to Find Them

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
The Rebalancing Game
The Window Dressing Game
Looking for Evidence in the Data
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
Assignment: Create Elevator Pitches
Assignment: Rebalancing Game Data Analysis
TLAQ Week 3 Webinar Replay

Week 4 – An Ensemble of Strategies to Exploit Flow Effects

An Ensemble of Strategies to Exploit Flow Effects
The Window Dressing Game – Elevator Pitch
The Window Dressing Game – Data Analysis
The Window Dressing Game – Strategy Rules
The Rebalance Game – Elevator Pitch
The Rebalance Game – Data Analysis
The Rebalance Game – Strategy Rules
The Rebalance Game – Stock Reversal: An Alternative Implementation
Putting it All Together
Explore the Flow Effects App
TLAQ Week 4 Webinar Replay

Week 5 – Time-Varying Risk Premia and a Volatility Basis Trading Strategy

Time-Varying Risk Premia and a Volatility Basis Strategy
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
TLAQ Week 5 Webinar Replay

Week 6 – Portfolio Zen and The Fine Art of Sitting on Your Hands

Portfolio Zen and The Fine Art of Sitting on Your Hands
Get Clear on Your Objectives
Managing Strategy Volatility Contribution
The Real World: Constraints
The Real World: Not All Strategies Are Created Equal
The Real World: Adapting to Dynamic Conditions
Simulating and Sizing the TLAQ Strategies
Trading the Strategies
Relax and Trust The Market Gods
Are My Assumptions Still Valid?
What’s Next For Your Trading Portfolio?
There Will Always Be More Trades
An Invitation to Join RW Pro
TLAQ Week 6 Webinar Replay

Bonus Material: A Seasonality Trade in GLD and GDX

A Seasonality Alpha Trade in GLD and GDX