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Systematic Trading with Market Data
Twelve modules from first principles to a running book: volatility, earnings, 0-DTE, dilution, SPACs, dividends, momentum, and the machinery to trade them systematically.
How Markets Create Repeatable Edges
0 / 5
- Price as Consensus: Information vs. ExpectationEvery price move is one of two things: new information or a shift in expectation. Why only one of them is tradeable systematically.
- What Counts as an Edge: Mechanism-First ThinkingStructural vs. statistical edges, and who is forced to act: index trackers, locked-up insiders, redemption mechanics, desperate CFOs.
- Recurring, Dated, DisclosedThe three-part test that turns market noise into an event class, and why queryable is the load-bearing word.
- The Four-Step Research LoopHypothesis, data, measurement, attack. Stated once, precisely, because the next eleven modules run it repeatedly.
- Knowledge Check: EdgesA short quiz covering the foundations module.
The Quant's ToolkitPro
0 / 6
- Setting Up Python for ResearchA clean, reproducible Python environment — and why most setups quietly rot.
- Your First Research DatabaseWhy flat files stop scaling, and how to stand up a SQL database for market data.
- Git and GitHub for Research CodeVersion control as a research journal: commits, branches, and not losing a month of work.
- Anatomy of a Market-Data APIThe {count, data} envelope, auth, rate limits, and the one line beginners skip and later regret.
- From JSON to DataFrame in Five LinesThe ingestion skeleton reused in every later exercise: json_normalize, date parsing, sort.
- Knowledge Check: ToolkitA short quiz covering the toolkit module.
Research Methods: How to Trust a BacktestPro
0 / 5
- Event Windows and Study DesignDefining day zero, choosing windows, and what a population study is and is not.
- Abnormal vs. Raw ReturnsWhy 'it went down 10%' means nothing in a month the market fell 12%, with a small worked example.
- Survivorship, Delisting, Look-AheadThe three ways backtests lie, and building a point-in-time universe that doesn't.
- Reading a Result HonestlyTails, regime concentration, sample size, costs. The permanent checklist later modules invoke by name.
- Knowledge Check: MethodsA short quiz covering the research methods module.
Volatility I: The Volatility Risk PremiumPro
0 / 6
- What an Option Price Actually SaysImplied vol as a forward-looking consensus, realized vol as delivered reality, and the premium between them.
- Expensive Compared to What?The IV/HV ratio and spread, cross-sectional ranks, and pulling today's richest names.
- Expensive for This Name: IV RankIs 63 rich or normal? Rank vs. percentile against the trailing 52-week band, walked on a real ticker.
- Vol-of-Vol: How Rough Is the RideStability of vol as a sizing dial: steady names for income, unstable names for snapbacks.
- Stacking the Filters: From Coin-Flip to EdgeThe conditioned premium screen: what each filter adds, built end to end.
- Knowledge Check: Volatility IA short quiz covering the volatility risk premium module.
Volatility II: Earnings and Scheduled CatalystsPro
0 / 5
- The Implied Earnings Move: Straddles as ForecastsHow the pre-earnings ATM straddle encodes an expected move, and why magnitude beats direction as a research question.
- A Worked Example: Implied vs. RealizedFrom raw earnings-move history to a testable hypothesis, step by step.
- Chronic Overpricers: Per-Name Track RecordsSome names overprice every quarter. Hit rates, running averages, and the ranked tally.
- Building the Pre-Earnings ScreenCombine track record and current vol context into a watchlist ahead of a reporting week.
- Knowledge Check: EarningsA short quiz covering the earnings module.
The Index Game: SPX, 0-DTE, and RegimesPro
0 / 6
- 0-DTE Options and the Daily Strike BandWhat same-day options are, what the 10:30 AM strike band is, and why 'never revised' makes the history honest.
- Condors, Butterflies, and VerticalsThree containment structures placed off two published strikes, and what the wing parameter costs you.
- Measuring Containment: Backtesting the BandHow often does SPX close inside the band? Rolling containment as a health metric.
- Band Width as a Volatility Time SeriesWidth as a VIX-lite: percentile regimes, z-scores, and width mean-reversion.
- Skew, Drift, and Regime GatesAsymmetry reads, midpoint drift as a slow lean, and the risk-regime flag as the on/off switch.
- Knowledge Check: The Index GameA short quiz covering the index module.
Event-Driven I: Dilution and the Short SidePro
0 / 7
- The Last-Ditch Financing LadderWhy dilution is a one-way message: no other lender said yes, holders get watered down, and management is selling.
- S-1 to EFFECT: How New Shares Reach the TapeRegistration vs. effectiveness, the two punishment points, and why not every S-1 is dilutive.
- The Mechanics of Selling ShortLocates, borrow fees as daily carry, recalls and buy-ins, dividend liability. The chapter that keeps you out of trouble.
- The Dilution StudyPull recent dilutive filings, size the offerings against market cap, and read the drift evidence with effectiveness as the exit clock.
- ATM Programs and Shelf RegistrationsThe slow-drip version: how at-the-market programs sell into strength for quarters at a time.
- Toxic Financing and Failure ModesDeath-spiral converts, plus the collected failure modes across every dilution flavor.
- Knowledge Check: DilutionA short quiz covering the dilution module.
Event-Driven II: De-SPACs, Defaults, and DistressPro
0 / 5
- The SPAC Machine: Incentives and the ClockWhy sponsors get paid for closing any deal, redemption mechanics, and what that implies for the post-merger cohort.
- Fading the CohortBuild the post-completion de-SPAC basket, hold it against an index leg, measure the drift.
- Lock-Up Expirations: Supply on a CalendarThe purest calendar event: dates written into the prospectus months ahead, and how you'd source them.
- Corporate Defaults: Distress as an Event ClassCredit-like equity behavior without CDS: post-default drift, and keeping longs out of distressed names.
- Knowledge Check: De-SPACs and DistressA short quiz covering the de-SPACs and distress module.
Income and Flows: Dividends and MomentumPro
0 / 5
- Who Really Pays the DividendEx-date mechanics, the drop ratio, why naive capture is a coin flip, and what makes it stop being one.
- The Capture Screen: Recovery Odds and the CalendarThe three-stage screen: forward calendar, give-back filter, recovery filter, yield rank.
- Why Winners Keep WinningCross-sectional momentum as a documented factor: underreaction, herding, and flows that chase reconstitution.
- Replicating the Basket: Rank Tilts and DriftPull the monthly ten, weight by rank slot, measure post-rebalance continuation.
- Knowledge Check: Income and FlowsA short quiz covering the income and flows module.
Alternative Data and Daily ScreeningPro
0 / 5
- Attention as Data: Wikipedia ViewsPage views, 30-day z-scores, anomaly days, and attention as signal vs. attention as context.
- Filing Bursts: Activity Before AnnouncementsCompanies interact with EDGAR more right before something happens. Screen for the spikes.
- The Movers Slate: Volatility Screens, Not Crystal BallsThe daily slate, the null-until-close wrinkle, and the honest hit-rate framing.
- Slicing Every Signal by SectorJoin sector classification onto any screen and watch how differently sectors behave.
- Knowledge Check: Alternative DataA short quiz covering the alternative data module.
Portfolio, Risk, and TemperamentPro
0 / 5
- From Single Event to PortfolioCombining event signals, overlapping signals on one name, and rebalancing cadence.
- Sizing, Concentration, and CorrelationPosition limits, sleeve capital allocation, and when uncorrelated sleeves stop being uncorrelated.
- The Negative-Skew P&L PathSqueezes, crowded borrow, long quiet stretches punctuated by sharp drawdowns. Temperament as a position.
- Gating the Whole BookWire the regime flag and rolling containment into a single sizing layer over everything you've built.
- Knowledge Check: Portfolio and RiskA short quiz covering the portfolio and risk module.
Automation and AgentsPro
0 / 6
- Pull, Rank, Format, SendThe production skeleton: one flat file, no framework, a signal that reaches you on its own.
- Making the Signal Reach YouSMTP, app passwords, schedulers, UTC gotchas. The take-home recipe for putting a script on a server.
- Idea Generation With ClaudeTasking a model like a junior analyst instead of a slot machine.
- From Idea to Code, With GuardrailsLetting an agent write research code without letting it grade its own homework.
- Capstone: Build and Defend Your Own Event StudyPick any dataset, run the four-step loop end to end, and grade yourself against the honest-results checklist.
- Final AssessmentA cumulative, reasoning-heavy check drawing on every module in the course.