Questions tagged [strategy]

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8
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0answers
358 views

Market Maker portfolio management

I am interested in articles/strategies related to portfolio and inventory management for market makers and to management of order cancellation, updates of order, etc. Most of the strategies from ...
4
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0answers
99 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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212 views

Trading signal strength: [-1 to 1] or [predicted return]?

In the context of a backtesting engine, is it better to have strategy generate trade signals in the range from -1 to 1 or as exact predicted returns (e.g. -12% or 26%). The difference lies in how to ...
3
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1answer
166 views

Optimal investment strategy problem with competing bet-sizing options and limited budget

Apologies for a potentially naive question and unusual wording. I am from another field and would be very grateful for help! I am looking for the optimal investment strategy that maximizes an overall ...
2
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1answer
134 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".] ...
2
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0answers
111 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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0answers
57 views

How to ascertain/establish certainty of a portfolio rebalancing strategy?

I created a portfolio rebalancing strategy, that I am currently paper trading with. It is, primarily, based on mean-reversion principle with a few rules in place, and geared towards cryptocurrencies, ...
1
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0answers
50 views

Cumulative returns are more correlated than non-cumulative

I was just comparing two daily returns series and noted that the correlation between them is a lot higher if they are cumulated (about .95 for cumulative returns, vs .15 for non-cumulative). I feel ...
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0answers
225 views

R squared of a good Trading strategy

What would you consider a decent R square value of a good trading strategy. I know R squared is not a good metric for judging trading strategies but still at an initial stage how do you decide to ...
1
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0answers
612 views

Why “profit factor” is used to compare trading strategies?

A lot of books/articles/trading forums mention that "profit factor" is probably the most important measure and should be used to compare different trading strategies. They define profit factor as ...
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0answers
88 views

How to choose trades over time when capital is limited

Say I'm in the business of trading forward contracts. So at some point in time, I look at the markets, and determine a number of trades I could make. For each trade, I know the profit I expect to make,...
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0answers
19 views

What are different types of response variable we can consider while developing quant model

I was trying to understand the response variables used in the quantitative trading/investing model development. This question may not look good but I searched on google and could not find results. ...
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0answers
23 views

Portfolio models that maximize cumulative returns

Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
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0answers
20 views

Assessing transaction costs of different portfolio strategies

I am trying to evaluate different dynamic allocation strategies based on the same stocks' universe according to their transaction costs. I was thinking to simply compute it as some sort of turnover ...
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59 views

Market neutral without short selling

Would it be possible to design a market neutral strategy without short selling? According to Investopedia: Market-neutral strategies are often attained by taking matching long and short ...
0
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0answers
27 views

Arbitrage and dominant strategies : Linear Pricing measure

Given a monoperiodic setting, my professor defines that if there is no arbitrage opportunity, it means that there is no dominant strategy. This is clear. However he defines that if there is NO ...
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0answers
5 views

Non-binary Strategy evaluation by comparing to a perfect baseline

When building a strategy, how do you evaluate if it is 'good enough'? Some may say 'Well if it has positive return and low drawdown it should be a good indication', and others will add more 'things it ...
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0answers
93 views

Calculating basic win% of simple trend-following strategy?

I apologize if this isn't the correct place to post this. I'm not quite sure where else I should post on stackexchange. I'd like to preface this by saying I'm not actually planning on trading. This ...
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31 views

Best strategy for generating floats with minimum amount of risk

I'm looking for a way to get cash-in-hand in exchange for future obligation. For example, I can sell deep-in-the-money puts and buy out-of-the-money puts (for hedge) with expiration of 2 years, The ...