87 lines
2.2 KiB
Plaintext
87 lines
2.2 KiB
Plaintext
{
|
||
"cells": [
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "ec753176",
|
||
"metadata": {},
|
||
"source": [
|
||
"# Notes"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "5a622bb3",
|
||
"metadata": {},
|
||
"source": [
|
||
"\"The largest block of time I need to spend is in the morning\n",
|
||
"before the market opens: I typically need to run various programs to\n",
|
||
"download and process the latest historical data, read company news\n",
|
||
"that comes up on my alert screen, run programs to generate the orders for the day, and then launch a few baskets of orders before\n",
|
||
"the market opens and start a program that will launch orders automatically throughout the day. I would also update my spreadsheet\n",
|
||
"to record the previous day’s profit and loss (P&L) of the different\n",
|
||
"strategies I run based on the brokerages’ statements. All of this takes\n",
|
||
"about two hours.\" - Quant trader morning routine"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "7aab1f0d",
|
||
"metadata": {},
|
||
"source": [
|
||
"**Defn** directional trades - long or\n",
|
||
"short only"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "152e6f82",
|
||
"metadata": {},
|
||
"source": [
|
||
"**Defn** dollar-neutral trades - hedged or pair trades\n"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "3bf5cdfc",
|
||
"metadata": {},
|
||
"source": [
|
||
"**Defn** dollar neutral portfolio:\n",
|
||
"\n",
|
||
"The market value of the long positions\n",
|
||
"equals the market value of the short positions"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "b7459bc6",
|
||
"metadata": {},
|
||
"source": [
|
||
"**Defn** market neutral portfolio:\n",
|
||
"\n",
|
||
"The beta of the portfolio with respect to a market index is close to zero, where beta measures the ratio between the expected returns of the portfolio and the expected returns of the market index"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "48aa401e",
|
||
"metadata": {},
|
||
"source": [
|
||
"Where can we find good strategies?"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "8ec7516e",
|
||
"metadata": {},
|
||
"source": []
|
||
}
|
||
],
|
||
"metadata": {
|
||
"language_info": {
|
||
"name": "python"
|
||
}
|
||
},
|
||
"nbformat": 4,
|
||
"nbformat_minor": 5
|
||
}
|