Update
Nobody I know follows this blog anyway, but here's the latest update from me:
CFA - done. long, broad, and useful only really for recognition.
CQF - done. very helpful. good introduction to stochastic calculus, MATLAB, wish there had been more ML/stats type work.
My systematic trading project is coming along nicely. I have quote-level tick backtesting working, which turned out to be quite important for testing the illiquid ETF basket mean reversion strategy I am working on. Long story short, the low-frequency and trade-only backtests dramatically overstated the edge here. I think there's still some nickels to be had, but it's going to require work on execution. I am working primarily in Scala, with RxScala combinators to build trading state machines and execution handlers. I am not yet sold on this approach, but I haven't yet hit any deal-breakers, so I'll carry on converting these callback APIs (ActiveTick this summer, Interactive Brokers next!) into Observables and see how it goes. If anyone is particularly interested in the RxScala APIs for ActiveTick or soon IB, lemme know, I'm not categorically opposed to open-sourcing them, but it would depend who was interested. Finally, I hope to be blogging a bit more here. Now that I am starting to add a UI to my black box app, there might be something to show soon (such as: appalling backtest results!). Cheers.











