Hi, my name is Colton Smith and I have a passion for investigating and exploiting financial phenomena from the perspective of a data scientist.
While working at Imbue Capital, I have built out a cutting-edge research pipeline for developing quantitative trading strategies that implements the best practices in financial machine learning including labeling techniques, feature engineering and extraction, model selection, cross-validation methods, model interpretability, and portfolio construction. We have used this pipeline to run systematic commodities strategies and aid global macro discretionary trading.
While working at Social Market Analytics, I assisted clients in successfully extracting alpha from alternative data through natural language processing and sentiment analysis. Whether used as the primary dataset or meant to augment an existing strategy, I am familiar with the development process beginning with the initial ingestion of the data to it being the backbone of a live, production model.
To further my financial knowledge, I explore topics of interest on my blog, Quantoisseur. I am guided by a principle that was well-stated in Euan Sinclair’s option trading book which reads, “it is better to deeply understand a simple concept than to have a superficial grasp of a more complex model.” Taking this further, it is necessary to be able to effectively communicate data and its implications, thus my blog serves as a method for me to solidify my understandings of the interactions between mathematics and finance. Additionally, I enjoy projects which allow me to find novel ways to clearly visualize data principles and findings.
MS Applied Mathematics – Columbia University
BS Industrial Engineering – University of Washington
Academic Interests: Numerical Methods, Optimization, Bayesian Statistics, Compressed Sensing, Scientific Computing
Feel free to email me at coltonsmith321@gmail.com or connect with me on LinkedIn.
Quantoisseur 
Hi Colton. How Are you? Thanks for sharing your knowledge.
I was wondering if you might share your CPCV python code please.
I´m working in a college homework. I´m trying to work this out and implement CPCV in my code but It´s not working.
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Hi Damian,
Sorry for the delayed reply. Send me an email if you are still working on it.
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Well done on the video Colton.
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Hello there, will the code used on this video be posted? It would really help me!
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Hi Colton, great piece on Prado’s CPCV, clear and concise! As someone deeply interested in the financial markets and learning python on my own, I am trying to get this to work but to no avail. Any possibility in gaining access to the code via a github repository or email. Kind regards, Dom.
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Very nice Colton! Very clear explanation of the censored cross-validation approach. It’s good to clarify too that it wasn’t De Prado who invented the technique.
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