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RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 04:16
Endless programming details, which is the barrier of prevent you from turning strategy thinking into to a real project.

Of course, basic programming knowledge reserves still have to be there, but the details of the bottom mechanism should not be a stumbling block to hold back your strategy as soon as possible to run.

The meaning of the term "Quants" is a very broad concept. Usually operated as a common team, everyone on this team can be called a “Quants”. In the team, someone is responsible for writing the program; someone is responsible for formulating the strategy; someone is responsible for the maintenance and backtesting of the actual running of the strategy; someone is responsible for the establishment of strategic mathematical models (especially algorithmic trading); and others are responsible for the study of market fundamentals.

As can be seen from the above, why the “Pros” are professional? because an effective division of labor can produce greater and better performance.

As an individual investor, how do you compete with these professional teams? After all, a person's ability is limited. Even if you are the same genius as Einstein, IQ can crush anyone in the above-mentioned team, but from the time perspective, I believe that it will still cost you a lot more times than an operation team.

As a trader, please think carefully about a problem. Each of member in the above teams has their own roles and is vital to the actual operation of the project. But what is the most important thing?

Strategy, Strategy, and Strategy!!! this is the core component of all so-called "quantitative trading" Everything in the team is a derivative of this factor. Assuming that "strong artificial intelligence" have been invented one day, the computer can understand human language without barriers, no longer need professional programmers, as a quantitative trader, what do you need to do? Strategy, still the strategy, traders only need to tell the computer the strategy process, the strong artificial intelligence computer will understand the human language, and then trade the strategy you developed.

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

TonyC
Nuclear Energy Trader

Total Posts: 1277
Joined: May 2004
 
Posted: 2018-08-15 05:12
RubyYao asked:
> What is the most troublesome thing about quantitative trading?

I'd say the most troublesome thing is coming up with an idea, working on it for 2 months ...
... and then finding out FDAX did it better and faster 3 years ago, (and after trading it for 2 years), abandoned it because the edge is gone ... and that he has already moved on to the next thing


flaneur/boulevardier/remittance man/energy trader

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 06:04
cruel

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 06:31
Automation on digital currency exchanges is the boring programming details mentioned earlier in this article, such as the interface interaction processing of major exchanges, the processing of the runway after you place an order. Most importantly, in order to verify the effectiveness of the strategy, the construct of the backtesting system.

If you want build a backtesting system yourself, you need to understand computer science, you need to learn the operating system (such as server-side LINUX as cloud computing), you need to understand programming languages such as C++ (especially for high-frequency trading), python (strategy writing, machine learning) ), R (scientific computing, machine learning), you need to understand the order trading mechanism at the bottom of each major exchange, you need to optimize your order runway to ensure that your order can be quickly executed.

All of the above, in the current world market environment, with one person's power, is almost an impossible task, especially for those who do not have any computer science foundation. And this may just be for a single exchange or market. For digital currencies, there are currently many exchanges, and the mechanism for processing orders at the bottom of each exchange is different, which further increases the learning curve.

You may have to spend years on the computer science knowledge mentioned above, during the studying period, you may not be able to implement any trading strategy from your mind. You will miss a lot of trading opportunities, especially for professional traders, who need to spend a lot of time on this knowledge so that they can't concentrate on trading, resulting in no income, which leads to psychological distortion of their trading life.

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 08:41
Is there a place to help you to do the quantitative research and automotive bottom mechanism construct?

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 08:55
Remember, you are a trader, not a programmer. Professional things are better left to professional people.

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

Maggette


Total Posts: 1051
Joined: Jun 2007
 
Posted: 2018-08-15 08:58
I am predicting ,in this thread, pretty soon we will get an url to something that makes *buzzwords easily accessible for retail traders and will unleash the power of the retail trader to become a one man hedge fund.

* machine learning/ai, strategy development, risk management...

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 09:55
so you have better suggestion? little genius

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

doomanx


Total Posts: 10
Joined: Jul 2018
 
Posted: 2018-08-15 10:53
"As an individual investor, how do you compete with these professional teams"
Simple, just use the Reverse Kolmogorov-Smirnov test. It's pretty much the core idea used by Renaissance, Two-Sigma etc.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-15 11:28
are u a professional user?

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

deeds


Total Posts: 403
Joined: Dec 2008
 
Posted: 2018-08-15 13:08
@Maggette, it's in @RubyYao's signature, from the first post.

EDIT: and it's the other end of the 'value chain'. the professional end.

gmetric_Flow


Total Posts: 7
Joined: Oct 2016
 
Posted: 2018-08-15 15:28
@doomanx- I assume you are joking (since it's certainly not "simple" to compete with top shops as an individual investor), but in the off chance that you are not, can you tell me what the Reverse K-S test (assuming familiarity with standard K-S) is?

anonq


Total Posts: 12
Joined: Aug 2018
 
Posted: 2018-08-15 15:33
All the technology stuff is really easy. The hard part is finding alpha.


Jurassic


Total Posts: 134
Joined: Mar 2018
 
Posted: 2018-08-15 18:44
-

prikolno


Total Posts: 5
Joined: Jul 2018
 
Posted: 2018-08-16 01:07
>in the off chance that you are not, can you tell me what the Reverse K-S test (assuming familiarity with standard K-S) is?

Are people still using RKS? I thought it has been deprecated after the Sokolov-Yang-Anderson paper that DB circulated in 2015.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-16 11:09
nice

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-18 10:57
I just got a strategy, I will share next Monday. Have a nice weekendChew

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

Jurassic


Total Posts: 134
Joined: Mar 2018
 
Posted: 2018-08-18 12:59
> Are people still using RKS? I thought it has been deprecated after the Sokolov-Yang-Anderson paper that DB circulated in 2015.

Does anyone have a copy of this paper by SYA?

doomanx


Total Posts: 10
Joined: Jul 2018
 
Posted: 2018-08-19 11:28
> Are people still using RKS? I thought it has been deprecated after the Sokolov-Yang-Anderson paper that DB circulated in 2015.

Seen a bit of a surge in popularity after the 2017 paper Yuri published while he was still at GS, pretty much blew the whole prop game wide open. Heard most desks had to re-write their alpha gen as it pretty much made it fair game for everyone.

anonq


Total Posts: 12
Joined: Aug 2018
 
Posted: 2018-08-19 19:44
> Seen a bit of a surge in popularity after the 2017 paper Yuri published while he was still at GS, pretty much blew the whole prop game wide open. Heard most desks had to re-write their alpha gen as it pretty much made it fair game for everyone.

Any chance you know the name of the paper? I do have a broker relationship with GS so could get the paper from them

any color on why people had to re-write alpha generation? running an equity quant book and haven't seen significant alpha decay the past year, actually 2018 turning out to be a great year


kuebiko


Total Posts: 24
Joined: May 2018
 
Posted: 2018-08-19 22:38
@anonq I honestly don’t know but I think the RKS stuff/paper is all a joke...

BTW what frequencies do you trade?

anonq


Total Posts: 12
Joined: Aug 2018
 
Posted: 2018-08-20 00:37
That would make sense... something more than mildly interesting coming from one of the banks quant research teams would be rather surprising

Basically a standard stat arb book these days with maybe higher turn than the norm, everything from very short to month hold alphas, colocated but primarily to reduce market impact, couldn’t survive on the purely intraday signals

RubyYao


Total Posts: 35
Joined: Aug 2018
 
Posted: 2018-08-20 04:37
I share a strategy on another thread named "Blockchain Quantitative Investment Series Course (3) - Intertemporal Arbitrage", which includes complete code. glad to talk about it with you guys Big Smile

quantitative platform: www.fmz.com professional team of programmers with more than 20 years of programming experience, build all the underlying mechanisms, backtesting system (accurate to the second level of data), every major exchange interface, runway and order delivery optimization.

kuebiko


Total Posts: 24
Joined: May 2018
 
Posted: 2018-08-20 19:12
@anonq cool. Are you saying your intraday stuff just can’t scale/generate enough vol without creating significant market impact? Presumably the lower frequency stuff is also lower Sharpe but higher capacity. Curious how you think about combining “alphas” on these different timeframes (say a collection of hourly signals and a collection of monthly signals)....

anonq


Total Posts: 12
Joined: Aug 2018
 
Posted: 2018-08-20 20:48
@kuebiko yeah can’t scale due to market impact without significant work on the execution side and/or additional short term alphas, but always tempting to play that game but kinda intimidating with the likes of virtu who probably has more invested in tech infrastructure than I have gmv

Yeah lower frequency is incredibly high capacity but much lower sharpe and am seeing some alpha decay there, my guess is that it’s so easy to execute that more funds have that kind of stuff. Used to know people over a decade ago running multi billion gmv rank based portfolios on a handful of signals off IBES but that doesn’t work at all anymore, whereas the short term stuff from back then still holding its own

Assuming one has accurate expected returns and good market impact modeling then the best way by far is a multi period optimization, decent number of papers on the topic now but easier said than done. Currently have what I’d call a ghetto version of that, still working on getting better expected returns

Do you do anything in this area?
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