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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50 views

generalisation of cointegrated stock pair strategies to multiple cointegration

Question: as it is well known, there are strategies to trade pairs of stocks which are known to be co-integrated. See for instance here: https://medium.com/auquan/pairs-trading-data-science-...
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50 views

What are quant trading competitions besides IQC?

I am interested to participate quantitative trading competitions. I am residing in Singapore. The only quant trading competitions that I know are International Quant Championship (IQC) and SMU ...
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59 views

In-sample and out-sample backtest performance, how to do this?

I have a strategy in development that I am backtesting to optimize for parameters, a total of N combinations. Trying my best not to overfit. I run the first backtest for the in-sample period and I ...
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2answers
119 views

Reference on Futures basis trading strategy

I have heard that it is possible to trade on the futures basis. In my understanding, the futures basis is essentially the difference between the futures price and the underlying asset (also referred ...
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72 views

How can stationary time series data be used as input in an ML model?

I am halfway through "Advances in Financial Machine Learning" by Marcos Lopez de Prado. I understand that a time series like stock prices can be transformed to make it sufficiently stationary. ...
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49 views

How to properly hedge a short vol taking into account hedge stop loss?

Suppose a short straddle. In practice, hedging with long/short futures exposes to the risk of hitting a stop loss when market movements are wide. Eventually, it may very well happen that the hedge ...
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Is there any good research on daily technical indicators?

Question In short, I am looking for any academic research that deals with 'selection of features that changes on a daily basis' In other words, academic researches studying 'which technical ...
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1answer
142 views

Finding optimal trading of option on a foward

Assume you have a option on a forward $F$ with a payoff: $\max(F_T - K, 0)$. Assume also, that you have a bullish view on the forward in such a way that $E_{0}[F_T] > F_0 = E_{0}^{*}[F_T]$ (where ...
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95 views

how to avoid building a strategy that depends on very long trends

When I construct a strategy, it is easy to make subtle dependencies on trends that have existed for a long time. Sometimes it is legit to explicitly take advantage of the trends. For example, it has ...
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2answers
181 views

Are there any quant strategies which do not involve simultaneous buying and selling of two or more assets?

Whenever I read about quant strategies it leads me to stratergies which involve simultaneous buying and selling of two or more assets. Pairs trading, arbitrage, market neurtal or headging all these ...
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147 views

How to improve fitness and turnover in websim?

Well, I am new to quantitative finance.After reading a few things I started developing alphas on the websim platform by worldquant.Almost all the alphas I made had a decent sharpe(>2), but they ...
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69 views

Combine fundamental and market data into one ML model

What are the best tested ways to preprocess data with very different frequencies such as fundamental and market data into same ML model for quant trading?
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230 views

What are some beginner quantitative option trading strategies?

I'm new to quantitative trading, with good knowledge in finance and coding (mainly Python, Java, R, etc). I would like to know if there are any basic quantitative option trading strategies that can ...
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25 views

RUGARCH (output) and Residual Resampling using GARCH(1,1)

I try to replicate the methodology proposed by Freedman and Peters (1984a, 1984b) which was applied in the famous paper by Brock, Lakonishok and LeBaron (1992) to generate many artificial log return ...
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62 views

Can I make the simple moving average less lagging by this method?

I have (T+3) predicted prices for a stock. Let us assume that the predicted prices are going to be very close to the actual prices. can I alter the formula of simple moving average for 20 days like ...
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509 views

Quantitative strategies in the Fixed Income space

I'm looking to learn more about systematic strategies in the the fixed income space, particularly in Rates products (anything from simple cash to inflation or vol). I've been reading a couple of ...
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The “Universal Model” by Justin Sirignano and Rama Cont

In the nicely written article https://arxiv.org/abs/1803.06917 by Justin Sirignano and Rama Cont, they explained that their model is universal and stationary. I am a bit confused about some questions. ...
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Pairs trading strategy: Portfolio returns and NAV

Currently trying a pairs trading approach using cointegration. Tried both formations: $$log(P_t^A)=log(P_t^B) \hat{\gamma}+\hat{\mu}+\epsilon_t \hspace{0.5cm} (1)$$ $$P_t^A=P_t^B \hat{\gamma}+\hat{\...
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1answer
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Question about inverse leverage etfs

https://www.math.nyu.edu/faculty/avellane/LETFSlides.pdf This shows that when that the inverse fund grows assuming zero volatility at $e^{r(1-b)}$ where $b$ is the leverage used and $r$ is the ...
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3answers
92 views

Which stock tick has its geometric asian call?

Many finance books introduce the pricing on geometric asian call/put options underlying black-scholes model, since its price has its explicit formula. I am not sure, if geometric asian option is ...
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404 views

Quant Interview Course [closed]

I there any course on for quant that covers all the factors such as logical reasoning, puzzles, statistics, probability, time series analysis, portfolio management, options, machine learning, and ...
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83 views

Yield Curve Trading Strategy Explaining Books

Recently I really enjoyed being here while getting great recommendations. Would like to thank you all. Could you please recommend some books/papers on trading strategies, lets say yield curve ...
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330 views

DB quant research

I'm trying to find DB quant research papers in "Signal Processing" series - particularly interested in "Signal Processing: The options issue" (2010). Would appreciate if anyone could share it.
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66 views

Removing stocks from simulation based on long term out of sample performance

I have performed a simulation on a stock universe and have found some stocks that out of sample have never performed (every day they always lose money in the simulation). I don't want to introduce ...
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2answers
171 views

Given a factor which is correlated to price, how to generate trading signal?

Let's say through different means, I have a factor which is fairly correlated with price. How can I create a trading strategy using this information? How can I generate buy and sell signals given a ...
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1answer
275 views

Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?

The only related papers I can find are: Financial Trading as a Game: A Deep Reinforcement Learning Approach (2018) Deep Neural Networks in High Frequency Trading (2018) MACHINE LEARNING FOR TRADING (...
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4answers
114 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 ...
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0answers
150 views

How to calculate “Differential Sharpe ratio”?

Instead of using the "sliding the time window" method of calculating the sharpe ratio under online framework, they've defined "differential sharpe ratio" as such But under equation 5, you can ...
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145 views

Arbitrage from ATM option trading?

So I was testing out a collar options strategy (long put, short call, and long shares of the underlying stock) in a backtest for a school finance project, and the profits & losses are given by the ...
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3answers
268 views

Historical tick data level 1 and level 2

I am a software engineer and want to run some simulation of over historical market data . I am pretty new to finance and trading world. To automate some of my strategies I would like to run some back ...
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1answer
168 views

Option order imbalance

Currently studying the paper: HU, Jianfeng. Does Option Trading Convey Stock Price Information?. (2014). Journal of Financial Economics. 111, (3), 625-645. Research Collection Lee Kong Chian School ...
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1answer
73 views

Benefits of systematically trading OTC options instead of exchange-traded options

Is there a case to trade liquid OTC options (FX, single-name equity, swaptions, etc.) instead of exchange-traded index options in a systematic strategy?
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662 views

What are trade markouts?

I have experience in trading but mostly in lower frequency quantitative trading. I've moved into HFT research and someone the other day mentioned markouts. I couldn't find anything online explaining ...
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88 views

Machine Learning Algorithm to find backtesting parameters? [closed]

I have used ML to create indicators for performing trades in financial data. Currently I use custom logic (plenty of if conditions) for backtesting. However there must be a better approach. ...
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1answer
110 views

Klein and Chow Orthogonal Transformation - Lowdin Orthogonalization

I've doing research on the orthogonal transformation in Orthogonalized Equity Risk Premia and Systematic Risk Decomposition They borrow a mathematical technique called symmetric orthogonalization ...
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1answer
274 views

How could one trade volatility skew if you think it's too flat or steep?

We all know that you can trade on a forecast of volatility by dynamically hedging, but I'm wondering if there's a similar technique where in you can trade the skew specifically? Let's say you travel ...
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2answers
213 views

What is the strategy for this piece of information

Heavy Math background, very light finance background: Suppose I have a stock $S$ whose price is measured by the market once on times $t_0$ $t_1$ $t_2$. Now the market has some opinion for how the ...
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1answer
79 views

Assessing goodness of a Technical Trading Rule using a ROC model

I am testing various technical trading rules (TTR) on the cryptocurrency market. I have already setup some significance tests, to compare the returns and volatilities. I would now like to test it ...
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0answers
123 views

Exotic derivatives - Replication

I would like to replicate the payoff Max(0, Min(S1, K) - S2) with a combination of the following derivatives: -> option on S1, strike of our choice -> option on (S1-S2), strike of our choice -> A ...
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1answer
143 views

Fundamental factor analysis using portfolio construction

I am a new aspiring quant who is trying to build a fundamental factor algorithm to rank stocks for a basic long/short strategy, so sorry for the likely very basic question. Nevertheless... Why do you ...
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0answers
195 views

Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?

Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent $Q-$ ...
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1answer
70 views

Why the spread is calculated on raw prices instead on the price changes?

I'm reading Quantitative Trading With R written by Harry Georgakopoulos. In chapter 6 he exposes a basic quantitative strategy based on setting up a stock spread and buy when it is below a lower ...
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2answers
327 views

Can someone please share examples of machine learning in quantitative finance? [closed]

There has been a lot said about the application of AI, ML and Neural Networks in trading for predictive modelling. I was unable to find any relevant examples that prove a credible output based on ...
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61 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 ...
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2answers
171 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 ...
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51 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: ...
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2answers
124 views

Quantitative Finance education/skills [closed]

What is currently most desired in candidates by employers in quantitative finance/algorithmic trading? Strong quantitative academic background, for example, MSc/PhD in Physics, Engineering, ...
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1answer
124 views

Calculating Flat Price Risk for Physical Commodity Trades

I've been reading Craig Pirrongs Economics of Trading Firms published by Trafigura: https://www.trafigura.com/media/1364/economics-commodity-trading-firms.pdf Very informative read. The point I have ...
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43 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, ...
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1answer
311 views

Implementing the Sharpe's return-based style analysis on Python

I am trying to implement the Sharpe's return-based style analysis on Python. The problem is formulated as follows: ...