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
78 views

How to properly classify rate of change?

I am working in a Machine Learning Model for Bitcoin Price. I am attempting to predict how much the price changes in the next day. I am approaching this as a classification problem instead of ...
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59 views

Equivalent of Force Indicator Within Ta-lib

Is there any equivalent of the Force indicator (http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:force_index) within the talib library? (...
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1answer
333 views

Scaling (Data prep) & Feature selection for the financial Data for LSTM Models

Overview I'm training an index e.g. FTSE100, where I have 8 years of past data (daily). I also have a list of its constituents. For each stock, I have the following features: ...
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55 views

Name of an indicator based on price change and volume

If a(t) is the price of an asset and v(t) is the transaction volume of that asset against say USD, one can look at the integral over a time period of v(t) a'(t). In words, this is the cumulative ...
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1answer
148 views

Momentum Analysis on Indices

I'm interested in analysis of day-on-day momentum of certain large indices. In particular, I'm interested in the predictive power of the sign of the price change of the first hour of trading with ...
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2answers
230 views

Quantitative features of asset price bubbles beginning

Surprisingly, I've found very little research on this topic. Research papers I've come across propose some simple models to say that asset prices might be in a bubble. Most of the models take these ...
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1answer
116 views

Calendar spread pricing: how find the final value of call long

Consider a calendar spread: short a call expiring at $T_1$ and long a call expiring at $T_2$ ($T_2>T_1$). I didn't understand how estimate the price of the long call option at $T_1$. With a payoff ...
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1answer
769 views

CAPM and factor modeling: Machine learning

Excuse my ignorance with this I am still trying to wrap my head around the interpretation of the Fama French 1992 factor paper. I come from a computer science background but I am interested in ...
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94 views

Backtesting: what happens to real-executed order if mine fills instead?

I'm writing a backtester and using an order-by-order Nasdaq ITCH feed whilst testing it. Let's say the bid-ask spread is 100 @ 9-11 @ 100 My strategy inserts an bid order for 100 @ 10 and this ...
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106 views

Investment Bank VWAP Execution ranking

Is there a ranking of Investment Banks institutional VWAP execution algorithms anywhere (who beats the benchmark price most consistently and by how much)? Thanks
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2answers
833 views

Didier Sornette's Strategy to Exploit Return Correlations

In his book, "Why Stock Markets Crash", Didier Sornette discusses a trading strategy that exploits return correlations. Consider a return $r$ that occurred at time $t$ and a return $r'$ that ...
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2k views

statistical arbitrage vs factor trading

I've recently read Avellaneda & Lee which seems to be widely recommended as an introduction to Statistical Arbitrage methods in trading. For those who aren't familiar with the paper, the method in ...
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2answers
241 views

Positive PnL with long volatility strategy

Suppose I was interested in longing volatility. Suppose I bought a long straddle today which expires in 3 months. Suppose that volatility was very high in those 3 months, however, the stock expires at ...
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126 views

Need some suggestion about short vxx long vx future strategy

I read a post by M. Avellaneda trading volatility At page 59-62 there's Strategies with VIX futures to hedge short VXX I'd like to reproduce the result. I am not sure how to do it. Some key points ...
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492 views

stochastic modeling and machine learning [closed]

For a little bit of background, I've been studying stochastic calc and a few of it's applications (currently I'm still at the early stages of learning applications) and have been curious as to whether ...
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1answer
306 views

Doing opposite of what the model says

Is it considered a viable trading strategy to do the opposite of a consistently losing model? That is, whenever the model says short, you go long, and vice versa. Disclaimer: I would never do this. ...
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1answer
297 views

Why do trading strategies lose effectiveness over time?

I don't do any financial trading, and this question came up to me as I was browsing through some questions on this SE. A general sentiment I felt after reading though several questions on this SE, is ...
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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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4answers
311 views

Why do anomalies disappear after they get detected?

In financial markets, anomalies refer to situations when a security or group of securities performs contrary to the notion of efficient markets, where security prices are said to reflect all available ...
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2answers
202 views

Applying my Machine Learning class (possibly to small markets) [closed]

I've finished a university course in statistical machine learning that covered topics such as regression, classification, neural networks, SVM, PCA etc. The class was quite tough and rigorous (we had ...
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619 views

Rationale behind volatility dispersion (or correlation) trading

When looking at the explanation of CBOE S&P 500 Implied Correlation Indices available here, it is written that such indices: [...] "may be used to provide trading signals for a strategy known as ...
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2answers
117 views

How to test a strategy with a small capital? [closed]

I have developed an algorithm / model that predicts the next day direction of CBOT wheat futures. It performs sufficiently well in backtesting that I'm interested to see how it would perform with real ...
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1answer
94 views

Literature on credit risk premia

I am looking for a comprehensive ressource describing known strategies of credit risk premia. Is there such kind of articles/books/websites?
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1answer
170 views

How well would Technical Indicators have done before creation?

Backtesting technical indicators (that determine market psychology) - how well would they have done? For example RSI was published in 1978. Before its creation - did it performed better or worse?
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1answer
398 views

Algorithmic Trading [closed]

I am a novice when it comes to algorithmic trading with strong interest in the subject matter. As I am looking around for online courses, I can only find one course called Algorithmic Trading ...
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2answers
186 views

Questions on continuously compounded return vs long term expected return

I have reading a paper from Oliver Grandville on long term expected return. I am trying to reconcile what I am reading in that paper vs what I see under "Application to Stock Market" in Kelly ...
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3answers
971 views

Looking for free historical EOD prices of stocks from S&P 500

I'm trying to build a database of historical stock EOD price data with no survivorship bias, primarily from the S&P 500. I have looked through numerous data sources from this website to create a ...
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65 views

Reduced rank / matrix factorisation techniques and their uses in portfolio optimisation?

I am interested in reduced rank / matrix factorisation techniques and their uses across finance and portfolio optimisation. For example, PCA might be used to reduce the number of components you are ...
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0answers
424 views

Can a stat arb alpha be a global macro alpha?

In academic literature, "statistical arbitrage" is opposed to (deterministic) arbitrage.[1] In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others. ...
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53 views

Flow Variable and Stock Variable

I am new to stochastic control and I need your help! Suppose that we are a trader and we are trading based two sources of signal. One comes from the stock's flow of dividends as well as another trader'...
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236 views

Quantitative Strategy on Variance Swap (master thesis)

I am doing a master thesis on Variance Swap and my dear friend told me I could find some valuable help on the "Quantitative Finance Stack Exchange". I would like to apologise beforehand, if my ...
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2answers
945 views

Is there a non-recursive way of calculating the exponential moving average?

I want to calculate the exponential moving average for many stocks in a large investable universe. To do this, I've seen the following formula: Because it references the previous day's exponential ...
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2answers
660 views

pairs trading, normalization

I am interested in implementing a simple pairs trading strategy using two correlated futures contracts. I am unsure what the best way to normalize the prices of the two instruments is. Essentially ...
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1answer
472 views

How to use exponential smoothing for trading?

I was wondering if there's a rule of thumb regarding the value of alpha used when performing exponential smoothing. I plan to use this technique to preprocess my data before feeding them into my ...
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139 views

reconstruct LOB from NASDAQ ITCH -how to handle market price order

I am trying to reconstruct the limit order book from the NASDAQ Historical TotalView -ITCH data. After I decode the raw data, I can successfully generate whole messages flow from ITCH data. However,in ...
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1answer
539 views

Example of delta one products

Not sure if this is the right place to ask such question. How close to 1 should the delta be in order for the product to be classified as delta one. 2.What examples of delta one products are there?
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350 views

Trading strategies for increased realized volatility

Suppose once every 2-3 weeks I have a way to select a few equities that are likely to exhibit higher realized volatility in the future month (relative to the past month). Historically, the average ...
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2k views

Improvement of Alpha Expression [closed]

I'm newbie user of Websim (websim), given Alpha Expression : (est_eps * (cashflow/sharesout) * (est_sales/sharesout))/est_dividend_ps Settings-Region:USA, Universe:TOP3000, delay:1,MAX stock weight :...
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1answer
90 views

What instruments help me receive a premium?

Apart from selling options , what other instruments can I trade(sell) to collect a premium ? The main problem that I face is as follows : I am buying a Call option which I would like to fund by ...
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1answer
113 views

Finding robust regions of multidimensional parameter combinations in trading strategies

Trading strategies often have many degrees of freedom. As a toy example let's say you have two moving averages (MA) which trigger a trade each time they cross each other: There are at least two ...
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1answer
561 views

Ed Thorp Wilmott Articles

I've been really enjoying Ed Thorp's autobiography, and it makes me want to revisit some of his old Wilmott articles, listed here: http://www.wilmottwiki.com/wiki/index.php?title=Thorp,_Edward ...
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1answer
3k views

Calculating the returns of a long/short strategy

I feel like an idiot asking this but i haven't found the answer anywhere. I have backtestest a paris trading strategy, while calculating the returns of the strategy I run into some problems when the ...
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1answer
204 views

How to identify a change in market dynamics?

As a beginner, I'm learning how to make good trading strategies. One of the things to consider for reliable backtesting is the Minimum Backtest Length, whose selection is basically a tradeoff: Too ...
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1answer
287 views

Simple Sharpe Ratio Question Related to Trading Strategy

Given a price vector $(p_1,p_2,...,p_n)$ for some stock, then the corresponding return at $k$th day is described by $$ R_k = \frac{p_{k+1} - p_k}{p_k} $$ On the other hand, let $W_k$ be wealth at day ...
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2answers
319 views

Making a Trading Strategy Industry-Neutral

Here's a toy example of a simple trading strategy that I just read about (from a book called "Trading Alphas"): Let's say that we expect a stock that's been going up over the past week to now go down,...
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1answer
136 views

Currency/Forex Hedging using Momemtum Strategy

Mainly the two ways I could find on currency hedging are using forwards (to lock in a future exchange rate) and options. However, I'm curious whether currency can be hedged via some commonly known ...
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0answers
129 views

Self financing strategy : how to understand it in continuous + transaction cost model?

I'm having a hard time trying to understand a formula about self financing strategy trading. Let's suppose you have two assets, $\phi=(\phi_0,\phi_1)$ is the vector that represents the quantity you ...
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1answer
501 views

Computing the profits for a simple trading strategy (Backtest)

I have developed a trading algorithm, surprisingly simple in nature (I did start off with grand plans of applying Machine Learning to this problem as I am a data scientist by trade). I would place ...
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1answer
442 views

Trading strategies for illiquid markets [closed]

Is there any literature on trading strategies for illiquid equities markets, such as research papers or articles? I've done some searching but haven't turned anything up.
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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?