Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

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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Switching from Matlab to Python for Quant Trading and Research

Has anybody else out there made this switch? I'm considering it right now. What were the negatives and positives of the switch?
Rich C
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Can momentum strategies be quantitative in nature?

I have read some papers on quantitative trading strategies and it seems like strategies that focus on mean reversion or statistical arbitrage give signals that are dependent on some quantitative model. But when you turn to momentum strategies,…
silencer
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How would you approach this positive EV and high variance betting problem?

My friend was asked this question and I’m curious as to how people would play. There are 15 cards face down on a table. You can draw any number, n, of them at random. You only see the cards you have drawn after drawing all n cards. 14 of the cards…
User2331418
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Known mispricing opportunities only available for small traders

Warren Buffett has famously said that he could generate 50% annual returns if he was working with small sums of money. (He cannot move the needle enough now with large amounts of capital). Perhaps two reasons could explain this, holding his skill…
Snowball
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Ed Thorp Wilmott Articles

I've been really enjoying Ed Thorp's autobiography, and it makes me want to revisit some of his old Wilmott articles, listed here: http://www.wilmottwiki.com/wiki/index.php?title=Thorp,_Edward Wilmott columns What I Knew and When I Knew It – Part…
Bazman
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Would this extremely simple strategy make money?

Find a diversified set of financial instruments by whatever method you like. Every day, buy each instrument at the open price. Historically, the open price is almost never the high. Sell immediately as soon as the price is at least one tick greater…
crf
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Where to find someone to work on quant trading strategies together?

I work on designing quant and mix of quant+fundamental trading strategies, but find it is really unproductive to do it at home by myself, and looking to find someone who to do it together with. I've built my own backtester, invested quite a lot of…
erixliechtenstein
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Reading Recommendations - Quantitative Investment Strategies from a "genuine" quant viewpoint

I recently stumbled the lecture notes of Prof. Avellaneda on Quantitative Investment Strategies (near the bottom of this page). The exposition is highly structured and rigorous, but I am missing in depth explanations on the different subjects.…
themightymoose
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What are some special trading phenomena that would be interesting to research?

I'm looking to research special trading phenomena like end-of-month bonds activity, daily closing imbalances in cash equities, futures expiration/settlement manipulation (like in VIX) etc. What are some other interesting phenomena? I have access to…
bloodynri
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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 interest rate. So a -1x, (i.e. $b=-1$), fund would gain…
Bert45433
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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 need to regress fundamental factors you would…
MikeyB
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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 that algorithmic trading strategies generally…
k.c. sayz 'k.c sayz'
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Is there any application of power law to predict large returns?

Power law basically states that after a certain threshold, probability distribution $p(x)\sim c\,x^{a}$ where $x > x_{min}$, which is often the case for financial time series. It is also generally advised that estimation of parameter a is difficult…
hotsource
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Good ways to approach this dynamic probability/expected value game

There are 3 coins labelled A, B and C. You are told that the coins have probabilities of 0.75, 0.5 and 0.25 of landing on heads but you don't know which coin has which probability. In order to investigate, you are allowed to pay for the following…
user1276185
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Strategies That Are More To Resistant To Alpha Decay Than Others?

Are there certain categories of quantitative strategies, such as arbitrage, momentum, etc, that are more resistant to alpha decay than others? Thanks
Daniel Berkowitz
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