Market Maker's Blog

Algo-trading resources - online

On 29 August 2024 - tagged resources

Quantified Strategies #

Quantified Strategies

Quantified Strategies is a 'strategy zoo' that contains a lot of strategy ideas including their backtests. This can save you a lot of time and give you an intuition on what works and what doesn't. Basic strategies are free, but the best-performing (in backtest) are behind a paywall.

The problem is that the backtests often 'suspiciously' end a few years back at the precise moment when the strategy stopped being profitable. So you often have to re-implement the backtest only to find out that the strategy is not working anymore. Also some of the strategies appear to be overfitted to the backtest period.

Quantocracy #

Quantocracy

Quantocracy is a curated 'mashup' of contributed content, mostly analysis and backtests. The quality varies as anyone can contribute his work, but the breadth of the content is unparalleled. You can subscribe to their newsletter to get notified about new content.

Crypto Lake #

Crypto Lake

Crypto Lake is a hft market data provider for crypto markets. You can find a lot of "alpha" in their detailed data, but working with the hft data is not as easy as with eg. candles. The data contains eg. order book snapshots, trades, 1 minute candles or even order book deltas with millisecond granularity. This is great for short timeframe strategies that often offer highest returns and stability (sharpe 10+).

Crypto Lake also hosts an analysis-sharing github repo with a few useful jupyter noteboks and backtests contributed by their users and runnable on their data.

Podcasts #

I am not a big fan of receiving factual information via podcasts, but there are some notesworthy ones:

Other resources #

Have any other resources you would like me to add here? Drop me a comment on twitter: @jan_skoda

Also check out my book recommendations below ↓

New posts are announced on twitter @jan_skoda or @crypto_lake_com, so follow us!