Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
0
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
3
Take a look at compilations such as 151 Trading Strategies.
I wouldn't expect this information to be widely disclosed. After all, a non-profitable strategy is a supermartingale which means there is an opposing set of algos that is profitable as we speak. Secondly, many strategies are conditional upon a market regime, and could become profitable should the conditions materialize. Lots of old code is called on deck when markets are disorderly or experiencing extreme volatility. Finally, you have NDAs in place.
-
-
1$\begingroup$ Thanks, it's fixed now. Interestingly it became obsolete 3 days after posting. $\endgroup$ Commented Mar 23, 2021 at 15:03
-
$\begingroup$ Did anyone bother skimming the linked paper before upvoting? The entire first section is a list of options structures ("buying a call and a put" is a position, not a strategy, let alone a quantitative one) and the document later goes into absolute nonsense such as "money laundering," "pawnbroking" and "loansharking." $\endgroup$ Commented Jun 4 at 7:24