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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56 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 ...
2
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1answer
361 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 ...
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1answer
77 views

Bloomberg Historical Fundamental Data - Point in time

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
103 views

What does NPV ASSENTED after stock name mean?

For a project, I have to quantitatively implement a strategy for value investing in EURO STOXX 50. I pulled the data from Datastream. When I was checking some data plots for dividend yields and total ...
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1answer
215 views

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
105 views

conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
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305 views

Quant/Stat Factor Performance Website/Distribution?

Does anyone know of a decent quant/stat factor website, distribution(public or private) or publication that tracks performance of "many" of traditional quant/stat factors? By that I mean would show ...
4
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0answers
543 views

How to determine ratios for mean-reverting basket

Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model: ...
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0answers
92 views

How does one simulate intraday strategies which don't end up flat at the close?

I ran into this trying to simulate trading interlisted names between the NYSE and the TSX. Depending on my strategy parametrization it would sometimes end up with a significant short or long dollar ...
2
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0answers
35 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, ...
2
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0answers
85 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. ...
2
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0answers
107 views

forecasting trading costs with end of day data

I am trying to create a model that forecasts trading costs (using end of day data, so no intra day data). My trading cost (also called Implemented Shortfall (IS) is defined as such for a single stock, ...
2
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0answers
87 views

seasonality and generalized additive model

I am reading a report which talks about seasonality. There is a chart showing the average returns for each month of the year. In the chart it appears the last 3 months of the year tend to be negative. ...
2
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0answers
175 views

Calculating index arbitrage

I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation: 1) Should I be summing all the bids and asks from the stocks ...
2
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0answers
81 views

How to trade risk-adjusted returns?

Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution? And how could that distribution be exploited to enter trades?
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0answers
32 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 ...
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0answers
36 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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0answers
168 views

How to add buy/sell market on a long/short Bollinger Bands graph in python?

I am using python, pandas, matplotlib to do the following: I have plotted some stock data ...
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0answers
38 views

Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
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0answers
78 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: ...
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0answers
67 views

Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
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0answers
70 views

How to make the algo decide over a optimal selling point?

Please don't bully if its a basic question.Kinda new to the topic hence experimenting. Problems to construct trading algorithm.For the example I assume I am getting a buy signal from the DMI/ADX ...
1
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0answers
125 views

Method to combine trading signals to achieve higher sharpe

There are a few thread with the question of methods to combine different trading signals/strategies. But is there any method that can ensure that by combining two signals, we can achieve a better ...
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0answers
71 views

Straddle neutral strategy

What does it mean to implement a delta-neutral strategy for straddle ? A straddle consists in buying a call and a put simultaneously, at the same date, on same underlying, with same maturity and ...
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0answers
28 views

Correct term for position accumulation relative to price?

I've been looking at various accumulation algos and it appears that the greater majority are predicated on building a position largely relative to a time component or market volume for obvious ...
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0answers
212 views

Models for volatility estimation of high frequency data?

I have read on several news articles and research papers, "Contrary to popular belief, high frequency trading reduces volatility in stock markets rather than exacerbates it". Do you know the models ...
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0answers
69 views

robust regions in grid search

I have a strategy f that takes parameters x,y (for x,y taking values in integer ranges). I get two grids (of returns and volatility values) from computing f(xi,yi) for integer ranges x1 <= xi <= ...
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232 views

trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?

Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ...
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0answers
292 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
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0answers
28 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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51 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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63 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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0answers
24 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 ...
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0answers
42 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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24 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 ...
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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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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
35 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?
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380 views

How to calculate returns of backtested strategy?

Lets say I have some strategy (long/short) backtested for certain period. Strategy has entries/exits only at the end of the day and may have overnight positions hold. Now I would like to compare ...
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0answers
47 views

Significance of Data

The following is a result I get from a pair trading model. I am trying to figure out the significance of the below but failing. Can someone help me out i.e. a resource or possibly an explanation on ...
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0answers
34 views

measuring the performance of round-trips on stocks

can you provide me with some ideas to assess the profitability of round-trips? That is when I buy 100 shares of IBM at 10\$ and I resell them two days later at 11\$, how can I measure the profit made? ...