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content/articles/2015-11-14-welcome.md

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+Title: Welcome, and an algorithm
+Date: 2015-11-19
+Tags: introduction, trading
+Modified: 2015-12-05
+Category: Blog
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+Hello! Glad to meet you. I'm currently a student at Columbia University
+studying Financial Engineering, and want to give an overview of the projects
+I'm working on!
+
+To start things off, Columbia has been hosting a trading competition that
+myself and another partner are competing in. I'm including a notebook of the
+algorithm that we're using, just to give a simple overview of a miniature
+algorithm.
+
+The competition is scored in 3 areas:
+
+- Total return
+- [Sharpe ratio](1)
+- Maximum drawdown
+
+Our algorithm uses a basic momentum strategy: in the given list of potential
+portfolios, pick the stocks that have been performing well in the past 30
+days. Then, optimize for return subject to the drawdown being below a specific
+level. We didn't include the Sharpe ratio as a constraint, mostly because
+we were a bit late entering the competition.
+
+I'll be updating this post with the results of our algorithm as they come along!
+
+---
+
+**UPDATE 12/5/2015**: Now that the competition has ended, I wanted to update
+how the algorithm performed. Unfortunately, it didn't do very well. I'm planning
+to make some tweaks over the coming weeks, and do another forward test in January.
+
+- After week 1: Down .1%
+- After week 2: Down 1.4%
+- After week 3: Flat
+
+And some statistics for all teams participating in the competition:
+
+|                    |        |
+|--------------------|--------|
+| Max Return         | 74.1%  |
+| Min Return         | -97.4% |
+| Average Return     | -.1%   |
+| Std Dev of Returns | 19.6%  |
+
+---
+
+{% notebook 2015-11-14-welcome.ipynb %}
+
+[1]: https://en.wikipedia.org/wiki/Sharpe_ratio

content/articles/2015-11-27-autocallable.md

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+Title: Autocallable Bonds
+Date: 2015-11-27
+Category: Blog
+Tags: finance, simulation, monte carlo
+Authors: Bradlee Speice
+Summary: For a final project, my group was tasked with understanding three exotic derivatives: The Athena, Phoenix without memory, and Phoenix with memory autocallable products.
+[//]: <> "Modified:"
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+My only non-core class this semester has been in Structure Products. We've been surveying a wide variety of products, and the final project was to pick one to report on.
+Because these are all very similar, we decided to demonstrate all 3 products at once.
+
+What follows below is a notebook demonstrating the usage of [Julia](http://julialang.com) for Monte-Carlo simulation of some exotic products.
+
+{% notebook 2015-11-27-autocallable.ipynb language[julia] %}
+

content/articles/2015-12-26-testing_cramer.md

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+Title: Testing Cramer
+Date: 2015-12-26
+Category: Blog
+Tags: futures, data science
+Authors: Bradlee Speice
+Summary: 
+[//]: <> "Modified: "
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+{% notebook 2015-12-26-testing_cramer.ipynb %}

content/articles/2016-1-1-complaining-about-weather.md

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+Title: Complaining about the Weather
+Date: 2016-01-01
+Category: Blog
+Tags: weather
+Authors: Bradlee Speice
+Summary: Figuring out whether people should be complaining about the recent weather in NC.
+[//]: <> "Modified: "
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+{% notebook 2016-1-1-complaining-about-weather.ipynb %}

content/articles/2016-1-23-cloudy-in-seattle.md

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+Title: Cloudy in Seattle
+Date: 2016-01-23
+Category: Blog
+Tags: weather, data science
+Authors: Bradlee Speice
+Summary: Building on prior analysis, is Seattle's reputation as a depressing city actually well-earned?
+[//]: <> "Modified: "
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+{% notebook 2016-1-23-cloudy-in-seattle.ipynb %}

content/articles/2016-2-26-profitability-using-the-investment-formula.md

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+Title: Profitability using the Investment Formula
+Date: 2016-02-26
+Category: Blog
+Tags: algorithmic-trading, python
+Authors: Bradlee Speice
+Summary: After developing a formula to guide our investing, how do we actually evaluate its performance in the real world?
+[//]: <> "Modified: "
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\\(','\\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+{% notebook 2016-2-26-profitability-using-the-investment-formula.ipynb %}

content/articles/2016-2-3-guaranteed-money-maker.md

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+Title: Guaranteed Money Maker
+Date: 2016-02-03
+Category: Blog
+Tags: martingale, strategy
+Authors: Bradlee Speice
+Summary: Developing an investment strategy based on the Martingale betting strategy
+[//]: <> "Modified: "
+
+<script type="text/x-mathjax-config">
+MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
+</script>
+<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
+
+{% notebook 2016-2-3-guaranteed-money-maker.ipynb %}