Author

Topic: Quantitative Trading Strategy (looking for investors) (Read 1169 times)

member
Activity: 76
Merit: 10
I am currently running it live with one user since 2 weeks. So far it went well, the returns we see are in line with the backtest. If you want I can send you the live signals for one week for free and then you can decide if you want to continue.
legendary
Activity: 2044
Merit: 1005
here is the output of my backtest :


Range:
startDate : 2009-01-02 16:00:00
endDate : 2014-02-20 16:00:00


Outputs Fund :
Sharpe Ratio : 1.52893582013
Volatility (stdev of daily returns) : 1.1%
Average Daily Return : 0.11%
Cumulative Return : 261.911%


Outputs Benchmark (S&P500) :
Sharpe Ratio : 0.52593891458
Volatility (stdev of daily returns) : 1.15%
Average Daily Return : 0.04%
Cumulative Return : 50.19%


Quantitative trading is a generic term which is a subset of systematic trading. It is the use of quantitative finance methods to come up with a systematic trading strategy. The frequency of the trading can be anything (daily, hourly, seconds, milliseconds) but the main thing is that the strategy is fully automated. There is no human decision, all trading decisions are made by the machine.



Is there a way to forward test without putting money
before a small test account is created?

I once made a strategy that gave me exponential gains 10 yrs backtest and them when I went live the third
day greece hit I got the first loss in 10 years which gave me a 50%
haircut...
member
Activity: 76
Merit: 10
here is the output of my backtest :


Range:
startDate : 2009-01-02 16:00:00
endDate : 2014-02-20 16:00:00


Outputs Fund :
Sharpe Ratio : 1.52893582013
Volatility (stdev of daily returns) : 1.1%
Average Daily Return : 0.11%
Cumulative Return : 261.911%


Outputs Benchmark (S&P500) :
Sharpe Ratio : 0.52593891458
Volatility (stdev of daily returns) : 1.15%
Average Daily Return : 0.04%
Cumulative Return : 50.19%


Quantitative trading is a generic term which is a subset of systematic trading. It is the use of quantitative finance methods to come up with a systematic trading strategy. The frequency of the trading can be anything (daily, hourly, seconds, milliseconds) but the main thing is that the strategy is fully automated. There is no human decision, all trading decisions are made by the machine.

legendary
Activity: 2044
Merit: 1005
I can give you the Sharpe ratio. My system trades once every day.

What do you mean by expectancy, you want the average daily return ?

I will also give you the win rate which is the number of days where the  daily P&L is positive.

I am also currently implementing my algo using the TD ameritrade api for those who are interested.

I can do the first week of subscription free for the first 3 customers so you can try the system for free for one week and then decide if you want to continue.
http://www.learningmarkets.com/determining-expectancy-in-your-trading/

You need to give max risk vs min reward from all possible trade triggers..

Quant trading once a day? isnt that an oxymoron? isnt a quant trader one who gets in out fast lotta times?

there is no use in demoing without understanding it.
member
Activity: 76
Merit: 10
I can give you the Sharpe ratio. My system trades once every day.

What do you mean by expectancy, you want the average daily return ?

I will also give you the win rate which is the number of days where the  daily P&L is positive.

I am also currently implementing my algo using the TD ameritrade api for those who are interested.

I can do the first week of subscription free for the first 3 customers so you can try the system for free for one week and then decide if you want to continue.
legendary
Activity: 2044
Merit: 1005
I have a backtest of my strategy over the last 4 years. Just send me an email and I will send you the graph

I dont need curves just hard numbers.. What is this backtest done in? manual application or some api?

I think its good for everyone to know the numbers I asked for... not keep it private.
member
Activity: 76
Merit: 10
I will also give you the usual statistics :

- total return over the period
- average daily return
- variance of daily returns
- sharpe ratio
member
Activity: 76
Merit: 10
I have a backtest of my strategy over the last 4 years. Just send me an email and I will send you the graph
legendary
Activity: 2044
Merit: 1005
Can you outline the expectancy of the system. Risk reward and average win rate if you dont know what expectancy is.
member
Activity: 76
Merit: 10
It is an ecn. I asked to several brokerage firms in Europe and they told me that me this product is not available to trade in europe , only in the US.

What I am offering here is to  basically give the strategy to someone in exchange for a subscription. The good thing here is that you manage your portfolio yourself, so no scam risk and you can stop at any time if you are not happy with the strategy performance.
hero member
Activity: 980
Merit: 1000
www.DonateMedia.org
Why wouldn't brokerage accounts from other countries besides the U.S won't work? I always assumed that it would still be the same ETFs that you choose, regardless of country. Unless the price feeds are from different ECNs?
member
Activity: 76
Merit: 10
I have recently developed a quantitative trading strategy on a US ETF.

I am now willing to monetize it by finding people who will run the strategy for me.

The signals I get are daily so basically the user will receive the output of my trading algorithm every day in exchange for a weekly subscription in btc. At any point the user can just stop the subscription and will stop receiving the signals.

I have a 4 years backtesting of my strategy that I can show.

If you are interested, send me an email on [email protected]

Depending on your broker, I can also give you a trading algo so it runs automatically on your side but it will cost you an extra fee.

Please note that you need to have a US brokerage account to run this strategy. Brokerage accounts from other countries will not work ( I tried because I wanted to run it for myself initially).


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