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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 human trader) or automatically (by a computer).

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1answer
35 views

evaluating garch models

I used ugarchroll to backtest my garch model on S&P returns this is my code ...
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Is there a good book/blog on applying statistical methods in finance? [on hold]

I am learning a lot of tools in statistics, but I am having a hard time figuring out where I could apply these methods in finance, especially in relation to investment and trading. Is there a good ...
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1answer
79 views

Pairs Trading situation Spread changes

I'm setting up and following a pair trading operation by the method of summing the distances squared (SSD). After determining the best pairs, I have to track the spread between the normalized prices. ...
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1answer
75 views

Choosing best expressions from all possible combinations on variables, unary operators and binary operators along with hyper parameters

I have a few financial variables of a stock universe like OHLC prices, volume, and other fundamentals with varying time-frequency. Using this set I'm creating an expression that gives the weights to ...
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69 views

pca for yield curve

I used Principe component analysis on yield curve data this was the result ...
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2answers
100 views

What are the best [free]resources to learn C++ particularly for quantitative finance?

What are the best free, online resources to learn C++ for quant finance? The course by quantnet seems too expensive for a broke student like me! If there are any free online resources, let me know! ...
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1answer
50 views

Exposure/Factor Analysis on a loan portfolio?

I am working on performing factor analysis on a loan portfolio. This is my understanding so far, and I was hoping that some of the smart folks here might be able to chime and guide me through this ...
2
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1answer
70 views

Bootstrap Method for Assessing Pairs Trading Performance

After reading this paper I tried to replicate it. I almost done, but I am stuck on the section 3.6 where the author constructs a random pair (how he constructs this?) for Assessing Pairs Trading ...
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37 views

Option arbitrage on two correlated or cointegrated underlying assets

If two indices are highly cointegrated, does it allow for some set of statistical arbitrage strategies for european options for which those indices are single underlyings ? Does answer change if ...
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59 views

When to remove a trading strategy?

Every strategy has a limited lifespan. How do you decide when to stop a particular strategy as it has lost its edge? Few of things that can be thought is strategy crossing its maximum drawdown, net ...
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63 views

Kingdom of Denmark Nikkei put warrants

I have read in a book from Emanuel Derman that Goldman Sachs manufactured a derivative in the early 90's that consisted of buying cheap puts on th Nikkei index (and paid in Yen), combined them which a ...
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1answer
93 views

How would this 10s/20s steepener work

Say I'm interested in a trade that wants to execute a 10s/20s steepener This is done via a receiver leg on the 10s and a payer leg on 20s Look at the following example (the figures are all ...
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2answers
494 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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1answer
145 views

What on earth is an Alpha Model in the quantative investment process?

I am confused with the useage of the concept "Alpha Model" in quantative investment. According to Qian, Hua & Sorensen (2007), the first thing in the toolbox of quantative investment process is "...
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3answers
561 views

What is the appropriate benchmark for a Long/Short VIX futures strategy?

Trying to figure out the benchmark for a L/S Vix futures stragegy, doesn't seem like only long or short Vix futures would be appropriate, any ideas? Thx
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110 views

Supertrend indicator formula

Recently i am working on an indicator called "Supertrend", however i am a hard time to get the right value. The formula ...
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2answers
72 views

How does duplicate data affect backtesting?

Before developing a trading strategy, one should clean and preprocess his data set. It is very common that a data set contains huge number of duplicates. Question: How does duplicate data affect ...
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1answer
106 views

ARMA+GARCH day-trading strategy

I have a question regarding this particular post on quantstart: https://www.quantstart.com/articles/ARIMA-GARCH-Trading-Strategy-on-the-SP500-Stock-Market-Index-Using-R In it, he designs a day-...
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What are your favourite benchmarks for signal (pre-trading strategy) backtesting?

In some situations, e.g testing the value of individual signals to be built into an ensemble method, it can be a bit too early to implement trading logic for the strategy needed to do a standard ...
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284 views

Position sizing in algorithmic trading

Good morning, I have a question, regarding position size in algorithmic trading. I have a strategy that every day generates signals for buying or selling positions on different stocks. I'm looking ...
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3answers
336 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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2answers
118 views

Why do we need event-driven backtesters?

I am reading this article at quantstart regarding event-driven backtesters. It seems to me that the main advantage of using an event-driven backtesters is that it avoids look-ahead bias. Usually I ...
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73 views

Stock prices and PCA

I'm trying to construct a portfolio using PCA based on a number of stocks. I was wondering what the best way to standardise the stock prices are. Which method would be more appropriate? Standard ...
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2answers
1k views

Does QuantConnect use both bid and ask data for backtesting?

Or Quantopian? How about Python libraries like ultrafinance and PyAlgoTrader?
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4answers
1k views

Explanation of Standard Method Generalized Hurst Exponent

Apologies if this question is vague, I've gone over how to word it several times in my head, and I'm not sure it gets clearer each time. I've been looking at this website article https://www....
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1answer
151 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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1answer
66 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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149 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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2k views

What are the textbooks used to teach Quantitative Trading at universities?

For example, Stanford has a class (STATS242 - Algorithmic Trading and Quantitative Strategies) on quantitative trading. But i am not able to determine what are the textbook(s) used in this course. The ...
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1answer
68 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
160 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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2answers
189 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 ...
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1answer
102 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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56 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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2answers
107 views

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
148 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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2answers
197 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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0answers
102 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 ...
2
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1answer
389 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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0answers
257 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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2answers
177 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 ...
2
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1answer
86 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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1answer
78 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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4answers
9k views

What types of neural networks are most appropriate for trading?

What types of neural networks are most appropriate for forecasting returns? Can neural networks be the basis for a high-frequency trading strategy? Types of neural networks include: Radial Basis ...
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2answers
5k views

Regime-Switching Model for detecting market shifts

I'm always wondering whether anyone has utilized regime-switching models successfully in forecasting or trading. Academia has long discussed this topic in-depth, such as using Regime Switching ...
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0answers
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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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69 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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2answers
644 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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1answer
522 views

Selection of optimal backtesting parameters

Suppose I backtest some strategy on in-sample data while varying two parameters, say $X$ and $Y$. $X$ can take the values $\{3,6,9,12,15,18\}$ while $Y$ can take $\{10,15,20,25,30\}$. I want to select ...