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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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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Random Walk Theory vs. Quant Trading

I am quite new to random walk theory so please excuse my rather simply put question but I am wondering how can quant trading desks and other algorithmic trading firms exist if there is the random walk ...
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How to calculate the longest expected losing streak for a system that trades all the index members simultaneously?

For a trading system that trades only one security we can easily compute the longest expected losing streak using this formula: where: n is the number of trades, ln is natural logarithm, P is the ...
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Reading Recommendations - Quantitative Investment Strategies from a “genuine” quant viewpoint

I recently stumbled the lecture notes of Prof. Avellaneda on Quantitative Investment Strategies (near the bottom of this page). The exposition is highly structured and rigorous, but I am missing in ...
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How do I calculate inflation adjusted CAGR?

I'm running backtests with monthly data going back to the 1920's and I'd like to compare different strategies using inflation adjusted CAGR. But I don't know how to calculate it. Would any of these ...
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Historical Economic Release Calendar

Does anyone know if any providers have a historical economic release calendar? For example, releases of things like ADP private employment, or ISM surveys? I ask because I would like to backtest a ...
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probability on strategy expected return

I’ve been thinking about this for awhile and couldn’t figure it out myself. Assume you have a trading strategy, which return is normally distributed. strategy return has a mean of 1 basis point and a ...
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How to backtest using portfolio compositions in python using backtrader

I have a csv file / pandas dataframe which looks like this. It contains various portfolio compositions for different strategies. Mostly based on different optimisation methods, max sharpe, min VaR etc....
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What data should I use for a machine learning model

I would like to ask you for an advice of any of you could help me with this information it would be really helpful. I am trying to build a reinforcement learning trading bot that based on the current ...
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Backtesting python libraries [duplicate]

Might there be any backtesting libraries in Python that computes the various statistics (Sharpe Ratio, Calmar Ratio, drawdown, win rate etc) given a dataframe of holdings and its holding duration (...
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Curve fitting under different regions and stitching

Is there a way to fit a 2D curve under the following conditions: The curve is defined by 2 functions for x>a, and x<a Prefer a fit that is continuous and differentiable at x=a
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Formerly profitable algorithmic trading strategies?

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?
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How long do algorithmic trading strategies typically remain profitable?

As I understand it, an algorithmic trading strategy could lose profitability, if, for example: it's rediscovered by others employee turnover leaks the strategy to others market conditions change ...
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Backtesting multiple portfolio optimisation and trading strategies using number of stocks to purchase as input

I want to backtest a trading strategy + portfolio optimization but I have never used a backtesting program before. I am comfortable with python I think. My outputs from my trading logic (after ...
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Steps to fit a Machine learning model for prediction of up and down market movement

I have around 5 years of data of an index containing many features on a daily basis. I want to classify whether the index will move up or down the next trading day (up or down movement is determined ...
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237 views

Trading strategy for a misspecified density

I am trying to implement a strategy that exploits potential misspecifications in density predictions (e.g.: long states with too-low probability; short states with too-high probability). In particular,...
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As reported financial statements historical data [duplicate]

May I request for suggestions on data vendors for historical as reported fundamental data? For example as reported eps, as reported revenue, as reported depreciation and amortization expenses? I tried ...
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129 views

Known mispricing opportunities only available for small traders

Warren Buffett has famously said that he could generate 50% annual returns if he was working with small sums of money. (He cannot move the needle enough now with large amounts of capital). Perhaps two ...
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How to compute returns of a Pairs Trading Strategy with different holding periods?

I am currently working on a project where I am testing a Pairs Trading Strategy based on Cointegration. In this strategy I am considering to trade a couple of hundred stock pairs every day over a time ...
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316 views

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 ...
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Effectiveness of trading strategies

Generally, a trading strategy is effective for a certain duration which is a function of the environment, news etc. I am currently learning about basic strategies that are (or once were) used. Some ...
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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 ...
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What are good examples of using Big Data for a trading strategy?

As the title say, I am looking for trading strategies in the stock, bond, forex market, that rely on the usage of Big Data. The more out of the box strategy the better. Also if anyone knows any ...
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72 views

Are there better performance measures for mean-reverting vs trend-following trading strategies?

The Sharpe ratio is often used as measure to assess risk-adjusted returns of trading strategies. However, there are also other measures that can be used to assess risk-adjusted returns like the ...
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Pairs Trading (Cointegration Approach) - Daily Cointegration Test

I have a question regarding the Pairs Trading strategy based on the Cointegration Approach. Most of the papers/literature I found on Pairs Trading using the Cointegration Approach are usually testing ...
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Strategy in mql5

I have the following code(is not mine) in an Expert Advisor: if((Handle(DXHandle, 0) - Simbolo.Ask()) >= (DXPontosDistancia * _Point)){...} Handle(DXHandle,0) ...
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113 views

How does a trader choose how to size his 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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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 ...
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How to Manage Large Orders

Forgive me for any violations of posting rules, I’m new to this forum. I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, ...
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How does Intrinsic and Time Premium factor into deep ITM options for leveraged securities

So I'm curious about the downside risk on this trade. Some backstory - I noticed the options chain for TZA had basically no volume or open interest for deep ITM calls about a week ago while also ...
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Which exact interest rate should I use for valuing equity index futures (ie. SPX, MXEA)?

I'm trying to build a model that values futures for equity indicies like SPX. For example, this product link here. I know that the model is simple (please correct me if I'm wrong): $$ S_{T} =S_{0}e^{(...
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Leakage and bias in XGBoost trading strategy

I apologize for my persistence, i'm on a course of study and doubts increase every day. My goal is "just" to code a profitable forex trading strategy with machine learning. I'm trying to ...
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129 views

Corwin-Schultz estimator of bid-ask spread

I am reading a paper "A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices" cf.A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices The authors proposed ...
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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 ...
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3answers
152 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 ...
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1answer
150 views

Optimize Bollinger Bands Strategy

I was proving a very simple strategy with Bollinger Bands for a intraday timeframe (1 minute) that buy on lower band and sell in a higher band (Very common strategy), but in backtesting in E-Mini SP ...
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113 views

Machine Learning model forecasting on real time data in python

I’m building a Forex trading system based on machine learning with Python and brokers API. I get price time series data + fundamental data and then i train the model on that. Model means SVM, RF, ...
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110 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 ...
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1answer
277 views

Factor investing and PCA

I'm struggling to understand how Principal Component Analysis (PCA) is used in Factor Models of returns. For example, in the JPMorgan paper (p.19) the authors write: In a multi asset portfolio, factor ...
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131 views

Quantifying Bollinger Band squeeze

I'm interested in experimenting with Bollinger Band squeezes to see if a strategy can come of it. A simple definition is a narrowing of the bands like the example below. Really, only the standard ...
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What's the intuition behind factor grouping?

From the book "Finding Alpha", written by a popular quant fund WorldQuant, explains many techniques about quantitative investing but intentionally omits many of the caveats and applications ...
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79 views

Ideas for calculating Accumulation/distribution and buying selling/pressure

With tick level data I'm trying to understand the day's action: Whether the stock was being accumulated or distributed during the day and The buying and Selling pressure throughout the day The first ...
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108 views

Is there a framework to study quantitative model robustness/uncertainty?

Can you point me to any resources about a possible framework to analyse and possibly quantify model uncertainty and -robustness associated with quantitative investment models? As an example, there ...
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121 views

Machine learning algorithms that generate trading models (literature)?

Is there any academic literature on machine learning algorithms that are able to generate functioning trading models? Would this even be feasible at all, now or in the future? Could you point me to ...
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Can I use the Sharpe Ratio as an objective function in algorithmic trading?

I’m experimenting with custom loss functions for different trading rules and have come across a few articles citing success in directly using the (negative) Sharpe Ratio as a loss function, ...
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301 views

What is “signal” in quant investing?

Can somebody explain (and give examples) of "signals" in quant investing? What are those? What does this word mean?
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Are momentum returns negatively skewed?

In the academic literature, I found that momentum returns are negatively skewed (e.g. Daniel and Moskowitz, 2002). As far as I understand, this usually happens when the "past losers" rebound ...
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Hedging costs and BS-price

I'm looking at the chapter, "The Greek Letters" in Hull's book (Options and derivatives...) and in particular the paragraph "Dynamic Aspects of Delta Hedging". He demonstrates two ...
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2answers
133 views

What kind of returns should I use for my model?

I'm building a machine learning model with the aim of learning a daily strategy of buy or sell the stock. I was wondering if I should use adjusted close price or something else to calculate returns (I ...
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Any books on systematic investing in credit securitized products (RMBS, CLO)?

I'm looking for books/research papers that would have information on systematic strategies used in the Credit Securitized products space (specifically RMBS, CLO, etc.), if there are any? I've been ...

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