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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25 views

How to compute NPV of Latin American swap CLP-TNA (chilean) using quantlib?

I am trying to value the Latin Americans swaps. But CLP-TNA valuation is far off from the actual valuation. Please suggest, what I am missing in below methodology to compute NPV. ...
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What are the most common ways that quantitative funds construct industry/style-neutral factor portfolios?

For instance, consider momentum strategies. Naive portfolio construction will likely load on large style/industry return components, which increases portfolio risk dramatically. How do quant funds ...
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I want to get a get stock prices for a vertical list of tickers in a csv file for a particular date [closed]

I am trying to make a simple code for determining ITM and OTM calls and puts. I have downloaded the FO data which contains all the Tickers and their strikes. However, the csv is missing the underlying ...
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70 views

Does time remaining matter in NO Touch-ONE Touch probabilities?

I asked a question some days back and got an answer which I understand and make sense: Probability of touching short call strike and not touching touching short put strike of a short strangle? However,...
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2answers
100 views

One touch UP no touch DOWN, One touch DOWN no touch UP [closed]

I was reading about exotic options and I came across something new. One touch down no touch up option and the other one I saw was One touch up no touch down option. I would like to understand how it ...
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110 views

Questions regarding a “lite/kindergarten” Barbell investement strategy implementation

The idea for this question is more or less taken from a slight hint regarding how Universa Investments L.P. functions from Taleb's Antifragile (obviously the real case is far more complex but this is ...
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How to extract informative value from correlations of assets? Subadditivity of correlation calculation an issue

I was reading Nassim Taleb's Paper: Fooled by Correlation and found it very informative. I had always struggled with finding value in correlation in Finance, especially seeing a lot of bad ...
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1answer
125 views

Question about calendar spread mean-reversion strategy

I'm excited to ask my first question here! I'll try to describe the mean-reversion strategy with some background, then explain what I couldn't understand. The strategy is described in Earnest Chan's ...
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How to choose a stock? [closed]

So far, I have only been working on systems that track numerous stocks and evaluate which present the best opportunities at a given time. I have grown curious about building a day-trading system that ...
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3answers
559 views

If 90% of retail traders lose money, doesn’t that mean price movements are not random?

If 90% of retail traders are said to loose money, which trade in the short term, doesn’t that mean price movements are not random? My reasoning is that if short term price fluctuations were ...
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2answers
380 views

What is the reason for using log prices in Pairs Trading (Cointegration)?

I was wondering, why some of the research papers on pairs trading (using the cointegration approach) are using log prices to determine the spread of a pair? Why are they not simply using regular ...
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83 views

Why not calculate Kelly using semivariance? As w Sortino

Kelly is calculated as mu / sigma^2. If we remove our highest performing returns from our calculations this actually increases our Kelly leverage, which does not make sense to me. A less profitable ...
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How can one, from regular predictions of high & low prices of a security, their variances and error covariance, construct a trading strategy?

Suppose I have an algorithm that provides a prediction of the daily high and low of some security n periods in the future, a confidence interval for each of these predictions, and the correlation ...
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Sharpe ratio differs from Tradingview

I tried to backtest a simple strategy on TradingView, it made 6 trades with these results: Now I want to calculate Sharpe ratio using definition provided by TradingView. So, my daily returns(...
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64 views

Expected value of P&L based on option prices

How can we compute the expected value of P&L assuming the option price is given? Do we need to have more information to calculate P&L?
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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 ...
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How to Calculate JDK RS Ratio of a brazilian stock

I'm trying to calculate JDK - RS Ratio using python, however it seems it is not working well. These are some articles that i've found on the internet, concerning JDK RS Ratio: How to calculate the JdK ...
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45 views

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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99 views

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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23 views

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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22 views

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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39 views

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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41 views

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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1answer
105 views

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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1answer
86 views

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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1answer
283 views

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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1answer
71 views

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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1answer
249 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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1answer
135 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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1answer
96 views

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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1answer
395 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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65 views

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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1answer
131 views

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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1answer
81 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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98 views

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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38 views

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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1answer
116 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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1answer
64 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 ...
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1answer
69 views

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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33 views

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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41 views

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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79 views

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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1answer
176 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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