I hope to share my own personal findings and research about the markets. There will be rants at times but I, nevertheless, hope valuable discussions spark between my readers and I. I humbly hope my little blog can enlighten and inform…and in the process learn something myself!

Currently working as an algorithmic trader within a Chicago trading firm. Focus mainly on high frequency market making and relative value strategies.


“Others had greater minds than me, but they accomplished less because their method was not as good.” – Rene Descartes

“Learn the rules like a pro, so you can break them like an artist.” – Pablo Picasso


The content of this blog is provided for informational purposes only. Nothing herein should ever be considered investment advice or recommendation to buy, sell or hold any securities. Simulated past performance of trading strategies does not necessarily accurately represent future performance. All information herein is not guaranteed to be error free. All trading decisions you make should be your own based on your own analysis and you should accept full responsibility for the profits/losses incurred during actual trading.


  1. Can you provide your contact email so i can inquire about the Shiny app you put together for the guys at Macquarie? I would love to be able to have you do some work for us.

  2. Hi,
    Nice set of blog postings.
    I was wondering if you make available your R-code to help in trying to reproduce your examples. I’m familiar with SIT code, for what it’s worth.

  3. I’ve used the XLE, UNG,USO 3 way pairs trade to build a platform that trades the relative strength and momentum between the 3 ETFs. When all 3 are downslope the model goes to cash. A polynomial to the 6th degree is applied to the equity curve and used as a money management stop. The model rebalances on a daily basis at the end of day.
    A post related to the model can be seen here:

    More info on the M3 platform can be seen here: It was originally designed to trade SPY and XIV using the alignment of SPY and XIV momentum but can also be used with the Qs or other applications such as the XLE model.

    The Mosaic TrendX site features a real time data feed and is free.
    It helps to provide a quick visual snapshot of what M3 is all about.

    Best regards,

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