Tag Archives: alpha

Alpha Generation: Controlling Intraday Risk Profile

Alpha Generation: Controlling Intraday Risk Profile

Another useful QuantInsti webinar video

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Origins of trading alpha

Origins of trading alpha

Abstract from this research paper:

We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to volatility due to rather random perception/interpretation of earnings announcements (among other data) by market participants. We present empirical evidence indicating that dividend paying stocks on average are less volatile, even factoring out market cap. We further ponder possible ways of increasing market efficiency via 1) instituting such a mechanism, 2) a taxation scheme that would depend on holding periods, and 3) a universal crossing engine/exchange for mutual and pension funds (and similar long holding horizon vehicles) with no dark pools, 100% transparency, and no advantage for timing orders.

 

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2575007

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Market crash is volatile which equals alpha opportunities?

Market crash is high volatility equals alpha opportunities?

Does a market crash equal high volatility …

… which ultimately equals high alpha generation opportunities?

For those who trade like a human, volatility can be an ugly word since it ushers unpredictability into your trading results.

But not so for quant traders. Because if you know how to automate your strategies, you can easily embrace volatility which leads to alpha … and lots of it!

See what Sholom B says about VIX options here
https://quantlabs.net/blog/2016/08/market-crash-is-high-volatlity-equals-profit-opportunities/

Plus I’ve got …

New Quant Elite dashboards to learn live futures options trading

I’ll be introducing my last LIVE course series in a couple of weeks. In this course, I’ll be talking about volatility within both futures and options trading.

Plus I’ll also be covering over 24 weeks of source code walk-throughs to highlight key trading examples. Here’s a live demo of my new dashboard to cover this new upcoming trading LIVE section:

Check it out right here

https://quantlabs.net/blog/2016/08/new-quant-elite-dashboards-to-learn-live-futures-options-trading/

Want to know more? Access to my QuantLabs.net ELITE service includes:

1. Source code, video walkthroughs, and database analysis with enhanced course structure.

2. All Math analysis for all your quant analysis using Khan Academy.

3. Tips on stock screening technology.

4. Top vendor source code demos of top providers with Interactive Brokers and IQFeed. (Windows and Linux versions included)

5. Complete analysis from the best source I know for both futures and options trading

6. Exclusive weekly Meetup video playbacks not accessible by the public.

There are many more benefits to Quant Elite membership, which is why I’ve compiled resources for you to understand what’s on offer:

1.    A FAQ knowledgebase covering 129 topics!
2.    A detailed course topic listing with videos.
3.    And a final list of MAJOR benefits is available right here.

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Benefits with technical hints of average true range script for max forex trading alpha

Benefits with technical hints of average true range script for max forex trading alpha

Very useful script which will maximize profit for most volatile opportunity while forex trading

https://www.interactivebrokers.com/en/index.php?f=759

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Helpful historical videos:

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Where does generating alpha come from

Where does generating alpha come from

Some highlights from this interesting roundtable

Why monthly return numbers are useless for a proper fund analysis

In the current environment, the hedge fund space is more relevant for investors than ever before, but you need tools which are better than the tools you had in the past. The hedge fund space has a very serious problem related to the fact that a lot of the screening for managers and a lot of the “research” (i.e., understanding what managers do) is based on a single number that the managers report once a month: the return. And it’s virtually impossible, to find anything meaningful using this approach, says Prof. Luis Seco from Sigma Analysis. While the monthly return information is of course important, it’s a massive compression exercise from where it is hard to extract a meaning. Investors are getting just a summary of thousands of activity points cumulating to one number.

Hedge fund portfolios would be too complicated to understand from a data series of one number per month. Rather, “You have to go to the transactional data. We have been doing this for ten years now, on a lot of funds. When you look at every transaction that hedge fund is doing, you can develop analytical tools to understand where they make money and where they lose money, and why. I come from a world where we run all our clients’ money on a managed-account platform, so we have access to virtually all relevant information. Imagine you get to see everything the hedge fund does, what decisions were right, what decisions were wrong through the right analytical toolbox, you get access to what people call alpha, except it is not alpha anymore, because alpha and beta are statistical numbers, but there are no statistics involved here – they are direct analytics. Following this approach, suddenly you have a tremendous tool to do manager selection and portfolio construction.”

http://www.opalesque.com/RT/RoundtableFrankfurt2016.html

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WebSim for alpha from Quant World

WebSim for alpha from Quant World

A mobile app for this Quant World Challenge program

https://websim.worldquantchallenge.com/en/cms/wqc/websim/

Thanks to Sholom for sending

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101 Quant Formulae to Generate Trading Alpha

I just posted a research paper from SSRN that consists of 101 formulas that can be used for Alpha in your trading. This is just another financial advanced term in saying bank over market benchmarks like S&P 500.

Get access to this PDF here

Now, if you were smart in watching my hopeful and final software architecture video, you will quickly realize how you could streamline these simple algorithms for so-called alpha. Remember that there are over 100 of these. So it is just one of thousands of research papers out there that offer these kind of benefits. This is when I get really excited in the numerous potential ways to implement these sort of quant equations.

 

If you don’t know about my software architecture video, go here.

DAILY DIGEST

To add to that, I get more excited with the FX hidden gems that I’m learning. I’m actually going to implement a lot of this into my next generation algo trading system that I’m speaking of. I really don’t want you to miss the latest 4 videos that I’ve added to my YouTube channel. Because I can’t put these links in these type of emails, I really want you to sign up to my free daily digest.

Go here for that

OK let’s get back on track… As said, there is nothing more exciting then to see all these ideas be implemented to this trading system. If you know about my last four videos, one of them spoke about the upcoming details I have for my Quant Elite membership. This will radically change on how we think as automated traders.

In fact, I’m pretty confident that all of this will work out for my three strategies that are being worked on. A lot of people don’t know this but all major asset classes are interlinked with each other. This enables you to not only find one opportunity in the markets, but you can scale out many opportunities from the root one.  That enables you to exponentially grow your trading account. Again as always, no human trader or trading operation can accomplish this. Why do you think I’m so excited about my future?

This will obviously impact my Quant Elite members

Especially those that are doing my Python algo trading course series

Interested?

Go here for immediate access

Thanks for reading

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101 Quant Formulas to Generate Trading Alpha

101 Quant Formulas to Generate Trading Alpha

This would be useful needing a quick jump into the world of quant trading

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2701346

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Dr Paul Cottrell trading Poseidon Alpha release

Dr Paul Cottrell trading Poseidon Alpha release

From Dr Paul Cottrell:
I liked your last video on YouTube about the SEC and black pool traders.

Check out this video on YouTube:

This is the video he refers to:

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