Quantitative Trading Quotes

Value’ has no meaning other than in relation to living beings. The value of a thing is always relative to a particular person, is completely personal and different in quantity for each living human—‘market value’ is a fiction, merely a rough guess at the average personal values, all of which must be quantitively different or trade would be impossible.

Value’ has no meaning other than in relation to living beings. The value of a thing is always relative to a particular person, is completely personal and different in quantity for each living human—‘market value’ is a fiction, merely a rough guess at the average of personal values, all of which must be quantitatively different or trade would be impossible.

trade futures or foreign currencies. This would be a serious limitation

how deep and how long a drawdown will you be able to tolerate and not liquidate your portfolio and shut down your strategy?

Risk management always dictates that you should reduce your position size whenever there is a loss, even when it means realizing those losses.

dark-pool liquidity

capital weight of a stock is proportional to the fourth root of its market cap,

slippage is the difference between the price that triggers the trading signal and the average execution price of the entire order.

plus-tick rule was eliminated by the SEC in June 2007, and it was replaced by an alternative uptick rule (Rule 201) in February 2010.

Retail versus Proprietary Trading

financial contagion

The maximum drawdown duration is the longest it has taken for the equity curve to recover losses.

easy to trade a million-dollar portfolio with nothing more than a few thousand dollars' initial investment

maximum historical one-day loss is about 20.47 percent, which occurred on October 19, 1987—“Black Monday.

if a fundamental analysis of a company reveals that it is currently overvalued, its stock price will likely gradually decrease

we have a large number of “gamblers” (read: traders) playing a risky game, and as long as the average return is positive, the economist suggests that this risky game is worthwhile,

human traders who are not psychologically prepared will often override their automated trading systems' decisions, especially when there is a position or day with abnormal profit or loss.

If you are trading S&P 500 stocks, for example, the average transaction cost (excluding commissions, which depend on your brokerage) would be about 5 basis points (that is, five-hundredths of a percent).

Constructing a trading strategy is essentially a matter of determining if the prices under certain conditions and for a certain time horizon will be mean reverting or trending, and what the initial reference price should be at any given time.

Quantitative historians who use statistical tools to study big-picture historical trends, created a vast database of research on more than 36,000 slave ship voyages that took place over four hundred years. They found that there was a revolt on at least one in ten of these voyages. That was a much higher number than anyone expected. Revolts were never easy, but revolts on slave ships in the middle of the Atlantic Ocean were basically suicide missions. Nonetheless, many captives chose death over this exceptionally horrid new kind of slavery. This type of resistance was so expensive and time-consuming for the slavers, these historians estimate that it prevented at least a million more people from being captured and entering the slave trade. So why would a revolt happen on one ship and not another? The quantitative historians couldn't find a clear pattern, other than that captives tried to revolt whenever they would. But one thing did stand out: The more women onboard a slave ship, the more likely a revolt. Let me emphasize this point: the more women onboard a slave ship, the more likely a revolt would occur.

if the strategy is a long–short dollar-neutral strategy (i.e., the portfolio holds long and short positions with equal capital), then 10 percent is quite a good return, because then the benchmark of comparison is not the market index, but a riskless asset such as the yield of the three-month US Treasury bill (which at the time of this writing is just about zero percent).

Value" has no meaning other than in relation to living beings. The value of a thing is always relative to a particular person, is completely personal and different in quantity for each living human - "market value" is a fiction, merely a rough guess at the average of personal values, all of which must be quantitatively different or trade would be impossible ... This very personal relationship, "value," has two factors for a human being: first, what he can do with a thing, its use to him ... and second, what he must do to get it, its cost to him. There is an old song which asserts "the best things in life are free." Not true! Utterly false! This was the tragic fallacy which brought on the decadence and collapse of the democracies of the twentieth century; those noble experiements failed because the people had been led to believe that they could simply vote for whatever they wanted ... and get it, without toil, without sweat, without tears. Nothing of value is free. Even the breath of life is purchased at birth only through gasping effort and pain.

The euro fell to as low as $1.18605, its weakest level since March 2006, having fallen below an important support at $1.20. The common currency last traded at $1.1926, down 0.6 percent from late U.S. trade on Friday. In an interview with German financial daily Handelsblatt published on Friday, ECB President Mario Draghi said the risk of the central bank not fulfilling its mandate of preserving price stability was higher now than half a year ago. "The market took his comments to mean that he is ready to adopt quantitative easing," said Shin Kadota, chief forex strategist at Barclays in Tokyo.

Perhaps the most worrying legacy of African slavery in the New World is the persistent oppression of all people of African descent in the Americas. A recent quantitative study shows that up to about 1820, approximately five Africans were brought to the New World for each European migrant (Eltis 1983: 255; Engerman 1986: 318–22). But in the course of the nineteenth century all that changed, as the booming American economies attracted free migrants from Europe. This means that the African slaves did the back-breaking work, but as the fruits of this work began to mature others came in to reap the harvest, with the blacks continuing to be held back in bondage. Even after emancipation, legal and other forms of oppression still blocked black access to power and resources. Thus the process of capitalist accumulation passed them by, giving rise to a black population in the Americas generally characterized by poverty, extreme deprivation, lack of education, disease,

A confidential report delivered in June 1965 by Abel Aganbegyan, director of the Novobirsk Institute of Economics, highlighted the difficulties. Aganbegyan noted that the growth rate of the Soviet economy was beginning to decline, just as the rival US economy seemed particularly buoyant; at the same time, some sectors of the Soviet economy - housing, agriculture, services, retail trade - remained very backward, and were failing to develop at an adequate rate. The root causes of this poor performance he saw in the enormous commitment of resources to defense (in human terms, 30-40 million people out of a working population of 100 million, he reckoned), and the 'extreme centralism and lack of democracy in economic matters' which had survived from the past. In a complex modern society, he argued, not everything could be planned, since it was impossible to foresee all possible contingencies and their potential effects. So the plan amounted to central command, and even that could not be properly implemented for lack of information and of modern data-processing equipment. 'The Central Statistical Administration ... does not have a single computer, and is not planning to acquire any,' he commented acidly. Economic administration was also impeded by excessive secrecy: 'We obtain many figures... from American journals sooner than they are released by the Central Statistical Administration.' Hence the economy suffered from inbuilt distortions: the hoarding of goods and labour to provide for unforeseen contingencies, the production of shoddy goods to fulfill planning targets expressed in crude quantitative terms, the accumulation of unused money by a public reluctant to buy substandard products, with resultant inflation and a flourishing black market.

Every time the politicians we elect attempt to increase our standard of living or employment prospects by increasing government spending to stimulate economic activity (‘Keynesian economics’ as it is called); and every time a national bank tries to increase our standard of living or employment prospects by stimulating economic activity by increasing the money supply (‘quantitative easing’ as it is called), each of those actions has its ideological origins in the ideas contained in John Law’s Money and Trade Considered, and the actions of John Law’s Mississippi Scheme.

copulas.

aggregate multiplier for the dividends is simply 0.998618 × 0.997488 × … × 0.997214 = 0.976773. This multiplier should be applied to all the unadjusted prices on or after 6/9/2005.

the Sharpe ratio, maximum drawdown, and MAR ratio are the most important.

Look-Ahead Bias

run the backtest program again using the truncated data

Deflated Sharpe Ratio

limited liability company (LLC)

Regulation T.

pass the FINRA Series 7 examination

Goldman Sachs's REDIPlus trading platform,

SUMMARY

retrieve the appropriate data from a broker (such as Alpaca or Interactive Brokers),

market impact,

nonreflexive

half-Kelly betting.

I would not employ more than five parameters, including quantities such as entry and exit thresholds, holding period, or the lookback period, in computing moving averages.

dynamic data exchange (DDE) link

Spread trader

on elitetrader.com

adjust the historical prices by a multiplier instead of subtracting $d so that the historical daily returns will remain the same pre- and post-adjustment. This is the way Yahoo! Finance adjusts its historical data, and is the most common way.

recommend getting historical data that are already split and dividend adjusted,

highly mean-reverting manner.

out-of-sample testing

stationarity and cointegration

example3_6.ipynb. Pair Trading of GLD and GDX

simulator” account

Backtesting also won't reveal the operational difficulties,

the benchmark is usually the market index to which the securities you are trading belong.

The Sharpe ratio is actually a special case of the information ratio, suitable when we have a dollar-neutral strategy, so that the benchmark to use is always the risk-free rate.

simple formula:

When a young employee gasped at his blue language, Simons flashed a grin. “I know—that is an impressive rate!” A few times a week, Marilyn came by to visit, usually with their baby, Nicholas. Other times, Barbara checked in on her ex-husband. Other employees’ spouses and children also wandered around the office. Each afternoon, the team met for tea in the library, where Simons, Baum, and others discussed the latest news and debated the direction of the economy. Simons also hosted staffers on his yacht, The Lord Jim, docked in nearby Port Jefferson. Most days, Simons sat in his office, wearing jeans and a golf shirt, staring at his computer screen, developing new trades—reading the news and predicting where markets were going, like most everyone else. When he was especially engrossed in thought, Simons would hold a cigarette in one hand and chew on his cheek. Baum, in a smaller, nearby office, trading his own account, favored raggedy sweaters, wrinkled trousers, and worn Hush Puppies shoes. To compensate for his worsening eyesight, he hunched close to his computer, trying to ignore the smoke wafting through the office from Simons’s cigarettes. Their traditional trading approach was going so well that, when the boutique next door closed, Simons rented the space and punched through the adjoining wall. The new space was filled with offices for new hires, including an economist and others who provided expert intelligence and made their own trades, helping to boost returns. At the same time, Simons was developing a new passion: backing promising technology companies, including an electronic dictionary company called Franklin Electronic Publishers, which developed the first hand-held computer. In 1982, Simons changed Monemetrics’ name to Renaissance Technologies Corporation, reflecting his developing interest in these upstart companies. Simons came to see himself as a venture capitalist as much as a trader. He spent much of the week working in an office in New York City, where he interacted with his hedge fund’s investors while also dealing with his tech companies. Simons also took time to care for his children, one of whom needed extra attention. Paul, Simons’s second child with Barbara, had been born with a rare hereditary condition called ectodermal dysplasia. Paul’s skin, hair, and sweat glands didn’t develop properly, he was short for his age, and his teeth were few and misshapen. To cope with the resulting insecurities, Paul asked his parents to buy him stylish and popular clothing in the hopes of fitting in with his grade-school peers. Paul’s challenges weighed on Simons, who sometimes drove Paul to Trenton, New Jersey, where a pediatric dentist made cosmetic improvements to Paul’s teeth. Later, a New York dentist fitted Paul with a complete set of implants, improving his self-esteem. Baum was fine with Simons working from the New York office, dealing with his outside investments, and tending to family matters. Baum didn’t need much help. He was making so much money trading various currencies using intuition and instinct that pursuing a systematic, “quantitative” style of trading seemed a waste of

QUANTITATIVE RESEARCH AND TRADING - The latest theories, models and investment strategies in quantitative research and high frequency trading

beta

As a rule of thumb, any strategy that has a Sharpe ratio of less than 1 is not suitable as a stand-alone strategy. For a strategy that achieves profitability almost every month, its (annualized) Sharpe ratio is typically greater than 2. For a strategy that is profitable almost every day, its Sharpe ratio is usually greater than 3.

true Sharpe ratio is equal to or greater than 0, you need a backtest Sharpe ratio of 1 and a sample size of 681 data points (e.g., 2.71 years of daily data).

sharpeRatioTestset # -3.378513

basket trader

ran the trading algorithm, and wrote out a list of orders into an order file that can be over 1,000 lines

(Interactive Brokers, for example, has a special web page that allows programming consultants to offer their services.)

The ledger’s double-entry pages and the neat grid of the invoice gave purposeful shape to the story they told. Through their graphic simplicity and economy, invoices and ledgers effaced the personal histories that fueled the slaving economy. Containing only what could fit within the clean lines of their columns and rows, they reduced an enormous system of traffic in human commodities to a concise chronicle of quantitative ‘facts.’ Thus, Mary Poove writes, ‘like the closet, the conventions of double-entry bookkeeping were intended to manage or contain excess.’ Instruments such as these did their work, then, while concealing the messiness of history, erasing from view the politics that underlay the neat account keeping. The slave traders (and much of the modern economic literature on the slave trade) regarded the slave ship’s need for volume as a self-evident ‘fact’ of economic rationalization: the Board of Trade’s reports, the balance pursued in the Royal African Company’s double-entry ledgers, the calculations that determined how many captive bodies a ship could ‘conveniently stow,’ the simple equation by which an agent at the company’s factory at Whydah promised ‘to Complie with delivering in every ten days 100 Negroes.’ But the perceptions of the African captives themselves differed from the slave trader’s economies of scale and rationalized efficiency of production. What appears in the European quantitative account as a seamless expansion in the volume of slave exports—evidence of the natural workings of the market—took the form of violent rifts in the political geography of the Gold Coast. People for whom the Atlantic market had been a distant and hazy presence with little direct consequence for their lives now found themselves swept up in wars and siphoned into a type of captivity without precedent.

free historical intraday futures data.”)

Historical Databases for Backtesting

a VPS (e.g., speedytradingservers.com) will also ensure your trading strategy is resilient to common household disasters

upload this order file to your brokerage's basket trader or spread trader

Risk management then required that it sell off liquid stock positions in their portfolio that might, up to that point, be unaffected by the subprime debacle.

slippage,

regime shifts

(Capacity

maximum Sharpe ratio

drawdown

readable little book by Jonathan Regenstein (Regenstein, 2018) called Reproducible Finance with R.

adjusted close prices here do not match the adjusted close prices displayed in the Yahoo! Finance table. The reason for this is that there have been dividends distributed after 6/9/2005,

compound annualized growth rate (CAGR),

has a mediocre Sharpe ratio of 0.25 and a very unprofitable Sharpe ratio of –3.19 after transaction costs in 2006.

Issues

(API)

paper trading accounts.

Title: market research in India : A Profound Jump into AMT Statistical surveying In the unique scene of Indian trade, understanding business sector patterns and customer conduct is fundamental for organizations meaning to flourish in this thriving economy. AMT Statistical surveying remains as a reference point, enlightening the way for organizations looking for thorough bits of knowledge market research in India. Through careful examination and information driven systems, AMT Statistical surveying offers a guide for outcome in one of the world's most encouraging business sectors. India, with its huge populace surpassing 1.3 billion and a quickly growing working class, presents an abundance of chances across different areas. In any case, exploring this perplexing business sector requires a nuanced comprehension of nearby inclinations, social subtleties, and financial elements. This is where AMT Statistical surveying succeeds, giving priceless knowledge to direct essential navigation. One of the vital qualities of AMT Statistical surveying lies in its capacity to lead top to bottom examinations custom fitted to the particular requirements of clients. Whether it's recognizing developing business sector patterns, surveying serious scenes, or assessing customer conduct, AMT utilizes a complex way to deal with convey significant experiences. By utilizing a mix of subjective and quantitative exploration techniques, including reviews, center gatherings, and information examination, AMT guarantees that its clients have a far reaching comprehension of the market elements. In a different nation like India, where customer inclinations can shift essentially from one district to another, AMT Statistical surveying embraces a limited methodology. Perceiving the significance of social responsiveness, AMT's exploration procedures are modified to represent provincial abberations, etymological variety, and financial variables. This granular comprehension empowers organizations to tailor their items, advertising procedures, and appropriation channels to resound with interest groups the nation over. Moreover, AMT Statistical surveying stays up with the quickly advancing mechanical scene in India. With the multiplication of advanced innovations and the inescapable reception of cell phones, online stages have arisen as key drivers of buyer commitment and business. AMT's mastery in computerized research furnishes organizations with the bits of knowledge expected to profit by the advanced unrest clearing across India. In addition, AMT Statistical surveying gives priceless direction to organizations hoping to explore administrative difficulties and market section hindrances in India. By keeping up to date with strategy changes, administrative structures, and industry elements, AMT engages clients to pursue informed choices and moderate dangers actually. Notwithstanding its ability in statistical surveying, AMT separates itself through its obligation to client fulfillment and greatness. With a group of old pros having profound space mastery across different ventures, AMT guarantees that clients get customized consideration and custom-made arrangements meet their particular prerequisites. All in all, AMT Statistical surveying arises as a believed accomplice for organizations trying to open the immense capability of the market research in india . Through its far reaching research procedures, limited bits of knowledge, and obligation to greatness, AMT engages clients to explore the intricacies of the Indian market scene with certainty and lucidity. As India forges ahead with its direction of financial development and change, AMT stands prepared to direct organizations towards progress in this unique and lively market. By saddling the force of AMT Statistical surveying, organizations can graph a course towards feasible development and thriving in one of the world's most encouraging business sectors.

the aggregate gains from trade, for a large economy like the United States, are actually quantitatively quite small. The truth is, if the US were to go back to complete autarky, not trading with anybody, it would be poorer. But not that much poorer.

Call

Put

CHAPTER

Emotions remain the same, qualitatively, throughout life; the stimuli to which they respond are subject to quantitative variations, but the feelings are stock in trade. This why the theater survives: it is cross-cultural; it contains the North Pole and the South Pole of the human condition; the emotions fall like iron filings within its field.