Author: Chen

Quantitative Trading by EP Chan (Notes Part 1)

Nov 5, 2021

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in Notes

Note that this post does not summarize everything that’s covered in the book. I am only summarizing what is relevant/new for me. Chapter 1: The Whats, Whos, and Whys of Quantitative Trading Daily work (for a semi-automated operation) Daily work (for a fully-automated operation) Monitor and intervene when software and connectivity broke down Chapter 2:…
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How to work with financial timeseries in Python

Oct 31, 2021

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in Python

How to download stock and option prices from Yahoo Finance How to export data to separate Excel sheets How to read from Excel files How to export data to separate CSV files How to read tables from HTML pages How to plot single series stock charts (line graphs, bar charts, candlestick charts) using the cufflinks…
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Covered Call Writing by Alan Ellman (Notes Part 3)

Oct 30, 2021

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in Notes

Here are some notes I took from the book “Complete Encyclopedia for Covered Call Writing” by Alan Ellman. I’m already familiar with how options work, so these notes only cover the new concepts I learned. I strongly recommend that you buy the book (it’s a good book) for more details and information. Chapter 9 –…
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The Lagrange Method for Optimization

Oct 26, 2021

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in Mathematics

The Lagrange method can be used to help us perform optimization by determining the relative weightage of each asset in order to minimize portfolio variance or maximize returns. First, we need to form a Lagrangian function L(x, λ) augmented by the addition of the constraint functions. Each constraint function is multiplied by a variable, called…
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Covered Call Writing by Alan Ellman (Notes Part 2)

Oct 25, 2021

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in Notes

Here are some notes I took from the book “Complete Encyclopedia for Covered Call Writing” by Alan Ellman. I’m already familiar with how options work, so these notes only cover the new concepts I learned. I strongly recommend that you buy the book (it’s a good book) for more details and information. Chapter 5: Portfolio…
Read more: Covered Call Writing by Alan Ellman (Notes Part 2)
The Wheel Strategy for Options

Oct 21, 2021

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in Notes

The wheel strategy = Sell Cash Covered Puts + Sell Covered Calls when assigned the stock Here’s a video discussing the wheel strategy: Rules: Only sell cash covered puts on stocks that you want to own Sell 30 to 40 days to expiry Sell options with delta = 0.3 Lessons: If you have 50% unrealized…
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Covered Call Writing by Alan Ellman (Notes Part 1)

Oct 16, 2021

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in Notes

Here are some notes I took from the book “Complete Encyclopedia for Covered Call Writing” by Alan Ellman. I’m already familiar with how options work, so these notes only cover the new concepts I learned. I strongly recommend that you buy the book (it’s a good book) for more details and information. Chapter 2 Covered…
Read more: Covered Call Writing by Alan Ellman (Notes Part 1)
Different Forms of Itô’s Lemma

Oct 10, 2021

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in Mathematics

Case 1: Function is in terms of X (Brownian Motion) Case 1a: F = F(X) Case 1b: F = F(t, X) Case 2: Function is in terms of Z Case 2a: F = F(Z) Case 2b: F = F(t, Z)
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Solving 2nd Order ODE

Sep 24, 2021

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in Mathematics

Case 1: Homogeneous Case 1a Case 1b Case 1c Case 2: Non Homogeneous To find yp, we make an educated guess using the method of undetermined coefficients. This works if d(x) is: Polynomial Exponential (i.e. Aekx, provided k is not a root of ay” + by’ + c = 0) Trigonometry (i.e. Asinkx + Bcoskx,…
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Solving 1st Order ODE

Sep 24, 2021

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in Mathematics

Case 1: x missing Example: Case 2: y missing Case 3: Variable Separable Example: Case 4: Linear Equations Verification:
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