Questions tagged [strategy]
The strategy tag has no usage guidance.
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How 'High' is the frequency in HFT?
How many trades per second are we talking about?
What kind of strategies are used in this time frame?
Can the small guy play the game?
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6
answers
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What are the popular methodologies to minimize data snooping?
Are there common procedures prior or posterior backtesting to ensure that a quantitative trading strategy has real predictive power and is not just one of the thing that has worked in the past by pure ...
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Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
Renaissance Technologies Medallion fund is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the ...
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8
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Why is there no "meta-model"?
If I design a trading model, I might want to know the model's half life. Unfortunately, it doesn't seem possible to predict alpha longevity without a meta-model of the market. Intuitively, such a meta-...
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Is there any good research on support and resistance?
Could somebody advise me on where to find good literature on the justification or motivation for using support and resistance lines - and also lines of maximums and minimums. In finance, it is ...
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Categories of systematic trading strategies?
What are the main categories of systematic trading strategies (e.g. momentum, mean reversion), as might be considered by an index or fund-of-fund analyst?
Are there any common sub-strategies?
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1
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What is the Sugihara Trading System?
I recently heard the term Sugihara Trading System. I guess it might be some trading strategy or a special model to predict trends in market data, but I couldn't find out anything about it. Does anyone ...
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How to select/construct benchmarks for black-box trading strategies?
When faced with a black box trading strategy with extensive historical data available, how would one select/construct a representative benchmark?
As a trivial example, when a strategy historically ...
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Why not just be long VIX and wait for the next volatile period?
Over the past 3 months, VIX has been relatively low. Therefore, there seems to be a "free-lunch" here by just being long VIX, and wait for the next market turmoil (which is happening at the moment ...
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1
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Mean reverting strategies
I would like to take advantage of a volatile market by selling highs and buying lows. As we all know the RSI indicator is very bad and I want to create a superior strategy for this purpose.
I have ...
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1
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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 ...
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What quant terms to use to search for papers about "stop-hunting" trading strategies?
Are there any papers about possible trading strategies you can apply when you know where a large cluster of orders is located in the order-book?
These seem to fall in the liquidity-provisioning/...
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1
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What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?
I'm investigating a situation where the chance for gain or loss is the same, but the amount gained is greater than the amount that is lost. For example, the gain would be about 30% of the trade ...
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4
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Shorting an option every day vs shorting only at maturity
Suppose we have 2 strategies :
strategy A : every $N$ days, we short a call option with a time-to-maturity of $N$ days;
strategy B : every day, we short $\frac{1}{N}$ of a call option with a time-to-...
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3
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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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Writing an Options Strategy Backtester
I've been doing some digging, and this question has been asked many times in various forms over the years -
Backtesting Options Strategies in R
Are there any good tools for backtesting options ...
user20664
6
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3
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Is there a way to figure out "hot" strategies?
Apparently, short vol strategies have gotten crowded, according to the recent Bloomberg piece. When I read this, I thought how about factor based strategies -- value, growth, etc.? Aren't they ...
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How to choose a rolling window type and size?
I'm developing a trading strategy which takes into account certain parameters (e.g. avg spread, weighted price, etc). Of course, these parameters can be calculated over different window types (i.e. ...
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1
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Strategy for implied volatility
I encountered this question:
"A trader observed that the implied vol of OTM calls and puts are higher than that of ATM option, what is the best strategy among: Calendar Spread, Bull Spread, Bear ...
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6
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1
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What research is available on the performance of convertible bond arbitrage models?
The basic principles of convertible bond arbitrage have been clear at least since Thorp and Kassouf (1967). For those who are not familiar, the arbitrage entails purchasing a convertible bond and ...
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Is linear programming important for quant?
I'm thinking about taking a course on Linear and Convex Programming, but I don't know how useful it is in the real world finance. Which areas in finance is mathematical programming used?
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Where to get historical equity data?
I have a decade of experience as a software engineer, but little quantitative finance knowledge. I have an idea for a simple trading strategy based around moving averages. In order to test it, I'd ...
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2
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Why should a self-financing strategy be previsible?
There is an amazing answer on mathematics stackexchange which defines what a self-financing strategy is—both in the discrete and continuous sense. Please check out this short answer to better ...
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Appropriate method for calculating negative returns on a trading strategy?
I have a cumulative profit/loss time series below for a trading strategy, what is the appropriate way to calculate the returns in percentage for such a series?
My issue is the appropriate ...
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Multi-asset class allocation
How to allocate asset classes in a multi-asset portfolio?
An institutional client needs to meet his pension liabilities, and suggested a multi-asset-class strategy. I'm trying to find ideas to pitch.
...
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1
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551
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How to compute daily compounded backtest returns closer to real-world results?
I often run quick tests of trading strategies in my analytics suites by:
multiplying a vector of signal (lagged, {-1,0,1}) with a time series
of daily percentage returns
doing a cumulative product of ...
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1
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295
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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 ...
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1
answer
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Option Strategy: Python Implementation Advice
I've been tasked to create and backtest an option strategy. The strategy, in vague terms, is to essentially write call options on securities in a universe, i.e., selling insurance.
I have an idea of ...
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0
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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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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 ...
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2
answers
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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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1
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What's the rationale behind having several orders on each each side for market makers
I've been browsing market making codebases and I've noticed most of them tend to create multiple orders on each side.
Originally I thought having orders on each side is an advanced approach but here'...
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2
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Backtrader doesn't display time when backtesting
I am trying to backtest a strategy with Backtrader (not the first time) and have a problem while printing date & time for each iteration (time stay on 23:59:59). Here are the first lines of my ...
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Is the Gittins index useful in determining when to change an investment/trading strategy?
I've been reading about multi-armed bandits and the explore/exploit trade-off that can be solved with dynamic allocation indices such as the Gittins Index Theorem. Could this be applied to when to ...
3
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1
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Rigorous proof that volatility target strategies actually tend to the target
I'm working on a paper about volatility timing and target strategies, practical implementation included.
While writing down the mathematical description of the model I wanted to include a rigorous ...
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1
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basic stock trading strategies [closed]
What are some trading strategies for stocks (just stocks, no derivatives) using freely available online data sources?
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1
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Pre-trade evaluation and risk assessment of option trading strategies (in market practice)
When a trader gets conclusion of the volatility is being underestimated (via volatility cone or some other technology), actually there are multiple ways for his trading. (Let's assume the underlying ...
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2
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Maximum profit from trading on a random walk with a specific strategy
My question is related to this thread, but I'm interested in a special case. Suppose that the price of an asset starts at 100 USD, and changes according to a geometric random walk; one step of 1% ...
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4
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Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
Me and a friend is trying to settle and argument in relation to the following quote by Nassim Nicholas Taleb:
I don’t want to spend too much time on Buffett. George Soros has 2 million times more ...
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Why Good forecasting != Good trading? [closed]
In AI for algorithmic trading: 7 mistakes that could make me broke the author talks about why good forecasting cannot equal good trading based on the strategy selected. While reading the article I ...
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1
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Why there is a Deviation on my RSI indicator in comparison from one of the other Trading Markets
Hello all, and sorry for this stupid question. I am using my custom RSI indicator to which I created programmatically. I follow the equation type from here. My problem is when I compare it with the ...
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1
answer
2k
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Divergent or Convergent Strategies? Which is the way to go?
Consider first the simple convergent strategy to invest some amount $X$ in a game, if you win you simply take the winnings and keep playing a subsequent game. In the case of a loss, you believe in ...
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If price is a random walk, is ok to use the binomial distribution to estimate a trading strategy?
Is it OK to assume a trading strategy should have a binomial distribution if the price is just a random walk?
using p of the event as:
$$\frac{AverageStopLossPercent}{AverageStopLossPercent + ...
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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 ...
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Calculate Returns of Momentum Strategy (Overlapping Portfolios - Jegadeesh and Titman 1993)
I want to implement a Momentum Strategy, followed by Jegadeesh and Titman (1993) with overlapping Portfolios. I want to duplicate their results.
Quick Link to the paper (Unfortunately the Method is ...
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1
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1k
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How to evaluate a success rate of a trading strategy
In order to compare various trading strategies, I am trying to calculate the success rate (the ratio of winning and losing trades).
While it is clear to me that this indicator is far from being an ...
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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 ...
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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, ...
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1
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Methods to improve systematic strategies
Soliciting advice on ways to improve systematic strategies. Some things that I can think of off the top of my head:
Using a risk model (correlations) instead of 1/n or 1/vol weighting
Including a ...
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Adjusting volatility while constructing portfolio
I am trying to construct a portfolio based on a macro momentum strategy for backtesting purposes as outlined in https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/A-Half-Century-of-Macro-...
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