Welcome to Project Helios, I’m Charles, an aspiring retail quant with a background in economics & stats. This log is going to cover insofar as possible the development process of an algorithmic research and trading system from the bottom up for trading options markets from the perspective (and budget) of a small retail trader.

The motivation for doing this in public is twofold;

First, there are a lot or retail traders playing in options markets taking a variety of approaches, but a distinct lack sharing of and community. Professional investors usually have a good network, a firm, and colleagues to learn from, lean on, and challenge their approaches and thinking. I’m hoping together we can replicate a bit of that for those of us who are on the outside.

Second, feedback accelerates progress. If you’re a retail trader and interested in quantitative algorithmic approaches to markets, I invite you to follow along and share your journey too. If this blog gets enough of a following I would love to implement some community features such a discord channel, guest posting, and collaborative tools.

So what do I mean by a quants journey into convexity? Simply, taking a systematic quantitative approach to the process of researching and trading derivative markets (options), where convex payoff structures are the norm. By this I mean a full automated process from data cleaning & normalisation, infra, alpha mining, strategy encoding, back testing, and execution.

The development approach will be heavily tilted towards open source repos, AI pair programming, and low cost or free data sources (again with that retail trader budget.) This does not mean compromising on research however.

If this sounds interesting to you or you’re already in this space give us a follow!