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
118 views

Are momentum returns negatively skewed?

In the academic literature, I found that momentum returns are negatively skewed (e.g. Daniel and Moskowitz, 2002). As far as I understand, this usually happens when the "past losers" rebound ...
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33 views

Hedging costs and BS-price

I'm looking at the chapter, "The Greek Letters" in Hull's book (Options and derivatives...) and in particular the paragraph "Dynamic Aspects of Delta Hedging". He demonstrates two ...
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2answers
104 views

What kind of returns should I use for my model?

I'm building a machine learning model with the aim of learning a daily strategy of buy or sell the stock. I was wondering if I should use adjusted close price or something else to calculate returns (I ...
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57 views

Any books on systematic investing in credit securitized products (RMBS, CLO)?

I'm looking for books/research papers that would have information on systematic strategies used in the Credit Securitized products space (specifically RMBS, CLO, etc.), if there are any? I've been ...
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28 views

Combining multiple securities' Net Asset Value time-series into one total NAV series

I have a number of individual securities that each have a Net Asset Value (NAV) time-series. For example: ...
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1answer
122 views

Continuous Percentage Profit and Loss calculation

I need to calculate a profit and loss for an equity timeseries. The position size (column D in the below table) is not binary (not moving from zero position to a position and then back to zero ...
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1answer
40 views

How to combine different strategies in a backtest (and IRL)

I am trying to combine long and short strategies into an L/S strategy in my backtesting program. The way I have my backtester set up is it takes a signals object (...
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1answer
123 views

Can alpha be positive if cumulative returns underperform the benchmark?

According to my portfolio analysis program (pyfolio), the alpha of the following strategy is .17 (I am assuming 17%). [Based on pyfolio documentation, alpha here is the "annualized alpha".] ...
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104 views

Machine learning - assigning a value to each tradable moment

I've been looking at machine learning trading strategies for some time and realized recently that I've been neglecting a very important part of the equation in terms of training an effective model. In ...
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64 views

Forex trailing stops - better alternatives?

I've been pursuing the holy grail of trading, short term FX trading, using machine learning. I've experimented with a ton of strategies but mainly those revolving around holding each trade for a ...
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89 views

Has anyone done the course STATS242: Algorithmic Trading and Quantitative Strategies. Where Can I find the assignments and other resources? [closed]

Basically the title. There's a course STATS 242: Algorithmic Trading and Quantitative Strategies offered in Stanford a few years ago. I searched on google a bit for the course website to see the ...
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23 views

Harvesting Bond Term Premium and Roll Yield using curve plays with Oanda Continuous Contracts

Oanda has their own product pricing and method of rollover that stitches the futures contract prices. I was trying to implement a strategy that accesses the bond term premium and roll over yield for ...
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30 views

Extreme and rare events affecting the market

There are extreme events affecting the high-probability [short-term] market such as lowering interest rates that rocket stock prices, even though such events are rare and the market's response can be ...
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80 views

Is there a scientific significance to Fibonacci numbers in economics?

I am new to the field and have read popular articles on Fibonacci numbers, but I did not find it grounded in academic research and would love to know if there is a research basis for this and whether ...
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1answer
74 views

Predict Log Stock Return Direction and Trading Strategy

The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
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2answers
132 views

Decode stock market data from C++

As practice, I have been wanting to parse exchange data and try to build an order book algorithm on my own. I found some sample data from NYSE: ftp://ftp.nyse.com/Real%20Time%20Data%20Samples/NYSE%...
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38 views

How does a hedge fund with market-neutral (relative value) strategy be discretionary?

I've been researching about the strategies that funds employ and I've learnt that there are funds out there that apply quantitative techniques in their analysis, employ relative value investment ...
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18 views

Multivariate combinatorial purged cross-validation

Combinatorial purged cross-validation (CPCV) is a technique for backtesting strategies while purging and embargoing observations in a time series. CPCV improves upon classical k-fold and walk-forward ...
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130 views

How do you formulate trading ideas and strategies?

I have access to some tick data and Bloomberg data. Outside of data mining and hoping to find an economic rationale after the fact, what do you usually do to generate ideas before you look at the ...
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43 views

The discontinuity when applying the combinatorial purged cross-validation

In Marcos Lopez de Prado's book, Advances in financial machine learning, he recommends using the combinatorial purged cross-validation(CPCV) for backtesting. His motivation is sensible. Through the ...
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1answer
106 views

Backtesting with Level 2 depth of book

I'm new to automated trading. I'm in the process of coding the methodology I've been using manually for a few weeks into a quantitative algorithm using IBKR and Python. I read everywhere I should ...
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49 views

Looking for references on reinforcement learning in finance

I plan on using reinforcement learning for a research project. To be specific, I plan to define learning environments using market microstructure models whose solutions are well known and see if I can ...
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1answer
90 views

Why would the market systematically underestimate the probability of unlikely events?

(I'm not in finance, so pardon my ignorance) In The Big Short (2015), there is a little story about Cornwall Capital's early trading strategy: Their strategy was simple and brilliant. Jamie and ...
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2answers
189 views

Would C++'s speed over Python make it a more applicable language for scalping arbitrage opportunities?

I am using the Bittrex exchange API to ping markets to poll whether there are triangular arbitrage opportunities available for USD/BTC/LTC/USD. Note that I am not trading but rather synthesising them ...
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1answer
83 views

What market conditions are attributable to prolonged instances of triangular arbitrage opportunities?

I am investigating the potential for intra-exchange triangular arbitrage opportunities for the Cryptocurrency market. I believe that due its immaturity, relatively low volume and high volatility that ...
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1answer
78 views

How can I combine traditional trading patterns and machine learning algorithms to produce a trading system?

Traditionally, retail traders have leveraged on price patterns discovered by applying graphical tools such as flags, fractals, pennants, heads, shoulders, etc. However, while this method has been ...
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55 views

What are the best metrics to evaluate an ML algo backtest, other than the nominal returns?

I have designed an algorithm that uses Support Vector Machines to classify the next day's price movement for several prominent cryptocurrencies on a ...
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1answer
139 views

How to propertly change time horizon in Avellaneda-Stoikov model?

I'm working in the Avellaneda-Stoikov implementation using Python. My implementation reproduces the authors' results, but I don't know how to properly adapt the algorithm in order to consider a larger ...
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4answers
1k views

Algorithmic Trading: Python vs SQL

I am new to algo trading. But I have bit of coding experience in SQL. Now I am planning to develop a Algorithmic Trading system. In here I am storing all the historical data in Database (PostgreSQL DB)...
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1answer
47 views

Hedge ratio with future contract [closed]

I want to buy some stocks and short future contract instead. I wonder whether I can calculate the hedge ratio?
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80 views

How to monetize ability to predict small stock movements smaller than spread?

For a relatively small subset of stock symbols I have been able to build a model that is able to 20-100 times per day consistently predict whether a stock is going up within the next 2 minutes, being ...
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3answers
372 views

Basics of trading strategy development

I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc I have ...
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0answers
64 views

USING HIDDEN MARKOV MODEL TO DETECT MARKET REGIMES IN R

How can I use a hidden Markov model to detect different regimes within AAPL's returns using the R programming language . If anyone can point me to any papers or links which can help me out that would ...
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0answers
34 views

Sizing a beta neutral Pairs trading with an allocation limit

Hopefully a simple one for someone. I've a pair of stocks A and B. The beta adjusted spreads tell me I need to be selling A and buying B, my beta for B is 1.5, so in order to get a beta neutral pair ...
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1answer
80 views

Is there anything like Quantopian in R?

Quantopian is an incredible tool for the quant community, but it is Python based only. Just wondering if is there anything like Quantopian in R that you reccommend?
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0answers
103 views

Competitive levels in Limit Order Books

I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
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1answer
138 views

Generating buy/sell signals in pairs trading

I'm reading a quantitative trading book"Quantitative Trading with R" by Harry Georgakopoulos. In the pairs trading section, there's an example that creates the spread and generate buy/sell ...
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0answers
48 views

Correct labelling for trading strategies

In trying to build a ML powered trading strategy, one of the most important tasks is to correctly label the data so that the results of whatever classification algo you are using will be properly ...
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58 views

Probability and random walk

Let's says i have 10 years of daily prices on a stock ABC. I do some analysis and I realise that, for example, if the stock increases 5 days in a row (close > open), 75% of the time, the 6th day will ...
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0answers
30 views

How to calculate technical indicator using tick data cross the night?

The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
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0answers
44 views

Evaluating Markov switching garch models with R

Hello I have been working on a Markov switching GARCH model my intention is to use it to trade options volatility . I have created a Markov switching garch model using the MSGARCH package in R and in ...
2
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1answer
86 views

Why are quadratic variation and rough paths so important in quantitative finance?

I am new to quant finance - come from a mathematics background. I am starting stochastic calculus and have been particularly interested in some papers pathwise integration and rough calculus in ...
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0answers
116 views

Meta Labeling for trading opportunities

In Advances in Financial Machine Learning, Lopez explains how we should build a primary exogenous model (binary classifier) to identify trading opportunities and a secondary meta model to filter out ...
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1answer
193 views

How to orthogonalize Fama French factors?

The Fama French factors (e.g. size, value) are not orthogonal to each other, so when e.g. you want to create a diversified portfolio of factor mimmicking portfolios (factor investing), the correlation ...
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3answers
196 views

Is it possible to make profit by reversing client trades for a market maker?

If a market maker is making profit in a considerably enough period, then does it mean that the clients that bought/sold from/to the market maker lost money? If so, is it possible that market makers ...
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0answers
70 views

What are some special trading phenomena that would be interesting to research?

I'm looking to research special trading phenomena like end-of-month bonds activity, daily closing imbalances in cash equities, futures expiration/settlement manipulation (like in VIX) etc. What are ...
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2answers
150 views

Genetic algorithm development - chromosome stucture based on buys/sells

Creating a GA algorithm for intraday trading (e.g., futures ES, NQ) is more difficult than textbook examples for GA function minimization/maximization. Initially, I assumed the parameters for buys ...
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1answer
85 views

Realized and Unrealized Profit and Loss [closed]

https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ What I want to know is, after Scenario 4 in this article how does the ...
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1answer
118 views

Benchmark of a Dollar Neutral Strategy

A dollar neutral strategy invests the same amount of money long and short without accounting for the volatility (risk) of either side. Depending on volatility you either end up positively or ...

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