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Chicago! Quantopian Meetup on May 18th

Building Better Strategies With Futures and The Bean Report

Join us for a Futures meetup on May 18th following The Trading Show Chicago 2017. Quantopian Analyst, Jamie McCorriston, will be presenting "The Futures Are in Your Hands: Building Better Strategies With Futures"and Frank Vigilante, Freelance Data Scientist, will be presenting "The Bean Report". As always we will be providing pizza and beer. We hope to see you there!

Location: Blue 1647, 1647 South Blue Island Ave., 1st Floor Chicago, IL 60608

RSVP here:

The Futures Are in Your Hands: Building Better Strategies With Futures

Quantopian has expanded its asset universe to include futures. The expansion includes new data and tools that make it easier to research and develop quantitative strategies using futures — with or without equities in the same algorithm.

In this talk, Jamie will give a walk through the process of researching and backtesting a futures strategy, aided by "continuous futures", a new tool that saves us from having to think of futures on a transient contract-to-contract basis.

The Bean Report

Frank will walk through a sample notebook combining soybean futures data with equities data for the purpose of developing machine learning models to predict asset prices. Emphasis will be placed on combining the data within a Pandas data frame, and creating new features for inputting into the model. The economics of futures relative to equities will be discussed and built into the model. The machine learning models will then be created and predicted on unseen data. A brief introduction to model stacking will also be provided. The talk will conclude with a brief summary of transposing the work done in Quantopian's research environment to the backtester.

About the Speakers

Jamie McCorriston

Jamie McCorriston is an analyst on the futures and data teams at Quantopian. The futures team is responsible for adding futures trading to Quantopian. The data team works to add dozens of datasets to the platform and builds interfaces for the community to efficiently interact with very large amounts of data.

Previously, Jamie worked at the Network Dynamics Lab where he focused on measuring and modeling large-scale human behavior on large online platforms.

He graduated from McGill University with a BSc in Computer Science & Biology.

Frank Vigilante

Frank Vigilante works a freelance data scientist with a focus on the research and development of algorithms using the Quantopian platform. Previously, Frank worked as an Assistant Vice President at Wintrust Financial Corporation in the Purchased Asset Division. Frank obtained an MBA from The University of Chicago Booth School of Business, and a BA from Boston College.