Quant Strategies Implemented by the Quantopian Community

http://blog.quantopian.com/5-basic-quant-strategies-implemented-by-the-quantopian-community/

by jstauth • 12 years ago

56 7 12 years ago

blog.quantopian.com

jfasi• 12 years ago

See what I'd like to see is a strategy that computes the consensus view of all those strategies.

yelnatz• 12 years ago

Build a random forest with all these quant algorithms as the decision trees?

I wonder how good that'd be.

danielharan• 12 years ago

My guess: over-fitted. It will make money until it explodes.

nl• 12 years ago

Isn't that called "the market"?

this_user• 12 years ago

Quite a few of these strategies appear to be underperforming their benchmark index. Some others are known to not work anymore like the 'Turtle' system or only work under special circumstances like the gold/gold miner arbitrage (requires sufficiently high crude oil prices). I haven't checked this in detail, but I would also be very wary of curve fitted backtest results that won't hold up for future market movements.

smrtinsert• 12 years ago

I love the one that used AAPL in the backtest and then advertises another site.

frankc• 12 years ago

Total returns versus the benchmark is not the only important measure. For instance, the minimum variance strategy visibly underperforms its benchmark but it has way lower volatility and fewer drawdowns. These are more important in the real world where you are likely to be heavily levered.

Quant Strategies Implemented by the Quantopian Community

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