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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81 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 ...
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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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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 ...
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365 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?
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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 ...
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2k views

Interpertation of delta hedge error in Black Scholes

I have spent some time to prove the delta hedge error as described in this paper paper page 16-17 by Davis. The proof is discussed here Deriving Delta Hedge error in the B-S setup (part 2) (a post by ...
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1answer
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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? ...
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112 views

How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?

I have a quant strategy that I want to implement in order to establish an official track record, but I'm not sure what I have to do. I have about $100k to set this thing up and would appreciate ...
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Dynamic counterpart for model tunneling/optimization using past data

When we tune a model to optimize parameters for a strategy using past data, even if controlling for overfitting (checking out of sample performance) and refreshing the analysis from time to time, we ...
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Approximating Market Making PnL with a Trend Following Strategy

In an interview about the setting up AHL Michael Adams made the following quote (the quote relates to their pre AHL days when they acted as consultants): I think because we we re doing work for ...
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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 ...
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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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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
399 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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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
169 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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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
134 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
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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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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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118 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
958 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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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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317 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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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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564 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
323 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
334 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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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
359 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
209 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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672 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
121 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
109 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
186 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
558 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
208 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
2k 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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67 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
494 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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57 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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267 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
1k 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
810 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
493 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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172 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
610 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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374 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
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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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