Index

Abraham Wald principle

Airtable

setting up

ArcticDB set-up

Arctic database utility functions, defining for data retrieval,

Assets Under Management (AUM),

Augmented Dickey-Fuller (ADF)

absolute method

historical downside protection

ineffective at decreasing correlation, with benchmark,

ineffective, at reducing volatility

lesser investment vehicles,

active money

apocalyptic position sizing

averaging down,

equal weight,

high conviction

liquidity

Bullish/Bearish regime

for absolute/relative series,

beta

average returns by sector, calculating –

average returns, calculating for top and bottom 5 betas,

beta momentum strategy, simulating –

calculating, from historical prices across S&P 500 constituents –

borrow utilization

Capital Asset Pricing Model (CAPM)

Commodities Trading Advisors (CTAs)

certainty of ruin

classic asset allocation algorithm

equal weight

Hierarchical Risk Parity (HRP) –

maximum diversification,

Maximum Sharpe ratio

mean-variance optimization,

minimum variance

podium –

risk parity,

running,

running, across 6 strategy permutations –

closet indexing

concentration

paradox, of low-volatility returns

ratio, of big to small bets

crowded shorts

currency adjustment,

ccy_df, for converting prices into USD,

cumulative returns, calculating in USD,

heatmap function, building,

historical prices, downloading in local currency –

table of returns, building

Disney (DIS)

Dynamic Exposure Allocation (DEA)

clip exposures

implementation –

portfolio elasticity envelope

risk oscillator,

strategy failure geometry

temporary boost

data manipulation

across investment universe –

across S&P 500 –

directional hedge funds

dynamic risk appetite management –

Efficient Market Hypothesis (EMH),

Exchange Traded Funds (ETFs),

earnings per share (EPS)

exchange exposure

fixed dollar/percentage position sizing –

fixed risk position sizing –

fractals

on intraday data,

one-minute data resampling –

using, in production –

fundamental analysis,

valuations –

General Electric (GE),

General Motors (GM),

Global Industry Classification Standard (GICS) sector

Goldman Sachs (GS),

Great Financial Crisis (GFC), ,

gain expectancy

geometric brownian motion (GBM),

gross exposure –

functions, defining,

heatmaps,

high dividend yields –

JP Morgan (JPM)

Japanese yen (JPY)

journaling

Kalobios (KBIO)

Kelly criterion –

Long-Term Capital Management (LTCM), ,

laggard indicator

left-skewed strategies,

legal price control scheme

long/short toolbox

market participants

market value

martingale

maximum drawdown tolerance –

mean reversion strategies –

pairs trading –

methodologies, defining

average crossover, moving,

breakout/breakdown method –

composite score –

floor and ceiling method –

fractals, , –

higher lows or highs –

turtle traders,

mixed skew strategies –

net asset value (NAV),

net beta –

net beta-weighted exposure

net exposure, –

Open High Low Close (OHLC)

pairs trading

across, sectors of S&P 500 –

position sizing,

arctic database, defining,

continuous signals, for each stock

data retrieval, from arcticdb,

dataframes generation,

fixed dollar/percentage position sizing –

fixed risk position sizing –

functions, defining –

Kelly criterion –

libraries, importing

local currency, converting to USD

relative series, for each stock

utilities functions, defining,

price to book ratio (PBR), ,

price to earnings (PE)

psychology journal analysis

computed fields, patching to Airtable

data merging

data, computing

functions, computing –

load_journal_session,

psychology journal, AI analysis

monthly synthesis

recurring themes and suggestions

streak recovery

strengths and reinforcement

weekly analysis

Relative Strength Index (RSI)

relative weakness method –

consistent supply, of fresh ideas –

cost of borrow fees, reducing,

currency adjustment,

low-correlation product, providing

low-volatility product, providing

non-confrontational

scalability

returns, modelling

baseline, plotting –

drawdown persistence

individual failure modes –

left skewed strategy

left tail shocks, injecting,

libraries, importing

market regimes,

mean reversion strategy

persistent drawdowns, injecting,

portfolio level failure –

right skewed strategy

structural breaks

tail shocks

trend following strategy –

right skewed strategies,

S&P 500 index

constituents, downloading,

SMART goal

sector averages –

sector exposure

unique mandate, designing,

sector rotation, , – ,

aggregate average by sector, calculating along horizontal axis

cyclicals, versus defensives,

sector averages, plotting for absolute and relative series,

share buybacks

short ratio –

short sale restriction (SSR)

short selling,

myths –

short-selling game

algorithmic sport,

playing

signal module

entries

exits

smooth equity curve,

implementation challenges

uncorrelated returns

soft patch

stock market,

complexity, dealing with

finite game

infinite game,

randomness, dealing with –

short-selling game

stock specific problems

survivorship bias

Tesla (TSLA)

Tokyo Stock Exchange (TSE)

TradeLog analytics

consecutive loss analysis

drawdown analysis

maximum adverse excursion (MAE)

records, loading from AirTable

three functions, using together

TradeLog table

creating,

forms, creating,

journal table, creating,

Two Strategy Archetypes

combined or mixed skew strategies –

left-skewed strategies,

right skewed strategies,

temporary mispricing

trade reconciliation

.env file, creating,

_seed_portfolio,

_split_trades,

_write_missed

_write_override

Airtable helpers –

load_csv

position handlers –

running

sample data,

setup,

trader psychology

Abraham Wald principle

analytics journal

journal, as debugging tool,

journaling

psychology journal

six beliefs,

trading edge –

rudimentary strategy simulation –

signal module

trading edge formula

information edge

statistical edge

technological edge

trend following strategies –

U.S. Securities and Exchange Commission (SEC)

utilities functions –

volatility –

raw volatility –

standard deviation and ATR –

weapon of mass short destruction (WMSD)

yfinance library

historical prices, downloading