Questions tagged [strategy]

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Do you think this strategy will work?

I have been playing with paper trading and am planning on getting into the real stock market soon, but I want to make sure my strategy is realistic before I put real money on it. I made a program ...
Frobot's user avatar
  • 101
0 votes
1 answer

how to measure a event driven strategy?

How to measure an event driven investment strategy? Say I have a strategy which I assume that if a firm has positive momentum and it has a refinance corporate action, it's value will increase. For ...
JOHN's user avatar
  • 413
7 votes
4 answers

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-...
BS.'s user avatar
  • 165
4 votes
3 answers

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. ...
zuiqo's user avatar
  • 1,034
2 votes
1 answer

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 ...
Tomas Vana's user avatar
4 votes
1 answer

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 ...
Air's user avatar
  • 126
5 votes
3 answers

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?
mathsam's user avatar
  • 53
2 votes
1 answer

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 ...
Good Guy Mike's user avatar
3 votes
1 answer

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 ...
Patrick's user avatar
  • 31
6 votes
1 answer

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. ...
Michael's user avatar
  • 61
1 vote
1 answer

Liquidity detection based strategy in HFT

This article contains the following statement. In terms of liquidity detection, traders intend to decipher whether there are large orders existing in a matching engine by sending out small ...
Qbik's user avatar
  • 1,018
2 votes
4 answers

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 ...
L1meta's user avatar
  • 395
-4 votes
1 answer

Show that convexity of call price as a function of the strike is violated [closed]

European call options with strikes 90, 100 and 110 on the same underlying asset and with the same maturity are trading for 22.50, 18.84 and 13.97 respectively. show that the convexity of the call ...
Alvin's user avatar
  • 11
4 votes
5 answers

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 ...
user1129988's user avatar
7 votes
1 answer

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 ...
Ray's user avatar
  • 503
14 votes
1 answer

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 ...
asmaier's user avatar
  • 563
6 votes
1 answer

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 ...
Tal Fishman's user avatar
  • 13.4k
26 votes
10 answers

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 ...
vonjd's user avatar
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22 votes
4 answers

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 ...
SBF's user avatar
  • 2,613
45 votes
9 answers

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?
Terco's user avatar
  • 1,069
15 votes
3 answers

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?
Terco's user avatar
  • 1,069
3 votes
1 answer

basic stock trading strategies [closed]

What are some trading strategies for stocks (just stocks, no derivatives) using freely available online data sources?
kefeizhou's user avatar
  • 357
8 votes
2 answers

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/...
Meh's user avatar
  • 1,173
22 votes
8 answers

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-...
chrisaycock's user avatar
  • 9,797
11 votes
1 answer

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 ...
Joseph Tanenbaum's user avatar
36 votes
6 answers

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 ...
Zarbouzou's user avatar
  • 2,283
9 votes
1 answer

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 ...
RockScience's user avatar
  • 2,003