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Adriano
@rsvp
Moment-free, unbiased, efficient and robust estimator of Sharpe ratios both for Gaussian and heavy-tailed leptokurkotic price returns: https://github.com/amirsani/pySharpeRratio -- the key is the duration of drawdowns.
Adriano
@rsvp

Fed Funds forecast one-year out is 1.50% using forefunds('17z', '18z') so if the street is right about a rate hike at the December 13 presser, then 2018 looks like a very flat year in terms of US interest rates.

[Please see https://git.io/fedfunds for forecasting the Fed Funds rate using futures contracts on LIBOR.]

Adriano
@rsvp

In terms of the US bond market, the Fed will begin to reduce its assets from QE, and thus the market sentiment is extremely bearish. As evidence, here is the plot of get(w4cotr_bonds) which translates data from the CFTC Commitment of Traders Reports:
tmp-17u26-w4cotr_bonds.png

[The notebook https://git.io/cotr discerns how various asset classes are positioned in the market.] So overall for 2018, the yield curve is more likely to widen.

Adriano
@rsvp
fecon235 package for Linux: Arch, Debian, FreeBSD, etc. https://repology.org/metapackage/python:fecon235/information
Abkane23
@Abkane23
Hello! I've been trying to install the fecon235 package through the anaconda prompt but I get an error saying to distributions recognized
Adriano
@rsvp
@Abkane23 hi, fecon235 is not a conda package, but you got over the hard bump which is installing Anaconda, congrats! Now for the easy fecon235 installation FAQ, please see https://git.io/econ -- thus only git is needed to install and to pull updates.
Rishi
@RishiPSingh_twitter
Hi all - I'm Rishi founder of tiingo.com. I was told by a few members of the community some were looking to for data replacements. The api is available at https://api.tiingo.com. Will take a look at the repo tomorrow and see where I can help to provide optimizations and also make the API play nicely. rsvp/fecon235#7 . In the interim, looking forward to learning about everyone here. If anybody has some algo questions let me know. Was the first employee at AlphaParity, traded exotics, and treasuries, and built trading systems that realized sharpe of 2 on about 150mm before leaving that world. Will try to help where I can. Goodnight all.
Adriano
@rsvp
@RishiPSingh_twitter hi Rishi, I noticed the free API for Tiingo permits up to 20,000 requests per day on over 56,000 securities globally -- that's quite generous -- and thanks very much for your offer to help on our repo.
Rishi
@RishiPSingh_twitter
Ah - its limited to 500 tickers of your choice which is the only limit on that. My goal is to make it disruptive but also a sustainable business. So as time continues, we can keep offering more but keep prices as constant as possible. For those of you who want access to the crypto feed let me know. it does a few things that I think are important and often missed - like syncing the exchanges and keeping track of drifts of timestamps. E.g. one crypto exchange says trades are done 1-2 seconds in the future, let alone counting for the latency to pass the data over the internet
I want the API to exist a long time and be reliable but also be absurdly cheap :D
Adriano
@rsvp

@RishiPSingh_twitter Can the set of freebie Tiingo tickers be ETFs? For then we can get a nice span.

Time sync among the cryptocurrencies is important. There are a few interested in arb via the Bellman-Ford graph.

Adriano
@rsvp
hi, please comment here on APIs from various data vendors, esp. for equities data. For details, please see rsvp/fecon235#7 re: Disruption of equities data, due to pandas_datareader dependency on Yahoo and Google Finance, or simply emoji on the "Alternatives" to express your reactions. Based on your feedback, I will expand our get() function. Thank you!
Adriano
@rsvp
Here's a curated list of awesome libraries, packages and resources for Quantitative Finance: https://github.com/wilsonfreitas/awesome-quant -- Thanks @wilsonfreitas
Adriano
@rsvp
Treasury bonds can be summarized as having weighted average maturity of 5.73 years at 2.15% interest rate: see updated https://git.io/debtpop for more on US government debt.
Adriano
@rsvp
Expecting Bitcoin futures to start trading at the CME by mid-December. The contract size is 5 BTC. Initial margin estimated to be around 25 to 30%. Any hurry to see a notebook on this topic? The contango/backwardation should be interesting. No options on futures are planned for now.
Adriano
@rsvp
Update: Bitcoin futures approved by CFTC on two exchanges: Cboe and CME. Trading to start Dec 18 at CME with initial margin at 35% (note that hard daily price limits are set at +/- 20%).
Adriano
@rsvp
Update: Cboe Bitcoin futures to start trading Dec 10, contract multiplier is 1 bitcoin, see XBT specs. // Wondering if the CME's EFP facility will swap Cboe contracts as arb?
Adriano
@rsvp
Cboe Bitcoin futures: Initial margin estimated to be around 44%.
As of 2017-12-11T00:14:36Z, the volume so far 67 contracts, last price $15,730 for Jan 17 expiration. See http://cfe.cboe.com/cfe-products/xbt-cboe-bitcoin-futures
Adriano
@rsvp
Reminder: In our fecon235 notebook https://git.io/xbt Bitcoin is statistically analyzed as a financial asset. Just update it to get the latest volatility estimates.
Adriano
@rsvp
2017-12-11T04:14:10Z Cboe XBT/F8 Jan $18,380 on volume of 2091 contracts. Price has zoomed up 16.9% in the last four hours! Imagine the annualized volatility over tick data.
Adriano
@rsvp
2017-12-12T18:28:17Z Cboe XBT spread between H8 and F8, 18680.00-18545.00 implies annualized contango of +4.37% for Bitcoin, based on 85 contracts.
Adriano
@rsvp
Fed hike +25 bp as predicted, Fed Funds range: 125 to 150. Expecting some variation from the new Chair next year.
Adriano
@rsvp
CME Bitcoin futures, symbol BTC, has started up http://www.cmegroup.com/trading/bitcoin-futures.html -- in the first four hours 163 contracts traded on Globex, only for F8, i.e. the last Friday of January 2018.
Adriano
@rsvp
CME BTC spread between H8 and F8, 19270-19100 at settlement yesterday implies annualized contango of +5.34% for Bitcoin. Quotes and charts: http://www.cmegroup.com/trading/equity-index/us-index/bitcoin.html
Adriano
@rsvp
CME has raised their initial margin on BTC from 35% to 47%, quite understandably given the recent extreme volatility.
Brian
@BlackArbsCEO
I just read the notebooks on gaussian mixtures and boltzmann portfolios. I found it very informative and plan to implement some of the techniques. I have a couple questions about it:
  1. How has the boltzmann portfolio approach, performed in the wild OOS?
  2. Are the notebooks for parts 3 and 4 created yet?
  3. Who(where) should I contact(post) if I have more questions about the underlying mathematics and its interpretation?
Adriano
@rsvp
@BlackArbsCEO hi Brian, Boltzmann portfolios quantify risk more accurately than the usual Gaussian-based approach, and they are designed not to overfit the noise in the covariance matrix -- thus they perform better out-of-sample. Part 1: https://git.io/boltz1 Part 2: https://git.io/boltz2 Part 3 is not yet public: it covers the hyperparametization for intertemporal usage. Part 4 on the mathematics may point to a forthcoming paper instead of a Jupyter notebook. Post your questions here, many are happy to help.
Adriano
@rsvp

The pre-Xmas decline of over 25% in Bitcoin price in less than 24 hours induced a backwardation in futures pricing relative to spot. Easy to imagine a trading strategy somewhat like a put, given the borrowing rate against such assets.

But is it hard to imagine a call option one-year out at $50,000 strike? Some institution paid close to a million dollars in premiums last Wednesday for notional 275 Bitcoins (source: LedgerX CEO Paul Chou). The usual Black-* models should avoided to price this option, for the stochastic process is extremely non-Gaussian (Levy).

Brian
@BlackArbsCEO
@rsvp how would you/your team like to be credited/attributed for the work that you have done? I plan to build on, test, and incorporate your boltzmann portfolio approach in future projects and want to make sure I give proper credit where it is due.
Adriano
@rsvp
@BlackArbsCEO hi Brian, that's terrific -- just mention the repository at https://git.io/fecon235 which cites some acknowledgements. Your blog posts are very interesting, so we will look forward to your insights. How did your backtesting for Boltzmann portfolios turn out? Hope you figured out how to adapt the framework to statistical arbitrage... Happy Holidays!
Adriano
@rsvp
2017-12-30T02:23:14Z CME BTC spread between H8 and F8, 13970-13745 at settlement implies annualized contango of +9.82% for Bitcoin. Volume on the H8 side was 64 contracts, equivalent to 320 Bitcoins notional.
Adriano
@rsvp
2018-01-06T19:12:39Z CME BTC spread between H8 and F8, 16780-16790 implies annualized contango of -0.36% for Bitcoin, i.e. backwardation, given price increase of 22% since last week. Open interest on the H8 side was 67 contracts. F8 contract continues trading until the third Friday this month.
Adriano
@rsvp

Fed Funds forecast one-year out is 1.82% using forefunds('18h', '19h') so this implies two 25 bp rate hikes expected. The first presser by the new Fed chairman will be most interesting to see.

[Please see https://git.io/fedfunds for forecasting the Fed Funds rate using futures contracts on LIBOR.]

Adriano
@rsvp
... Jerome Powell will succeed Yellen as chair in Feb 2018. The first FOMC press conference will be held March 21. Then June 13, Sep 26, and Dec 19, 2018.
joaquind
@joaquind_twitter
@rsvp I installed fecon235 following all the instructions, but get ImportError: attempted relative import with no known parent package. Any suggestions?
Adriano
@rsvp
@joaquind_twitter hi, usually that error results from starting work from a directory which contains the __init__.py file. So, for example, start exploring in the nb notebook directory which does not include that file.
Haisam
@Haisam
Hiee every one
Adriano
@rsvp
@Haisam thanks for checking in... how's the application of Holt-Winters/EMA going?
Adriano
@rsvp
2018-01-23T20:05:13Z CME BTC spread between H8 and F8, 10425-10355 implies annualized contango of 4.06% for Bitcoin. After the recent "crash" the backwardation has disappeared. Open interest on the H8 side was 138 contracts.
Adriano
@rsvp

pandas_datareader v0.6.0 Release

Some new connectors for equities data. @bashtage released this 3 hours ago -- tremendous work!
Adriano
@rsvp
Surprisingly how little attention the media gave to SPX (S&P 500 index) all-time record highs this month of January 2018. Perhaps because the climb was like a boring clockwork. gemrat() computes the mean geometric annualized rate at +3.97% (volatility of 20.17% with kurtosis at nearly 15), data starting at 2008-01-01. The street talks of possible "melt-up" -- how would a blow-off phase and its expected duration be characterized statistically?
Mangiafuoco
@Mangiafuoco
Got some error in fresh installation: No matter, from which directory is called. File "D:\xxxxxxx\fecon235-master\fecon235.py", line 46, in <module>
from .lib import yi_0sys as system
ImportError: attempted relative import with no known parent package
Adriano
@rsvp
@Mangiafuoco hi, usually that error results from starting work from a directory which contains the __init__.py file. So, for example, start exploring in the nb notebook directory which does not include that file.
Adriano
@rsvp
Didier Sornette posted the thesis of his ETH student Jialang XI on FX hedging by genetic algo.
Adriano
@rsvp
@omartinsky wrote a post (2013) on Black-Litterman model for portfolio reverse optimization which includes a Jupyter notebook: http://www.quantandfinancial.com/2013/08/black-litterman.html
Adriano
@rsvp
Finally polished... notebook https://git.io/infl gives an in-depth analysis of inflation, including a combined forecast using three orthogonal methods. Inflation rate likely to move up to 2.33% in a year. Comments?
Adriano
@rsvp
Add foreinfl() to forecast Unified Inflation. The best documentation for this function is https://git.io/infl which shows how it was derived by interacting with data and plots. This single function distills the forecasting process derived in the notebook. It's further discussed in new Appendix 2.
Adriano
@rsvp
CME BTC spread between M8 and H8, 8260-8235 implies annualized contango of 1.21% for Bitcoin. Open interest on the M8 side was 12 contracts, so the spread market appears very shallow.
Adriano
@rsvp
All eyes on new Fed Chairman Powell this Wednesday 2018-03-21 for his FOMC presser at 14:00 ET. Many expect a rate hike delivered in plain spoken terms, in a style similar to William Martin (longest running Fed Chairman: two decades).
Steven Weaver
@stevenweaver
Should we be preparing our brokerage accounts in any particular way for the event?