Questions tagged [quant-trading-strategies]
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 human trader) or automatically (by a computer).
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Ed Thorp Wilmott Articles
I've been really enjoying Ed Thorp's autobiography, and it makes me want to revisit some of his old Wilmott articles, listed here:
http://www.wilmottwiki.com/wiki/index.php?title=Thorp,_Edward
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Differences vs ratios
High, I am working on an exercise which involves performing a regression analysis to predict market direction (e.g. up or down). I am using daily OHLCV data. I've created various factors from the ...
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Is there any utility to being able to predict an assets current price?
I was playing around with some models, and I'm able to predict a stock's current price based on the current prices of other stocks. This model is extremely accurate, although I can't see any use of ...
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Historical Options data
Are there any good sources where I can obtain daily historical options data (strike price, expiration dates, bid/ask spread, etc).
I understand that this type of data is very hard to come by and ...
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What's the optimal way to size a limit order?
Say Bob wants to buy \$30 million worth of APPL stock at a price of \$130.
He decides to use a limit order.
But posting a $30 million limit order would drive the price up and prevent him from being ...
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Strategies That Are More To Resistant To Alpha Decay Than Others?
Are there certain categories of quantitative strategies, such as arbitrage, momentum, etc, that are more resistant to alpha decay than others?
Thanks
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evaluating garch models
I used ugarchroll to backtest my garch model on S&P returns
this is my code
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Value of trading strategy
A trading strategy is defined as follows: starting capital $v_0 = 5$ and 1 risky asset holdings $\varphi_t = 3W_t^2-3t$ where $W$ is a Wiener process.
The problem is to find the probability of the ...
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Number of Fed Rate hikes prices in
Could someone please explain to me how the calculation of the market expected FED rate hikes is done?
Thank you.
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Theoretical returns are not matching empirical ones in my backtest
I'm trying to implement a Backtest for my quant strategy but the calculated theoretical returns are not matching the returns from my implementation. Here's the example:
On a given day I have 1 million ...
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Average probability of varying input data
New to the quant finance exchange. I am stuck with a question maybe someone could help me.
In the table below I have calculated if price is up/down w.r.t to the open shown in the 2nd column with ...
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How to calculate Sharpe Ratio from $ returns?
I have a pairs strategy that I am trying to calculate the sharpe ratio for. Currently I am using python for my analysis and calculation. I have a dataframe that contains the cumulative returns in $'s ...
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A theory behind an accumulation and distribution process
A concept of accumulation and distribution process was developed by Richard Wyckoff. In simple words a smart money sells shares in order to hit its buy limit orders, then starts to buy shares in order ...
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What is the distribution of the trend-following strategy PnL?
Suppose you start with zero dollars; and a stock is at \$100 and goes up and down \$1 equally likely, i.e., both with probability 50%.
A trend-following strategy, during a period of 31 days, works as ...
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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 ...
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Normalized statistical risk/reward measures to compare different quant trading strategy's returns, eg for backtesting
Want to select a metric or metrics to compare returns of different investment strategies, for quantitative backtesting, strategy selection, and forward measurement.
Been reading different approaches ...
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How to adjust a strategy's alpha assuming a zero-value starting portfolio (\$0 cash, \$0 assets)?
A simple paper test of a trading strategy is to assume one borrows all money to purchase assets and see if trading increases the liquidation value of the portfolio (cash + liquidation value of assets)....
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Is there a financial instrument that is exposed to the change in growth of an asset over time?
Is there a financial instrument that is exposed to the rate of change of the value of a specific asset? If I believe a stock price will continue to grow in the future, but grow more slowly than in the ...
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Are there any known text analysis NLP bots that read 8k filings, news, twits, articles - "understand" them and trade based on their derived meaning?
I want to build an NLP bot that "reads" and understands meaning and sentiment of articles, twits and trades on them. E.g. understand general sentiment of comments under important financial blog posts ...
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Does time remaining matter in NO Touch-ONE Touch probabilities?
I asked a question some days back and got an answer which I understand and make sense:
Probability of touching short call strike and not touching touching short put strike of a short strangle?
However,...
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Strategies for trading on a forecast
I have been experimenting with multiple methods of forecasting the daily high and low for a certain security. I have found a very basic ensemble of several common forecasting approaches is, well, ...
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Do high dividend yield stocks generally outperform the market?
The only paper I could find is the following:
Dividend Yield Strategy in the British Stock Market 1994-2007 by Brzeszczynski et al. (2008)
It states that a portfolio of stocks with high dividend ...
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How to conduct statistical test to see if certain factors impact trading streategy
Since the seminal paper by Fama and French(1993) that uses size, market, and value factors to explain extra market returns on the equity market, people have conducted tons of research on equity factor ...
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how to do hedging in global market give the time zone issue [closed]
Hi I am considering a question:
Give you have a global portfolio, consisting of U.S stocks, Euro Stocks or even Japan stocks and you have to rebalance daily according to my calculated trading signals. ...
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How do you hedge your inventory when doing arbitrage?
Say I want to do arbitrage between Exchange A and Exchange B on USD/AAPL. This requires that I hold equal parts USD and AAPL. I don't want exposure to the movement in AAPL. How do I hedge my AAPL ...
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What kind of data cleansing/scrubbing are hedge funds doing?
It's a well-known fact that several hedge funds have a handful of PhDs just doing data cleansing. All day. Every day.
What kind of data cleansing are they actually doing? Is it really that difficult? ...
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increasing leverage does not increase MDD(maximal draw down) proportionally?
I thought increasing leverage by x times will increase mdd x times.
But it actually increases mdd by y which is smaller than x.
Is it always the case?
If so, because leverage increases compound ...
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How are cryptography and speech recognition technology applied to forecasting financial markets?
One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
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Calculating true value of a stock given the order-book and recent trades
I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...
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What are the most common ways that quantitative funds construct industry/style-neutral factor portfolios?
For instance, consider momentum strategies. Naive portfolio construction will likely load on large style/industry return components, which increases portfolio risk dramatically.
How do quant funds ...
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Calculation of Long-Short-Portfolio returns for different holding periods
I have monthly stock returns I want to invest in according to my trading signals. Now I want to figure out the optimal holding period of the long-short-positions. (The same time for both positions).
I ...
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How to "best" exit multiple trades?
Let say I have N opened trades (N = s + b) that are partialy hedged, and paritaly not. In general s != b. Some of them are market sell orders (s), and the rest of them are market buy orders (b). They ...
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Barriers on structured notes
I asked a question here:
Structuring and Customization
Thanks to all the contributors. However, I now have a follow-up question.
I would like to buy barrier options and I was informed from that post ...
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why am I seeing a value error? adv_fml. lopez de prado
This code is a snippet from Lopez De Prado Advances in Financial Machine Learning page 44
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How to compute NPV of Latin American swap CLP-TNA (chilean) using quantlib?
I am trying to value the Latin Americans swaps. But CLP-TNA valuation is far off from the actual valuation. Please suggest, what I am missing in below methodology to compute NPV.
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One touch UP no touch DOWN, One touch DOWN no touch UP [closed]
I was reading about exotic options and I came across something new. One touch down no touch up option and the other one I saw was One touch up no touch down option.
I would like to understand how it ...
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Questions regarding a “lite/kindergarten” Barbell investement strategy implementation
The idea for this question is more or less taken from a slight hint regarding how Universa Investments L.P. functions from Taleb's Antifragile (obviously the real case is far more complex but this is ...
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Question about calendar spread mean-reversion strategy
I'm excited to ask my first question here! I'll try to describe the mean-reversion strategy with some background, then explain what I couldn't understand.
The strategy is described in Earnest Chan's ...
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How to extract informative value from correlations of assets? Subadditivity of correlation calculation an issue
I was reading Nassim Taleb's Paper: Fooled by Correlation and found it very informative. I had always struggled with finding value in correlation in Finance, especially seeing a lot of bad ...
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How to choose a stock? [closed]
So far, I have only been working on systems that track numerous stocks and evaluate which present the best opportunities at a given time.
I have grown curious about building a day-trading system that ...
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What is the reason for using log prices in Pairs Trading (Cointegration)?
I was wondering, why some of the research papers on pairs trading (using the cointegration approach) are using log prices to determine the spread of a pair?
Why are they not simply using regular ...
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Sharpe ratio differs from Tradingview
I tried to backtest a simple strategy on TradingView, it made 6 trades with these results:
Now I want to calculate Sharpe ratio using definition provided by TradingView.
So, my daily returns(...
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Expected value of P&L based on option prices
How can we compute the expected value of P&L assuming the option price is given? Do we need to have more information to calculate P&L?
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Calculating performance decay of a strategy
Came across this thread which basically advises t-test for difference in means across periods to calculate whether our edge is deteriorating. The catch being that this test will probably not be ...
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Can alpha be positive if cumulative returns underperform the benchmark?
According to my portfolio analysis program (pyfolio), the alpha of the following strategy is .17 (I am assuming 17%). [Based on pyfolio documentation, alpha here is the "annualized alpha".]
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Papers about backtesting option trading strategies
I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world ...
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backtesting options strategies in R
I would like to backtest an options strategy in R. I require the ability to delta hedge and rebalance to options in the portfolio at different frequencies (daily, monthly,etc.) What packages are the ...
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Cyclic analysis for trading signal generation
I would like to build trading signals using cyclic analysis in order to obtain a forecast afterwards.
I had a look in literature and Hurst analysis, Fourier, etc, are used
However, I am struggling to ...
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Automatic trading strategies - what are benchmarks for PL on serious backtesting?
There are plenty books and sites which offer automatic trading strategies (robots)
and claim they are very profitable. On the other hand many people do not believe in such things, saying that: if ...
