Quantitative and Algorithmic Trading

Hi PT,

very very good question.

Have to look over the weekend if I can come up with some numbers supporting the following:


a) most quant models only make a (short) period of time money until they fail

b) HFT may be quite another kind, because it is predatory and manipulative; we will see if they can survive; seems for me, that they have to adapt regularily

c) many successful quant models make not huge money but steady money - which leads to the question: is the time worth it to develop them fur us as the retail traders


I think, as with other methods too, best is, to take a mix of some methods to look for confirmation of your trading thesis

That is precisely my line of thought, but wanted to know what everyone else was thinking.
Thanks for your response

Anyone else?

I was looking for a proper institute to learn algo trading, since the majority of trading ideas I develop comes from technical analysis.
At the actual moment I follow a couple of community with other programmers, but I would like to enhance my skills in Quantitative Finance.

At the moment I found few courses on Coursera, but I am sure I will not be able to follow the classroom.

https://www.coursera.org/course/mathematicalmethods

https://www.coursera.org/course/fe2

https://www.coursera.org/course/compmethods

I am wondering if somebody can tell me if exists any blended course which I can follow online at my own pace through video learning.

Regards.

options traders generally live by the premise that it's easier to predict volatility than price. you don't have to be a quant to trade options, but it helps...

http://www.amazon.com/Volatility-Tra...tility+trading

It's definitely worth the time and effort to exploit inefficiencies constantly (even if they're small).
Over the long run (i.e. during 1 business year) you can make a lot of money also with a very small leverage.

http://epchan.blogspot.co.uk/2013/10...-and-vpin.html

How Useful is Order Flow and VPIN?

http://softwaretrading.co.uk/2012/05...low-this-blog/

If you believe the efficient markets hypothesis, don’t follow this blog

Are the Skewness and Kurtosis Useful Statistics?
http://www.spcforexcel.com/are-skewn...ful-statistics

Skewness is a very useful for trading. Short-term skew make price move. So, love to chase skew (skim ---> sex, beautiful).

The Cross-Section of Speculator Skill: Evidence from Day Trading

http://papers.ssrn.com/sol3/papers.c...ract_id=529063

some data on the performance of day traders.. It aint an easy game afterall :-)

Fib levels and self fulfilling prophecy

http://digitalcommons.macalester.edu...onors_projects

"The neat thing about order flow is that it has proven to be a good momentum indicator. That is to say, a positive flow predicts a positive future return. This might seem trivially obvious, but you have remember that generally speaking, a positive past return by no means predicts a positive future return. That FX order flow possesses this predictive power was shown by Evans and Lyons in a series of papers, but this indicator is useful in many other markets, and at many different time scales. For example, in a paper by Coval and Stafford, it was shown that if you can tease out the order flow of a stock due to mutual funds' trading alone, you can also predict its future return up to, say, a quarter."

Amen brother Amen. It's something I already know, but to have a genius in their field talking positively about your strategy sure puts a pep in your step.

Mathematics

http://www.math.cornell.edu/~numb3rs/lipa/Episodes/
http://www.math.cornell.edu/~numb3rs/

Lucky streaks happen, but they are not result of luck

http://www.economist.com/news/scienc...-luck-hot-trot

found this site that caters to quant traders (as opposed to traditional chart analysis).

http://quantlabs.net/

they have a elite section where it seems they discuss more profitable strategies
http://quantlabs.net/academy/be-an-elite-quant/

Does anyone have any courses from these guys? any feedback would be great.

http://www.moneyscience.com/

http://jonathankinlay.com/index.php/...and-fat-tails/

Stationarity and Fat Tails

The QUSMA Data Management System Is Now Open Source

The QUSMA Data Management System (QDMS) is an application for acquiring, managing, and distributing low-frequency historical and real-time data, written in C#.
QDMS uses a client/server model. The server acts as a broker between clients and external data sources. It also manages metadata on instruments, and local storage of historical data. Finally it also functions as a UI for managing the metadata & data, as well as importing/exporting data from and to CSV files.
Currently it supports two external data sources: Interactive Brokers and Yahoo, but I’ll be adding more in the future.
Note that it’s not “production-ready” right now. There are still a few bugs to iron out, and it also uses unstable 3rd party libraries (the alpha version of the MySQL .NET connector, because it’s the only one that supports Entity Framework 6). All the “core” functionality is implemented and functional, however.
You can find the code here: https://github.com/qusma/qdms. I’m releasing it under the permissive BSD License. Contributions by way of pull requests are more than welcome. If you’d like to make any feature requests or just flame me for the quality of my code, leave a comment right here.
I personally use it in my backtester and portfolio performance evaluation applications, and I’m in the process of integrating it with my live trading app as well.
Using the client is easy, let’s take a look at some code examples: ................

Useful and Free C#/.NET Libraries for Traders

http://qusma.com/wp-content/uploads/...uity-ETFs1.pdf


The IBS Effect: Mean Reversion in Equity ETFs
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Sep 12, 2013