What is quantitative trading about?

Pavel Hála | Quantitative trading | 3. 6. 2015

What does quantitative trading actually mean? First, I must point out that this designation conceals many trading techniques on various types of assets using different trading frequencies. The unifying element (according to me) is the use of data mining methods, i.e. bulk data processing using custom algorithms, subsequent visualization (plotting), or searching for patterns and…

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What am I working on right now?

Pavel Hála | Announcements, Quantitative trading | 25. 5. 2015

After two years, I have left Charles Bridge Global Macro Fund in April of this year. I moved to a brokerage and asset management company Colosseum, a.s. I’d like to use this post to thank my friends at Charles Bridge. It was a wonderful time working with a small group of very smart people. Charles…

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Cattle-hog spreads at unsustainable levels

Pavel Hála | Trading ideas | 30. 3. 2015

The nearest spread between live cattle and lean hogs (LEJ15-HEJ15) was formerly considered wide at levels above 30c. It’s trading above 100c right now and still rising. This situation is unsustainable from the long term perspective. It’s only a matter of time before these markets at least partially converge. The profit potential is great, but…

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WASDE report – March 2015

Pavel Hála | Analyses | 16. 3. 2015

World Agricultural Supply and Demand Estimates Report (WASDE) was published last week by the United States Department of Agriculture (USDA). I’ll focus on grains only because that’s the area of my interest. So what impact did the report have? Bullish on corn, bearish on soybeans and slightly bullish on wheat in a nutshell. The biggest…

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State of the crude oil market

Pavel Hála | Analyses | 9. 3. 2015

Crude oil has come through a massive sell-off. There are three main causes that led to this situation. Most importantly is the oversupply caused by rising production in the US (fracking), other causes are a strong dollar (US economy in good shape) and weak international demand (China slowing down). Although the current downturn is severe,…

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Introducing historical ratio charts

Pavel Hála | Announcements | 4. 3. 2015

We’ve added a new feature! You can now create ratio charts between time series in our continuous futures database. Log into the app and pick “Historical ratios” in the right panel. There are two selectors delimited by a “/” division character. You can basically divide two time series and make some fundamentally important ratio charts,…

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The widow maker spread ended in slight backwardation

Pavel Hála | Analyses | 26. 2. 2015

Unlike last year, when the widow maker spread expired in pretty wild backwardation, it finished yesterday in a quiet mood. But let’s explain a little bit about this spread. I’m talking about the interdelivery natural gas spread between March and April, NGH15-NGJ15. Consumption of natural gas is usually high in winter due to heating demand. Consumption…

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Trading grains in the current environment

Pavel Hála | Trading ideas | 2. 2. 2015

Given the current uncertainty in general markets (VIX is above 21 right now), it seems wise to escape into some uncorrelated assets. Grains fit this criterion quite well, given their low correlation with major asset classes like stocks or bonds. I’ll focus on corn and soybeans because I don’t trade wheat regularly (I have nothing…

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Where is gold heading in 2015

Pavel Hála | Analyses | 26. 1. 2015

Gold has been experiencing a strong rally since the start of 2015. The price currently hovers slightly below $1300. So what’s next for the gold price and what can we expect in the longer term? The most important thing I’d like to highlight is how the current move has impacted the positions structure of the…

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New app features

Pavel Hála | Announcements | 22. 1. 2015

Some time has passed since my last post. We’ve been working hard to address bugs in the app. Here’s the full list: Price data for futures and spreads have been cleared of holes and inaccuracies. We also recreated historical (continuous) data series. Seasonality charts for both futures and spreads are up and running. The Commitments…

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