Category Archives: Finance

Making Pandas perform

I found that cleaning a time-series was taking longer than expected, the data being stored in a Python Pandas dataframe. With a few alterations to the way I was manipulating the data I was able to improve the performance so … Continue reading

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Rolling your own

In the previous post I discussed my attempts at replicating a trend following algorithm. This post takes a short step back to discuss a prerequisite of running a futures trading strategy, joining the individual series together to create a continuous … Continue reading

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Still trending

In a previous post I described my attempts to replicate the trend-following algorithm from the book Following the Trend by Andreas Clenow.  This post gives an update on my somewhat chequered progress since then. Introduction As a quick re-cap, trend-following is … Continue reading

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A look at MOOCs

I’ve followed a few online courses, or MOOCs, recently and I thought I’d give a quick summary of my experiences. Overview For the uninitiated, MOOCs are Massive Open Online Courses.  As the name suggests they are courses made available openly over … Continue reading

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Following in the footsteps of Following the Trend

I recently read the book “Following the Trend” by Andreas Clenow.  It gives explicit details about how to construct a trend following trading strategy on futures using simple rules, and explores in some depth the performance over a wide variety of asset … Continue reading

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