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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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2
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1answer
90 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 ...
1
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1answer
82 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?
37
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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 ...
17
votes
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 ...
1
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0answers
35 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 ...
0
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0answers
70 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 ...
10
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2answers
720 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 ...
4
votes
1answer
523 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 ...
0
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1answer
1k 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 ...
2
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1answer
584 views

Interactive Brokers - Tracking High Relative Trading Volume

I'm new to Interactive Brokers (and day trading), I am trying to setup my different charts etc. How can I have alerts/monitor for any stock that is trading at above average volume - compared to X? ...
45
votes
4answers
5k views

How much data is needed to validate a short-horizon trading strategy?

Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
0
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3answers
978 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 ...
1
vote
1answer
232 views

Kfold cross validation: how to handle hold-out periods

I want to backtest a strategy using K-fold cross validation. Assume I have a period of 300 days in my backtest. I divide it into 30 folds of 10 days each. On day 1 of a fold, I enter a trade, and ...
4
votes
1answer
208 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 ...
16
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4answers
3k views

What is the ideal ratio of in-sample length to out-of-sample length?

Suppose you are running a portfolio of quantitative strategies and that you develop a new potential strategy to be added to the mix. Assume for simplicity that the new strategy is independent of the ...
3
votes
1answer
307 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. ...
4
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0answers
183 views

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. ...
9
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1answer
3k 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 ...
1
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0answers
107 views

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{\...
2
votes
1answer
55 views

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 ...
6
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8answers
3k views

Why are Quantquote historical trades different vom ActiveTick historical trades

I bought quantquote.com historical data of AAPL on second basis. To comapre I also got activetick.com For activetick I used the historical trading API. If you look at around 15:13:53 you see that ...
0
votes
3answers
95 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 ...
2
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2answers
755 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 ...
1
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1answer
74 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 ...
5
votes
2answers
956 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 ...
2
votes
0answers
98 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 ...
1
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0answers
162 views

How to mathematically compute the volatility range of each stock?

I joined a stock market group and in this stock group, there is a proprietary "daily trading range (or DTR)" that the founder uses. However in order to do this for all the hundreds of stocks in the ...
3
votes
1answer
379 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.
4
votes
2answers
182 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'...
-2
votes
1answer
68 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 ...
2
votes
1answer
312 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 (...
-2
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4answers
116 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 ...
2
votes
0answers
221 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 ...
2
votes
0answers
165 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 ...
26
votes
8answers
13k views

How are cryptography and speech recognition technology applied to forecasting financial markets?

One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
1
vote
1answer
134 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
vote
1answer
81 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?
3
votes
1answer
287 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?
1
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0answers
101 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. ...
2
votes
1answer
168 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 ...
5
votes
2answers
224 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 ...
18
votes
10answers
9k views

Usage of Random forests in Quantitative analysis of stocks

I have a question about Random forests and how they could be utilized in trading? I heard Random forests are used for classification, is that accurate? If so, could someone give an example of what ...
2
votes
0answers
147 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 ...
4
votes
1answer
193 views

forecasting trading costs with end of day data

I am trying to create a model that forecasts trading costs (using end of day data, so no intra day data). My trading cost (also called Implemented Shortfall (IS) is defined as such for a single stock, ...
19
votes
0answers
225 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 $Q-$ ...
4
votes
2answers
327 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 ...
0
votes
2answers
382 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 ...
0
votes
0answers
62 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 ...
1
vote
2answers
178 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 ...
1
vote
0answers
56 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: ...