Back to Community
Tutorials?

is there any tutorials in quant strategies here?

6 responses

Do you mean quant strategies as in what are successful trading approaches? or making Quantopian work? or both?

Quant strategies .. different types how to get going etc.

I have the same question. Is there pdf/chm/html about getting started?
eg. how the alpha/beta is calculated?
What's the meaning of status property in portfolio_value?
How many properties under daily_stats which is the results of the run()?
How can i replace the benchmarks with other local files?

I want to deeply DIY it, hoho~

I'm going to go out on a limb and risk the wrath of many by giving a simple answer to a complex question. I'll divide the world into 4 quant strategies (with zillions of variations of each and I'm sure I've missed some). I apologize if I've missed some, but these capture a good deal.
1) Momentum: This is trend-following as in "the trend is your friend", "don't fight the tape", and "cut your losses, let your profits ride". A simple example: buy with recent price is above a moving average and sell when it's below. This has a call option like payoff in that losses tend to be limited and gains can run. This is because call-option replicating (the basis of option pricing models like Black-Scholes) buy when the market moves up and sell when it moves down. The reason this might work (nothing works according to adherents of the efficient market hypothesis) is that information might be released over time and because of herding. An insider (including executives, suppliers etc) may have info on a company and share it causing a stock to move. It keeps moving as the story unfolds. Also, people like to keep their lives simple. Rather than research something themselves they might as a friend they respect for advice (not just investing but everything). So word spreads. There is academic research in this area (Jegadeesh and Titman 1993 is the famous paper).
2) Mean reversion: Mean reversion is the idea of reversals (what goes up must come down and vice-versa). While this may seem opposite of momentum, they can exist in the same world. Generally/statistically stock prices are not mean reverting in the sense that the do not tend toward a long-term average which is different from something like profit margins which will not grow ad infinitum. However, in my opinion mean reversion probably exists over short periods and is the bread and butter of high frequency traders. Let's say a stock is at equilibrium between buyers and sellers and a large seller comes in pushing the price down. Perhaps it's a pension that is moving money around. A trader might buy acting something like a market maker. In my opinion this type of trading makes more sense for individual stocks than markets as a whole and has a short horizon (days).
3) Value: Buy low / sell high. I'm thinking here mainly of things like arbitrage (true arbitrage such as buying an acquired company and selling the acquirer based on the values of the deal as well as statistical arbitrage). In this area I would include carry trades (buy high yielding securities/currencies and short low yielding ones).
4) Seasonality: Throwing this one in as well. There's research supporting that stocks do better at the turn of the month (the 3 trading days before and after the end of the month account for all of the return in stocks according to an article in the Financial Analyst's Journal), they do better around holidays, go away in May (for 6 months).
As far as how to get going, here's my advice. Don't (lol). But if you do read some books. The classic is Jesse Livermore's "Reminiscences of a Stock Operator". Written in 1923 (trading ain't new), it's got a decent Wikipedia entry. There are several books about Turtle Traders (you'll see) - Faith Curtis and Michael Covel come to mind as authors. Also Quantitative Trading Strategies by Kestiner and Quantitative Trading by Chan are on my bookshelf. Why I said "don't". You are competing with well-educated, experienced individuals and firms with incredible resources. From investment firms like Goldman, to the myriad of hedge funds, to great investors like Jim Simons of Medallion fund fame (who few have heard of, but has an amazing record). So, what I really mean is be cautious and humble. Trade what you can afford to risk.

Hi Joyanta,

Simon posted a good link to get started here: https://www.quantopian.com/posts/beginners-guide-to-quantitative-trading-by-quantstart

If you prefer to learn by reading a book, I would recommend Ernie Chan's book. Ernie does a great job introducing important concepts, but you'll want to follow up to learn more details. His examples are all in Matlab code, so it is hard to run them yourself, but you can re-implement them here in Python. Check out this algo on his EWA/EWC Pair Trading. To understand the behavior of your algo's use the record and log functions.

And feel free to ask questions along the way! We're happy to help out.

Best,
Alisa

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Hi All,

Thank you all for the suggestions.

Joyanta