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Can someone please share your research methodology of systematic trading strategies? I feel like I am always using the a same data driven procedures over different underlyings and would like to get some inspiration.

Here is my simple process 1) determine if there is any market regime pattern 2) Find suitable predictors using price/fundamental data 3) Combine weak predictors with some machine learning/ensembling techniques 4) Refine trading rules with accurate sizing and stop loss/profit.

If there is any existing forum or journals that are discussing topoics like this please also share.

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If you like an R related blog with a lot of code that you can use then you shoud look here:

http://systematicinvestor.wordpress.com/

Similar in a similar vein but with less code (and I think the authors know each other) is the Blog by David Varadi

https://cssanalytics.wordpress.com/

I think these two are an important extension of the ones already mentioned.

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It is difficult to find what you need for because if someone shares his knowledge about systematic trading, all the profit of that strategy vanishes in a while theoretically.

Anyway, there are a lot of blogs about trading strategies that provide references and guides about that.

In my humble opinion, one of the best is QuantStart, that provides a lot of useful codes in python and references about starting in algorithmic trading. Moreover, there is also the Andy Nguyen's website that provides useful guide about what you need for (guides, forum, tutorial, codes in C++,...).

There is also the E. P. CHan's blog; take a look at here. He wrote two interesting books about systematic and algo trading:

  1. Algorithmic trading: winning strategies and their rational
  2. Quantitative Trading: How to Build Your Own Algorithmic Trading Business

I found those ones really interesting and could be useful to build a basic knowledge to create a trading system.

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  • $\begingroup$ Thanks for the input. I understand specific strategy is definitely not to be shared but the kind of thinking process maybe common. $\endgroup$
    – hotsource
    Jan 9, 2015 at 15:14
  • $\begingroup$ Yes, the basic thinking process is common and it is described pretty well in the 2° book. I suggest you to read it, because I think it's what you're looking for. $\endgroup$
    – Quantopik
    Jan 9, 2015 at 16:24
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Something I do to find new ideas is read papers in Google Academic related to the topic. Find papers under "quantitative strategy", "trading strategy", etc and you will find interesting things.

My experience is that they don't tend to work, but they provide with ideas that you can mix and maybe find something by yourself.

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