Category Archives: Quant Opinion

The Best Quant Papers of 2018 from Savvy Investor

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Fama and French win “Best Quant Paper 2018”

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 25,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

Call us sentimental, but we’re delighted to be awarding the Savvy Investor trophy for the best quant paper of 2018 to Eugene Fama and Kenneth French. Unlike some earlier papers authored by this duo, the winning paper is in no way ground-breaking. However, it reminds us all of the nature of equity market volatility, and the implications for long-term investment returns. As the name suggests, it is a “volatility lesson” for professional investors, coming from two of the most respected names in the business.

See the winning papers below, or visit Savvy Investor for the full list of winners and short-listed papers across all 15 categories. 

Best Quant Paper 2018

Volatility Lessons (Financial Analysts Journal – CFA Institute)
In this paper, Fama and French examine the return distribution of equities versus cash over a variety of time periods, and show that the probability of negative equity returns over three and five-year periods is substantial. Interestingly, for longer-term horizons (say 10 or 20 years) there is a marked increase in right skewness and kurtosis. In other words, compared to a normal distribution of returns, the left tail almost disappears and the likelihood of negative equity returns versus cash diminishes substantially. Another key conclusion from the data relates to drawing inferences about future risk premia from observed returns over 3-, 5- or 10-year periods. The duo argue that, due to the high volatility, the evidence from such a “short” time period will be too “noisy” to be reliable.

Robust Asset Allocation for Robo-Advisors (Amundi Asset Management)
Quant researchers from Amundi Asset Management examine the challenges faced by robo-advisors attempting to automate the portfolio allocation and rebalancing process. This is a detailed, complex and formula-rich paper which will appeal primarily to quant managers and analysts involved in portfolio optimization, specifically using a mean-variance approach.

The Correlation See-Saw (Axioma)
The correlation of returns between different asset classes is critical to overall portfolio risk. However, these relationships are not necessarily stable over time. Axioma analyzes the way that shifts in cross-asset correlations impact overall portfolio risk, examining a case study of the first five months of 2018 when there was an unusual pattern of correlation reversals. How should this impact an investor’s approach to risk analytics?

Combining Investment Signals in Long/Short Strategies (Goldman Sachs Asset Management)
This paper examines the best way to combine quantitative investment signals in the context of managing a long-short portfolio. Is it better to create one combined signal, or is it preferable to consider the portfolio exposures indicated by each signal and combine the different exposures? The authors carry out their own empirical study and compare the results with other academic evidence.

If We Don’t Believe Markets are “Efficient”, What Do We Believe? (Winton)
Despite the well-known faults that are inherent in the efficient market hypothesis, it still underpins several prominent investment strategies. The authors of this paper examine an ecological theory that could be more applicable to financial markets.

The Current State of Quantitative Equity Investing (CFA Institute Research Foundation)
In this 74-page paper, CFA Institute Research Foundation reviews the concepts of risk and return, anomalies and the onset of factor investing, as well as the influence of big data on the quantitative equity field.

Pulling the Goalie: Hockey and Investment Implications (Cliff Asness/Aaron Brown)
Harkening back to the 1980 ‘Miracle on Ice,’ the authors build a model to determine the precise time that a hockey coach should choose to pull the goalie when behind. They then apply these lessons to a portfolio management environment.

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 33,000 members from across the globe have registered for the site, with 200-250 new members joining every week.

Savvy Investor allows you to search and immediately find the top white papers on any investment topic, ranked by popularity.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

GUI with local Python Django on Visual Studio Code or Pycharm vs C++ Qt or WxWidgets

This was a mess to get a real time chart using Chart Director. To get a graphical user interface, I must this was turning into a real hassle with C++. Qt version 5 is still too restrictive on the run time licensing end. Also, I find their IDE Qt Creator is just a beast where I really don’t want to use it. I even tried local Python with some moderate success.

I then tried using the open source edition of the CodeLite IDE with wxWidgets, I have had moderate success with this combo. It seem to get running on a Mac is not worth pursuing as it is way too old.

I then thought of trying the latest PyCharm Pro edition with ChartDirector and Django. Oh man, this is thing is a beast , They assume my package manager with my Python interpreter version 3 was using pip. I am actually using pip3 but to change that was not possible. You would think this was easy by justing adding the local Python interpreter. Pycharm did not recognize my local Python 3.6 but only found 3.1. When i navigated to the Python 3.6 to choose within the creator of the project, it would finally rconginze all the local Python packages. It took forever to load. Complete crap and not easy to play. Plus they want me to pay for this thing as it for the Pro edition.  Forget it!

I then had some moderate success with Visual Studio Code. It is these URL that make it much more possible:

https://code.visualstudio.com/docs/python/tutorial-django

OMG! Half the tutorial actually worked. I can also say I have much better understanding and appreciation for this IDE. I see why people like it since I got it to work.

Then we can talk about Django. No no no. Working with this framework made we want to stop. This thing is really old. There must be an easier way to build a real time charting with Chart Director. There has to be.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Have you seen the latest Analytics dashboard tour? Transact in crypto?

Have you seen the latest Analytics dashboard tour?

Check it out here

I am seeing many market alerts you will not hear on your fave forum or news outlet.

More notes

Are you still wanting to build a custom automated trading system? I am compiling any new folks out there who want to be added to the list?

Click here if interested

Do you actively transact in crypto? Let me know which crypto coin you like to purchase with

Click here if you do transact in crypto.

Regards,

Bryan at QuantLabs.net

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Comparing trading platforms like Ninja Trader and brokers on Google Trends

Comparing trading platforms and brokers on Google Trends
I compare all the popular trading platforms including Tradestation, Multicharts, MT4, Ninja Trader and even MotiveWave. It seems that MT4 is easily #1 but Tradestation is quite popular with Ninja Trader trading.
I am somehow  started glancing at brokers and even crypto currency/Bitcoin exchanges. It seems Crypto exchanges was very very popular a year ago but quickly died off. When you look at the brokers like Interactive Brokers, Oanda, Dukascopy, and other crypto exchanges. I broke down the analysis down by city and event country or region.

But why Oanda?

You can clearly see Oanda is the dominant force. globally.  This is another reason I found MT4 (Metatrader 4) is popular. MT5 is up there swell. When you look at the region what is driving Oanda, it seems be out of Hong Kong and Asia but it still dominates on Google Trend audience share. Also, when you look at the similar terms as Oanda. I found mysteries around PostFinance.ch (a digital bank out of Switzerland) and Sweden and Norway regions. It seems that some West African countries were in there as well. Maybe someone can explain this relationship I am seeing.
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

How to Easily Automate Your Trading System with aleratrading.com

Demo of Alera

Monday at 6:30 PM – 9:30 PM
Next Week
on Zoom.us online but stream live on social media (details to follow)
As stated on their site at http://www.aleratrading.com/#

OUR MISSION

To make algorithmic trading accessible to every trader through cutting edge technology that is intuitive, integrated, and reliable.

 

From the software vendor:

FINALLY.  A SOLUTION TO EASILY GO INTO LIVE TRADING PRODUCTION, NO MATTER HOW YOUR TRADE SIGNALS ARE GENERATED NOR HOW MANY QUANT STRATEGIES YOU HAVE.  Manage multiple signals and strategies from a single account, even for portfolio level automated trading.
Have you been traveling down the Quant road developing algos and strategies but are having a hard time actually executing the trade signals, managing order entry and portfolio positions?  Proper trade management and execution, especially on a portfolio level, has been elusive UNTIL NOW.  How about running multiple strategies with multiple positions per strategy in one account?  Pretty difficult trying to hack the broker API, huh?  If you are like us, you would rather spend more time testing trade ideas, developing algos and quants and verifying those strategies, rather than trying to understand, manage and hack brokerage APIs and deal with live execution complexities and nuances.
Dan and Dave are going to give a high-level overview of a brand new trading tool that has just now become available.   It promises to deliver on probably THE most difficult aspect of Quant trading strategy develop and implementation — that is, actually going live with your strategy into production, no matter which technology you use for generating your trade signals.
After the brief presentation followed by live demo, Dan and Dave will be happy to stick around to answer any technical or other questions about the technology that you may have.  And if you stick around ’till the end, you’ll find out how you can get started with a FREE fully functional, paper trading enabled version of the software to start implementing and forward testing (paper trading) your own strategies until you are comfortable actually going live –  no matter HOW many strategies you have.
At the end of the presentation you should have a better idea of how to semi or fully automate your trading ideas/algos/quant strategies and better understand how to FINALLY, EASILY “go into production” with your current quant development workflow.
We look forward to seeing you on the (webinar/livecast)! Here is the video playback:
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Answering questions about the latest on automated trading

I asked this question on:

Are you still interested in automated trading or algo trading?

I got a tonne of responses. As a result, I made a video which you can watch below

Interested so reach out via social media

twitter.com/quantlabs

Or message via https://www.facebook.com/quantlabsnet/

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Latest analytics service dashboard feature tour with CFD Forex CryptoCurrency

As I am changing this dashboard to this Analytics service, I had good reason to bad charting software. All explained in this video below.

I am wanting to build this service into something very very unique.

Check it out all below:

Quant Analytics

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Treasury yields fell after Fed’s inflation gauge miss forecast

 

Treasury yields fall after Fed’s inflation gauge misses forecasts

Inflation could still be on the rise so the Fed want to raise the rate to combat it. This impact Treasury which break through the concern of 3%. Here are some article highlights:

At 4:32 p.m. ET, the yield on the benchmark 10-year Treasury note had fallen to 3.079 percent, while the yield on the 30-year Treasury bond dipped to 3.315 percent. Bond yields move inversely to prices. …

“The key element is the inflation numbers,” said Scott Brown, chief economist at Raymond James. “It’s now back below the Fed’s 2 percent goal and may make them a little more gradual. They’ve been raising once a quarter, so now maybe it will become once every three meetings.” …

“The main thing where we might need to move along a little bit quicker if inflation surprises to the upside. We don’t see that,” Powell told reporters during his quarterly news conference in September.

https://www.cnbc.com/amp/2018/10/26/us-bonds-treasury-prices-higher-amid-market-volatility

 

BOO! Market Analysis Oct 31 Live

I thought I would do my first LIVE stream on Youtube. I am hoping to build a Python infrastructure using the instruction of Python book from QuantStart. Let’s see what happens

What to with your automated strategy when the market regime changes

You can always join my Analytics I speak of here

Quant Analytics

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Announcing Ranger – a unique and rather extraordinary trading strategies vehicle from Bob Pardo

This is from Robert Pardo the famous author of http://pardocapital.com/bios.php5

Hello Fellow Traders and Investors,

I am very pleased to introduce you to Ranger, a unique software program to develop and trade robust and quality trading  strategies. It goes far beyond that which is typically available in this genre. In fact, Ranger is capable of empowering all levels of trader from the dedicated beginner up to the advanced algorithmic trader. Yet, if one wants to take advantage of our professionally researched and robust trading strategies that too is readily available.

As you can see, Ranger is not just your typical trading system software. It begins as a range breakout strategy. However, it goes far, far beyond that. It is fair to say that Ranger is capable of creating dozens if not hundreds (or more) of uncorrelated trading strategies.

Ranger is a professional tool. It is built in the same style and to the same demanding specifications as our other in-house strategy development programs that we have used to create our trading programs. In fact, we are currently using Ranger to develop additional strategies for our Renaissance portfolio.

We have finalized our first Ranger portfolio – SI $125,000. This is a portfolio of nine strategies on three stock index futures. In addition, there are also a number of smaller portfolios derived from these strategies for different account sizes and purposes.

In any case, we are very pleased with the performance. The SI portfolioproduced a cumulative return of 479%, an annualized rate of return of 18% and a drawdown of 14.4%*. The SI Portfolio is included with Rangerand is ready to trade immediately.

Ranger’s pro-forma track record is based entirely on walk-forward analysis. This track record was developed with the same procedures and to the same standards that we used to create Renaissance.

Ranger is a unique product and an extraordinary value.

Reach out by email if you would like additional information and performance details about Ranger.

If you would like to get started with Ranger please click here to set up a call and get started.

Serious inquires only, please.

Thanks for your interest.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!