Quantitative trading strategies use quantitative signals and a set of predefined systematic rules to make trading decisions. Strategies operate within parameters based on historical analysis (backtesting) and real world market studies (forward testing). Strategies may be executed manually (by a ...

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Can I use PyAlgoTrade for Forex?

Is it possible to use PyAlgoTrade for Forex related algorithms? If it is, please point me in the right direction on how to get PyAlgoTrade to work on Forex data.
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1answer
87 views

Simple Moving Average Backtest: Cumulative Return too high

I apologize if this is way too basic a question, but I'm an absolute beginner to trading and am in the process of learning the fundamentals. Currently I'm trying to model a (10-day) SMA backtest in ...
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2answers
150 views

How to get historical fundamental data in Bloomberg suitable for backtesting?

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
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1answer
56 views

What does an optimized portfolio really tell us?

I am very new to this field, and have very recently started doing some self study on this topic. After reading some papers and reproducing some of the results in them, I am not very clear about what ...
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0answers
33 views

Account for empirical relationship between signal and market data

I have two monthly time series : one is a 'signal', on which I will base my decision to buy or short-sell, and the second one is the time serie of a given asset's price. I have implemented this ...
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1answer
62 views

Selection of optimal backtesting parameters

Suppose I backtest some strategy on in-sample data while varying two parameters, say $X$ and $Y$. $X$ can take the values $\{3,6,9,12,15,18\}$ while $Y$ can take $\{10,15,20,25,30\}$. I want to select ...
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0answers
16 views

Toxic FX Flow - how to avoid it [duplicate]

So, basically i want to debate and find out the real reason behind being flag by ECNs and venues as "toxic". How to avoid being flag? What kind of strategies are toxic and why? Below is an article ...
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67 views

cointegration strategy

If it can be proved that two time series $$S_t^1=\alpha + \beta S_t^2 + \xi_t$$ representing stocks are correlated, with $\beta=-2$ and then are proved to be cointegrated, how a portfolio should be ...
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6answers
3k views

Usage of Random forests in Quantitative analysis of stocks

I have a question about Random forests and how they could be utilized in trading? I heard Random forests are used for classification, is that accurate? If so, could someone give an example of what ...
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0answers
87 views

Books for quant trading

I am A math student who wants to start trading stocks. Which books will you recommend to help me develop tools/strategies for trading? I have taken finance classes and know some technical analysis. ...
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3answers
6k views

What types of neural networks are most appropriate for trading?

What types of neural networks are most appropriate for forecasting returns? Can neural networks be the basis for a high-frequency trading strategy? Types of neural networks include: Support Vector ...
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38 views

Performance measure

Can anyone give some intuition behind the relative performance measure that is a percentile raking of trading activity. It indicates the percentage of total activity the investor outperformed the ...
2
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0answers
136 views

Finance Projects in Python [closed]

I am new to this forum. I work in the Market Risk Domain at a leading Investment Bank. I am currently learning Python. And the best way to learn is to experiment with some Real Live Analysis/Project(...
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0answers
73 views

FX Statistical Arbitrage Strategy [closed]

I have had experience creating stat arb strategies for equities and etfs, but haven't dabbled much into FX trading. I was wondering if anyone knew any resources online they would suggest, or could ...
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1answer
73 views

Replication strategy of European call option

So the question asks: L et $S(0) = 120$ dollars, $u = 0.2$, $d = −0.1$ and $r = 0.1$. Consider a call option with strike price $X = 120$ dollars and exercise time $T = 2$. Find the option price and ...
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0answers
31 views

Kfold cross validation: how to handle hold-out periods

I want to backtest a strategy using K-fold cross validation. Assume I have a period of 300 days in my backtest. I divide it into 30 folds of 10 days each. On day 1 of a fold, I enter a trade, and ...
4
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1answer
371 views

How to optimize return in a moving average crossover algorithm

Moving average crossover strategy is a widely used strategy in algo trading. Is there a way to optimize return in a moving average crossover stratergy. I have used this site to backtest MA crossover ...
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1answer
77 views

Using Market Gamma to Predict FX Trading Environments

I want to test a hypothesis about using gamma to predict FX movements. Suppose that market makers will seek to be delta neutral given their portfolio of FX options. At any given time, market makers ...
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0answers
75 views

Optimal approach for finding a profitable trading strategy to automate? [closed]

I am currently searching for an optimal approach for finding profitable forex trading strategies to automate. Currently, I just try to combine various indicators and build an automated trading system ...
2
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0answers
36 views

Literature to Learn about Different Instruments

What is a good source of literature to learn about the specifics of various instruments that are traded? For example, suppose I wanted to know more about MBS's, i.e. how exactly they are securitized, ...
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1answer
141 views

How necessary is real analysis and complex analysis for trading at hedge fund levels?

As the title states, I am basically wanting to know the applications of real/complex analysis in finance. How important are such high levels of math ? I can obviously see how things such as ...
4
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1answer
88 views

What is smart beta, alternative index, factor investing?

What is smart beta, alternative index, factor investing? Are they basically the same thing? Construct a benchmark index using schema other than market cap?
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1answer
184 views

Is trading mean reversion of small principal components of prices profitable?

Many have told me that it is a good idea to look at the third principal component (PC) of yield curve movements, as well as third and fourth PC of G10 currencies. They claim these PCs represent "...
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4answers
5k views

Techniques to optimize the placement of orders in market making strategy?

Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...
7
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1answer
357 views

R Backtesters: Quantstrat vs SIT

I am learning R, and want to start using a backtester. I have spent about a day reading all I can about R backtesters, and it seems there are 2 main contenders: quantstrat, which uses the packages ...
4
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1answer
70 views

Why the diff of signal is called positions and what does it mean in backtesting?

I'm trying to learn Backtesting 101. I found this example which is very simple but I do not quite understand some of the terms. I understand Moving Average algorithm which is to measure trends or to ...
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0answers
50 views

Min. Spanning Trees, Planar Maximally Filtered Graph US equities?

Does anyone know of any free source of recent or preferably regularly updated Minimum Spanning Trees, PMFGs or other similar maps for US equities? (S&P 500 will do.)
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169 views
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1answer
94 views

Reference request: Quantitative Trading Strategies [closed]

I intend to thoroughly prepare for an internship that I will start in a couple of months, and therefore wanted to clarify what topics I need to study and some recommended references for them. The ...
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1answer
177 views

High frequency trading and trading costs

What kind of deals do high frequency traders have with brokers or exchanges regarding commissions for stock trading? For an individual, it is nowadays possible to get to as low as 10 basis points per ...
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2answers
920 views

Orderbook Arbitrage

The order-books of trading exchanges are often hidden as so-called "Dark Pools". The measure was taken to avoid apparent market manipulation strategies executed by traders back then. Which such ...
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0answers
37 views

References about market neutral portfolios that isolate unsystematic risk

I am looking for references, information, backtests etc. about market neutral portfolios that go long the index and short stocks of that index with high unsystematic (idiosyncratic) risk. The idea is ...
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3answers
353 views

Why is there a stong intraday-correlation between spot and vol?

Fig.1 shows an intraday scatterplot of the DAX future against its volatility index VDAX on 6-Jan-2016. The data suggest a strong negative correlation between the two. There are various models ...
4
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2answers
245 views

How to trade a Ratio?

I came across a ratio plotting of Corn And Soybeans contracts, notice it's in a historical low, an intuitive question came to my mind, how should I trade this ratio (or relationship)? It's unlike flat ...
2
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4answers
884 views

Backtesting with Simulated Historical Data?

The trading strategies that are going to backtest well are the ones that pick the winners from the past. For example, if a trading strategy simply bought apple stock it would backtest extremely well. ...
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2answers
2k views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
4
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1answer
124 views

Is that a good way to work with the ARMA model?

I would like to share with you what I am doing to get your point of view, and to make a better trading system in collaboration. I am working on EURUSD forex, and I am trying to find a way to place ...
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0answers
29 views

Slippage as Transaction Cost

What is a best procedure when to include/not include slippage into a trading model. If you include it in high freuency trading style model, you never make money because slippage eats away all your ...
20
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5answers
5k views

Proof that you cannot beat a random walk

There is much speculation to what degree financial series are random (and what kind of randomness prevails). I want to turn the question on its head and ask: Is there a mathematical proof that ...
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0answers
63 views

Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
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0answers
33 views

Constructing Dedicated Risk Premia Strategies

I am trying to figure out the "best" way to construct investment strategies which are focused on capturing specific risk premia individually. From my understanding the traditional approach to capture ...
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1answer
65 views

Is anybody using 13F-HR data for making strategies?

I see that a lot of quants work on high frequency strategies. Mostly used data are prices, volumes. I wonder, is anybody using data on funds positions, which they have to disclosure quarnerly under ...
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4answers
770 views

Why are Quantquote historical trades different vom ActiveTick historical trades

I bought quantquote.com historical data of AAPL on second basis. To comapre I also got activetick.com For activetick I used the historical trading API. If you look at around 15:13:53 you see that ...
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0answers
36 views

What do you think of refining and testing your strategy over the same period

What do you think of refining and testing your trading strategy over the same 2 years? Is it good to do this, or is it not?
2
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0answers
89 views

Assets cointegration: optimal inventory for futures market

I'm interested in HFT cointegration stratagies, and recently found interesting article "Algorithmic Trading of Co-Integrated Assets" The article describes mean-reversion strategy for N-assets. ...
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0answers
78 views

What are the best online platforms to hire a quant? [closed]

I have already written the base of a trading algorithm, however there are some optimisations that I would like to add that might be best programmed by more experienced quantitative programmers. This ...
4
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3answers
450 views

What is an acceptable Sharpe Ratio for a prop desk?

What should be the value of a Sharpe Ratio for an intraday quantitative strategy to be accepted by a bank or hedge fund's prop desk? Let's assume the returns are daily changes in account equity, close ...
2
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3answers
1k views

How to trade volatility?

I am analyzing the volatility of financial stock returns and let's say I have a pretty good model to forecast tomorrows volatility of the stock returns. So let's say for simplicity reasons I have a ...
5
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1answer
197 views

Momentum - skipping the most recent month

Many momentum studies skip the most recent month when calculating momentum to account for "reversal effects." On the other hand, I've read online that some people get better results from not skipping ...
2
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1answer
382 views

What are some quantitative trading strategies used by high-frequency trading companies to make a killing on a market crash day on 24Aug2015?

http://blogs.barrons.com/focusonfunds/2015/08/24/high-frequency-trading-firms-just-made-a-killing/ Virtu Financial (VIRT), the high-speed trading firm that went public earlier this year, was one ...