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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 ...

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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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25 views

Simating a Cppi strategy with stochastic interest rates

I Hope someone can help me despite my english Is not that good. In trying to set up a similation code for a costant proportion portfolio insurance. My portfolio Is composed by risky assets and free ...
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0answers
57 views

quant trading strategy analysis

I have been playing with some quantitative trading strategies and I have now developed a model and I am at the point of analysing the results. Can somebody help me analyse the following trading ...
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1answer
54 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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1answer
64 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
134 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
79 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
68 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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0answers
92 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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0answers
312 views

How to measure statistical significance of a non-binary-position trading strategy for an irregular time series?

What are the different ways to identify/measure whether a trade strategy is statistically significant? Specifically I have an irregular time series of individual trades between: other buyers and ...
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0answers
40 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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0answers
52 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
58 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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1answer
153 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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0answers
59 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
78 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 ...
1
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1answer
95 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
184 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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0answers
31 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
78 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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20 views

Isolating the portion of the market indexes' returns that are independent of the other market indexes

I am trying to find a way to isolate the portion of the market indexes' returns that are independent of the other market indexes. My dataset comprises of 10 sectors (Technology, Financials, Utilities, ...
2
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1answer
101 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
144 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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0answers
43 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
220 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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0answers
55 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
151 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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0answers
42 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
91 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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0answers
35 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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0answers
104 views

Just a validation question for experts in the field: Is this guy a serious player? [closed]

There is a gentleman by the name of Marcos Lopez de Prado. His reputation seems mostly self-proclaimed. How break through are his methods? From a quant perspective, the stories he tells, there ain't ...
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0answers
41 views
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1answer
162 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: ...
1
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1answer
58 views

How can I reproduce the experimental verification of the “False Strategy” theorem plot?

I recently came across the following blog post talking about the importance of back-testing overfitting, and a plot claiming to be an experimental verification of the False Strategy theorem. The ...
4
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2answers
136 views

Lagged Residual as Independent Variable

I am building a factor model to estimate future equity returns. I'd like to include an autoregressive residual term in this model. I'd like to have yesterday's error (the difference between yesterday'...
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0answers
46 views

Probability of outlier events for laplace distribution

I've read that the laplace distribution is better for forecasting purposes than the normal distribution due to it better accounting for fat tails. However, when I run the numbers in matlab, laplace ...
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1answer
163 views

approach on trading algorithm using machine learning [closed]

let's say I am supervising a algorithmic trading project using machine learning. I don't have involvement in the technical side but am involved in the high level planning. the style is likely ...
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1answer
73 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 ...
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0answers
40 views

Dealing with missing factors

I have to deal with a factor investing strategy, with the particularity that I can't get a value for the factor for each date for each stock. Practically speaking, this is due to the fact that this ...
1
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1answer
68 views

Adding a new strategy to an existing portfolio

I wanted some help in looking for suitable articles/literature. Suppose an investor has a bunch (bouquet?) of quantitative strategies already generating trading signals for him. If he comes up with a ...
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0answers
39 views

How to find the maximum clean price during lifetime of a bond

I'm trying to find a solution to following question: If I'm buying a bond and assume an upward sloping yield curve, than this bond will (under certain circumstances) experience price gains during his ...
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0answers
65 views

Understanding Forex Positions

I am new to forex trading and using an Oanda free practice account to play with it. However, I'm not understanding a few things. When I buy or sell a currency pair, am I buying/selling a currency or ...
2
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1answer
737 views

How to calculate Sharpe Ratio from $ returns?

I have a pairs strategy that I am trying to calculate the sharpe ratio for. Currently I am using python for my analysis and calculation. I have a dataframe that contains the cumulative returns in $'s ...
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0answers
34 views

How are Risk indices linked to Physical Trading returns?

Ref to my previous question here: Physical trading spot transaction analysis-Quantified I have been able to narrow down my aim to defining a physical trading strategy P&L. My question is, how ...
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0answers
34 views

Trading rules: Controlling the portfolio FDR+ level

I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not ...
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0answers
51 views

Physical trading spot transaction analysis-Quantified

ref to my previous question here: Physical commodity trading quantitative risk return model I am currently new to commodities and physical trading. I have currently narrowed down my area of analysis ...
4
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2answers
153 views

Physical commodity trading quantitative risk return model

I am very new to commodities, I was previously in portfolio management/optimization (Black Litterman Markowitz etc). I am now a Buy-Sell analyst for Petrochemicals, and need to understand the basic ...
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0answers
73 views

Which stats are the best predictors of model sucess in real time? [closed]

What are the best predictors of real time model success in quantitative trading, i.e. # of transactions, length of backtest, StdDev, Skewness, Excess Kurtosis etc and what are the numerical values of ...
3
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1answer
168 views

Papers and books related to “Forex” market microstructure

There are lots of papers and books on this topics but haven't seen much specific to forex markets nowadays. Any recommendation on recent papers or books?
3
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1answer
370 views

Understanding Cover's Universal Portfolio Algorithm

I am trying to implement the Universal Portfolio algorithm strategy inspired by the paper by Professor Cover from Stanford. At the moment I am trying to understand the underlying logic of the ...