Introduction Optimizing portfolio allocation seems, at first sight, quite a boring and pointless task. Many people might think that it is impossible to generate substantial returns by adjusting the allocation of value in ETFs that have historically underperformed the S&P500. That is obviously not true, allocating value in uncorrelated assets reduces overall portfolio volatility and increases risk adjusted returns. This can be especially interesting when we add leveraged versions of the previous ETFs. Thus, allowing to beat the market in an absolute and risk adjusted basis. ...

Introduction Market data is valuable information, with prices that can go to the tens of thousands of dollars. This means that, in order for the price to be worth it, one should be dealing with significantly large sums of money. This is especially true in the derivatives market, most notably, options historical data is vast and expensive since, each day, there are multiple option contracts with various expiration dates, strikes and prices. ...