All Questions
Tagged with equities quant-trading-strategies
44 questions
1
vote
2
answers
100
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Factor performance in different groups
While we are testing performances of factors, it is common for us to put stocks into different groups based on their exposure to certain factor, such as size, value, momentum,etc., Then we can test ...
- 21
1
vote
0
answers
78
views
Can factor neutralization hedge market risk
While coding a strategy that uses 50% of the fund to long the group of stocks with the greatest exposure to a factor called MIF, and the other 50% to short the group of stocks with the least exposure ...
- 21
0
votes
0
answers
68
views
Forward price arbitrage
To price a forward on a stock we usually use arbitrage to find that the price of the forward is the price of the stock compounded by the risk free rate.
I don't have the data to try things, so was ...
- 51
0
votes
0
answers
30
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Does switching between Bond and Equity closely tracking Interest rate generate more returns?
Is there an evidence to suggest that we buy bond during high interest regime and when interest rates goes down , we sell the bond and buy Equity Index .. Repeat this by closely following the central ...
0
votes
0
answers
54
views
Calculating PIN or PIN-like factor without having intraday / tick data
I am looking for a method of estimating PIN (probability of informed trading) for US equities without having access to intraday / tick data, but using daily OHLC instead. I imagine its impossible but ...
- 191
0
votes
1
answer
74
views
Marginal effect of asset in a strategy
Im trying to develop a stastical arbitrage strategy that depends on a universe of assets and in a brief way, they replicate some factor(s), index(s), etf(s), etc, and then trade residuals. So, after ...
- 108
1
vote
2
answers
657
views
Expected slippage based on % of average daily trading volume
I have started a quant strategy that buys and sells thousands of stocks. Each trade represents <1% of average daily trading volume. On average, the trades represent around 0.1% of ADTV.
What is a ...
- 191
0
votes
2
answers
220
views
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 ...
- 11
1
vote
0
answers
69
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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 ...
- 278
1
vote
0
answers
155
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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 ...
- 11
2
votes
1
answer
2k
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What are the "sniffing" or "stalking" algorithms?
I was looking for all the sorts of trading algorithms used in stock market and I came across the so-called "sniffing" algorithms. However, the explanations of this concept I found are very ...
- 278
0
votes
0
answers
179
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Pairs Trading Strategy Pre-Selection
I am writing paper on the profitability of the pairs trading strategy using US equities. I have done a pre-check to see which business sectors have stocks that are cointegrated. The utilities sector ...
1
vote
2
answers
367
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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 ...
- 181
2
votes
1
answer
282
views
stock price path simulation using GBM, is it possible to run the same simulation over and over again?
When I simulate a stock's price path using geometric brownian motion I am sometimes able to get a pretty good forecast that fits the real values very well. But if I run the simulation again, the ...
- 165
0
votes
0
answers
238
views
How is the total return of an alpha strategy being calculated during backtesting?
I am using a quant simulation platform and I have chosen a formulaic alpha to be used. Now the platform is backtesting and displaying the total return of the alpha strategy over 12 years. The trading ...
1
vote
3
answers
399
views
Backtesting Period Effect
I am backtesting a stock trading strategy. I tested it over two time periods: 2000-2020 and 2015-2020 and compared the results against a buy and hold strategy. To be clear, I only changed backtesting ...
- 151
0
votes
1
answer
339
views
Sharpe Ratio Graphed Over Time
I looked and could not find a suitable answer to my question already, so:
What is the best way to calculate the Sharpe Ratio over time, given I have about a decade's worth of 1-minute candlesticks?
I ...
- 101
1
vote
0
answers
42
views
Combining multiple securities' Net Asset Value time-series into one total NAV series
I have a number of individual securities that each have a Net Asset Value (NAV) time-series. For example:
...
- 183
2
votes
1
answer
190
views
Continuous Percentage Profit and Loss calculation
I need to calculate a profit and loss for an equity timeseries. The position size (column D in the below table) is not binary (not moving from zero position to a position and then back to zero ...
- 183
0
votes
1
answer
480
views
Predict Log Stock Return Direction and Trading Strategy
The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
- 151
0
votes
2
answers
145
views
Trading after the close
Are there institutions that will fill stock trades after the close (from stock on their order book) at the official close price? If so, would it be significantly more expensive to execute a trade this ...
- 183
-1
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5
answers
367
views
Sending order to Forex or Stocks from Python strategy
I have my own strategy developed in Python. But I couldn't find a reliable method to send, close, and modify orders using Python. Are there any tools that help order management using Python?
I also ...
- 139
0
votes
0
answers
89
views
Constrained Optimization for performance attribution
I am trying to perform constrained opmitization for portfolio performance attribution analysis. Specifically, I am trying to determine the impact of sectors performance on the S&P 500 index.
Min ...
- 649
1
vote
2
answers
241
views
Seeking papers that deal with stock market analysis
I am sure there are a lot of papers that are related to stock market analysis.. but I haven't been able to find ones that fit my needs most. I want to read papers, replicate their analysis, and use ...
- 649
1
vote
0
answers
107
views
Correlation between a sector and MSCI ACWI returns
I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index.
This is what I have done:
...
- 649
1
vote
0
answers
76
views
How to make use of sector index returns data to analyze the overall stock market index
I have a set of indices returns data, namely,
...
- 649
2
votes
1
answer
193
views
What steps are for a specific Day Trading Pattern
I am new to day trading, and I am looking to get a better understanding of what key attributes can be identified when trying to identify patterns when day trading. Specifically, I am looking to find ...
- 23
4
votes
1
answer
6k
views
Interactive Brokers - Tracking High Relative Trading Volume
I'm new to Interactive Brokers (and day trading), I am trying to setup my different charts etc.
How can I have alerts/monitor for any stock that is trading at above average volume - compared to X?
...
- 141
1
vote
0
answers
220
views
How to mathematically compute the volatility range of each stock?
I joined a stock market group and in this stock group, there is a proprietary "daily trading range (or DTR)" that the founder uses. However in order to do this for all the hundreds of stocks in the ...
- 141
-1
votes
1
answer
517
views
Trading strategies for illiquid markets [closed]
Is there any literature on trading strategies for illiquid equities markets, such as research papers or articles? I've done some searching but haven't turned anything up.
- 159
6
votes
2
answers
5k
views
Meaning of cross sectional rank
This paper mentions the concept of rank which is defined as cross sectional rank. For e.g. one of the alphas (#3) is
(-1 * correlation(rank(open), rank(volume), 10))
10 is just the number of days ...
- 161
0
votes
1
answer
17k
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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 ...
- 171
4
votes
1
answer
275
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,
...
- 259
1
vote
1
answer
469
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 ...
- 241
1
vote
2
answers
404
views
Who holds stock overnight?
I have heard from several different sources, e.g. professors, books and traders, that daytraders and quants avoid holding positions overnight and during holidays and weekends. Instead, they sell their ...
- 196
2
votes
0
answers
163
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.
...
- 259
7
votes
2
answers
2k
views
Non-negative matrix factorization for factor analysis of stocks
I stumbled over the term Non-negative matrix factorization in presentations such as Application of Machine Learning to Finance and this Big Data in Asset Management.
The basic idea is to decompose a ...
- 13.8k
5
votes
2
answers
3k
views
How to incorporate fundamental analysis in quantitative trading algorithm? [closed]
I want to write a quantitative stock trading program based on fundamental analysis. It would crunch through prices, financial reports to look for value stocks. It can support backtesting of strategy ...
- 159
2
votes
0
answers
425
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).
...
- 610
4
votes
2
answers
1k
views
Cointegration trading: Ignoring pairs that aren't economically related
Cointegration trading question
What's the state of the art when it comes to choosing proper subsets of stocks/assets where cointegrating relationships aren't ignored as (likely to be) spurious?
For ...
- 1,510
9
votes
2
answers
939
views
What is a reasonable upper bound on the performance of a daily trading strategy?
I am backtesting an equity trading strategy which trades only once per day. Is there a general rule of thumb for the reasonable upper bound on the rate of return of such a strategy? For example, a ...
- 766
27
votes
3
answers
8k
views
What are the best sources for equity quantitative research?
What are the best sources of quantitative finance research in equities?
I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online:
BAC-Merrill ...
20
votes
2
answers
5k
views
How can I learn about the quantitative aspects of market making in illiquid single stock options?
I would like to learn more about the possible ways of doing quantitative research regarding option market making. In particular, while the mainstream index option market may be very liquid, the ...
- 315
28
votes
8
answers
6k
views
How to design a custom equity backtester? [closed]
I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
- 381