Michael's blog

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Feature engineering is a make-or-break step in the machine learning pipeline, but even seasoned practitioners can fall victim to a subtle yet devastating mistake. While labeling or transforming data may seem like a straightforward task, a common pitfall lurks in the shadows, waiting to undermine your model’s performance in ways you might not expect. This often overlooked issue can lead to a phenomenon known as “look-ahead bias,” where your model inadvertently gains access to information it shouldn’t have during training. In this post, we’re going to talk about what this pitfall exactly is and how to address it.

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Testing APIs with OAuth 2.0 authentication can be a complex task, but Postman simplifies the process by providing built-in support for various OAuth 2.0 flows. Postman seamlessly complements OAuth 2.0 authentication, allowing developers to easily configure settings, obtain access tokens, and manage token lifecycle. In this post, we will quickly go through this process by utilizing the Postman software.

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In my previous How2 column Connecting My Trading Strategies To Interactive Brokers, I shared how to set up the Interactive Brokers API connection through the Trader Workstation (TWS) on the local machine. However, the enforced rules like daily auto restart and weekly log-out can be a hassle if you are away from your local machine for many days. In this article, we’ll leverage the power of docker to free you from managing your locally-run TWS attentively.

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As is known to all, diversification is the key to managing the risk of your investment. However, it’ll take a lot of effort and time to hand-pick quality assets that have little correlation with each other. In the Hybrid Asset Allocation trading strategy, Wouter J. Keller and Jan Willem Keuning actually brought up an easier way to introduce diversification into the trading strategy. In this article, we’re going to first talk about HAA strategy and see how it boosts the diversification of our portfolio. Then, we’re also going to backtest the HAA (Hybrid Asset Allocation) trading strategy and several of its variations against the benchmark.

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The best ideas are often inspired by or adapted from the work of others. Likewise, profitable quantitative trading strategies are not necessarily original, but they can be generated by adding personal insights regarding the market or strategy itself. In this post, I’m going to introduce the process that I usually do when discovering a prospering trading strategy.

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In this article, we will discuss how sentiment analysis impacts the financial market, the basics of NLP(Natural Language Processing), and showcase how to process the financial headlines by batch to generate an indicator of the market sentiment.

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Backtrader is a well-known Python open-source library to backtest your quantitative trading strategy. Most of its components can support trading against one single trading target. To step up the game to trade against multiple stocks, there are a few things that need to be fine-tuned to make sure the trading strategy would trade as you expected. In this post, I’m going to share my experience and crucial tips with you as a starting point to build your own.

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In the last post, we learned the basics of performing the pair trading strategy and using cointegration as a method to identify the potential tradable stocks pair. All the theories and the math formulas are so seemingly promising and convincing enough for us to believe it’s a profitable and stable trading strategy. But is it? In order to test and check the profitability and effectiveness of this strategy, we need to backtest this trading strategy to simulate real-world scenarios.

Cointegration is a statistical technique to find out whether a time series closely follows the movement of the other time series. Therefore, it becomes an important technique in the pair trading strategy for us to determine the right stock pair to trade with. In this post, we’re going to see why traders prefer using the cointegration test over the correlation test in pair trading, and whether the cointegration test results can boost our trading performance.

In the last post in this series, we’re going to look at some questions that I discovered while working on connecting to Interactive Broker API. Some of them are due to the obscurity of the configuration and hard to find the right place to configure them, and some of them would need the extra tool to resolve. I put all of them down into one post and share it with you.