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Quant Strategies Implemented by the Quantopian Community

This post was originally featured on the Quantopian Blog and authored by Dr. Jess Stauth.

Last week I gave a quant finance meet-up talk at the Hacker Dojo in Mountain View, CA. The format was inspired by some analysis I did on the types of algorithms shared and cloned in the Quantopian community – initially I wanted to ask: What are the most popular strategies coded up on Quantopian? To answer this question I ranked all public forum posts three ways, first on number of replies, second on number of views, and third on number of times cloned. I averaged these scores and re-ranked the list to come up with the top 25 ‘Most popular posts of all time’. (NB: I did not do any correction for the date of the original post, so the amount of time the thread has been alive has not been normalized.)

1 Google Search Terms predict market movements 64 32121 821
2 OLMAR implementation - fixed bug 64 26216 701
3 Easy Volatility Investing by Tony Cooper @ Double-Digit Numerics 57 15211 846
4 discuss the sample algorithm 16 18701 2930
5 Global Minimum Variance Portfolio 28 10230 702
6 ML - Stochastic Gradient Descent Method Using Hinge Loss Function 10 20421 973
7 Mebane Faber Relative Strength Strategy with MA Rule 22 11199 622
8 OLMAR w/ NASDAQ 100 & dollar-volume 31 7766 701
9 Using the CNN Fear & Greed Index as a trading signal 22 9914 367
10 New Sample Algorithm 33 8336 328
11 Bollinger Bands With Trading 18 8390 566
12 Brent/WTI Spread Fetcher Example 17 10892 327
13 Ernie Chan's Gold Pairs Trade 15 10420 329
14 Ranking and Trading on "Days to Cover" 4 24976 384
15 Determining price direction using exponential and log-normal distributions 9 9781 624
16 Time to "sell in may and go away"? 27 8231 263
18 Simple Mean Reversion Strategy 6 11861 275
19 Neural Network that tests for mean-reversion or momentum trending 4 10101 407
20 Momentum Trade 5 8816 457
21 Using weather as a trading signal 6 8816 199
22 Global market rotation strategy 53 7629 95
23 trading earnings surprises with Estimize data 34 7506 130
24 Trading Strategy: Mean-reversion 13 8252 216
25 Turtle Trading Strategy 11 8012 318
TOTALS: 569 306940 13581

Starting from this list, I worked backwards and used examples from the Quantopian community to introduce 5 basic quant strategy types: Mean Reversion, Momentum, Value, Sentiment and Seasonality. While this list is not technically ‘mutually exclusive and collectively exhaustive’, it covers a large fraction of intraday to lower frequency quant strategies and provides a good overview of the way equity focused quants think about predicting market prices. I went back to my Top 25 list and categorized each algo into one of these five buckets and then created this pie chart based on the aggregated number of views for each strategy type.

There are a number of interesting conclusions to be drawn from this initial overview of community activity. Perhaps the most obvious and predictable of these is that price based strategies are currently in the lead by a large margin – due, I expect, to the easy access to minute-level equity pricing and the accessibility of the logic for momentum and mean-reversion. Indeed there were no value-based strategies that made their way into the Top 25 – which in my view represents a key opportunity space right now.

More subtle and, from my admittedly biased point of view, more compelling is the diversity and quality of content and collaboration in the public sphere. Having joined the Quantopian team from a large corporate setting working with a small group of institutional clients, seeing that the Top 25 algos have been cloned over 13,000 times, an average of over 500 clones per strategy is… well it’s pretty damn cool.

Below you can find the slide deck from my presentation:
DIY Quant Strategies on Quantopian from Jess Stauth.

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