Creating Algorithmic Trading Portfolios with Quantopian (PART II)

In this post, I will be documenting a few of my strategies. The Two Divide in Universe Selection From my personal experience of hacking up strategies and browsing the forums for interesting topics/ideas, I found that there are often two divides in setting up the universe of stocks to trade.  The first being that a specific subset of stocks are hardcoded in the initialize phase, with most securities being a type of ETF that track some broad market.  This method has particular advantages such that it provides low commission, large diversification benefits and global exposure.  Disadvantages can include lack of alpha, high […]

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Creating Algorithmic Trading Portfolios with Quantopian (PART I)

Catching up My goals for this summer are to firstly, keep studying portfolio management and start reading Meucci Risk and Allocation; secondly, develop trading strategies and find some cheap way to implement them.  My current focus is on FX, due to its cheap spreads, however that seems to be changing as I realize a lot of the limitations of Metatrader. Moving onto API-based systems also present itself a problem since Questrade is currently stocks and options only... Side objective this summer is to casually read sports analytics cause it's extremely interesting (Did you know that the inferred probability of England […]

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Cointegration and Statistical arbitrage

Recently, I was introduced to the concept of Cointegration analysis in time-series.  I first read this in a HFT blog at Alphaticks and then the concept came up again when I was looking into Spurious Regressions and why they occur.  Lot's of Quants have blogged about this idea and how it can be applied to the premise of Statistical Arbitrage.  I will do the same and apply this to the not-so-recent Google stock split, however, I will also try to add some math into the mix, briefly touch on Error-correction mechanism and spurious regression.  Finally, I will also give a few criticisms against […]

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Skewtosis - An investment strategy

The strategy is NOT a feasible strategy as I've recently deduced and tested.   If you are still interested in my idea process then read below.  If you are interested in why it doesn't work what so ever then press Recently, I've came up with a strategy that have shown to consistently beat the market when applied. It is a quantitative method that involves two very simple statistical measures: Skewness and Kurtosis.   Skewness is the measure of asymmetry in the distribution of a random variable. It is calculated by taking the third standardized moment. I don't know much more about […]

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Random Walk Hypothesis with friends

I came upon this experiment while learning some Octave modelling language.  There was a research done before to see how well an analyst can distinguish a true market price chart from a randomly generated one.  The question was whether an experienced chartist can truly see market patterns or his insight was good as a monkey throwing a dart. I wanted to experiment this with some friends of mine that are big into stocks and technical analysis and thought what they like to say about a randomly generated chart.  I made sure to also ask how confident they were in the […]

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