Quant Mashup - Quant Rocket
Extracting Structured Datasets for Systematic Strategies from Unstructured Textual Sources [Quant Rocket]
Natural Language Processing (NLP) is a broad field that enables computers to process and analyze unstructured textual data. In this article, we present several proprietary Brain datasets derived from news articles, SEC regulatory filings, and earnings calls, along with case studies implemented in
- 3 months ago, 12 Jul 2024, 06:55pm -
Is There Alpha in Borrow Fees? [Quant Rocket]
Borrow fees reflect how likely short sellers think a stock is to decline. Can this information be incorporated into trading strategies as an alpha factor? This article uses Alphalens to explore the relationship between borrow fees and forward returns and uses Moonshot and Zipline to demonstrate ways
- 4 months ago, 17 May 2024, 06:21pm -
Cloud or Local: Where to Run Your Quant Trading? [Quant Rocket]
Is it better to run your quant trading in the cloud or locally? In this article, I outline the pros and cons of each approach and explain why running locally is often better for research while running in the cloud is better for live trading. Don't assume the cloud is better It's common to
- 10 months ago, 1 Dec 2023, 03:40am -
Market Cap vs Dollar Volume: Which to Use for Universe Selection? [Quant Rocket]
Market cap and dollar volume are two commonly used metrics for filtering a trading universe by size of security. Does it matter which one you use? In this post, I quantify the difference between market cap and dollar volume and explain the kinds of stocks that may unexpectedly appear in your
- 11 months ago, 22 Oct 2023, 11:16pm -
Researching the Quality Factor with Alphalens and Zipline [Quant Rocket]
Buying high-quality stocks and avoiding low-quality ones can improve investment returns. In this post, I use Alphalens and Zipline to analyze the Piotroski F-Score, a composite measure of a firm's financial health and quality. This post is part of the fundamental factors series, which explores
- 1 year ago, 28 Sep 2023, 07:56pm -
Financial Distress Factors: Altman Z-Score and Interest Coverage Ratio [Quant Rocket]
Are rising interest rates straining balance sheets and increasing the risk of bankruptcies? This article investigates two financial distress factors, the Altman Z-Score and interest coverage ratio, to see if distress is on the rise and how it impacts stock returns. This post is part of the
- 1 year ago, 7 Sep 2023, 07:34pm -
Sector Neutralization: Why It Matters and How to Use It [Quant Rocket]
Sector neutralization is a technique to hedge out sector bets and reduce the impact of sector-specific risks on the portfolio by ranking factors within sectors rather than across sectors. This post uses the debt-to-equity ratio to show why sector neutralization is important and how to perform it in
- 1 year ago, 23 Aug 2023, 02:21am -
Why Backtests Run Fast or Slow: A Comparison of Zipline, Moonshot, and Lean [Quant Rocket]
Backtest speed can significantly affect research friction. The ability to form a hypothesis and quickly get an answer from a backtest allows you to investigate more hypotheses. In this article, I explore several factors that affect backtest speed and compare the performance of 3 open-source
- 1 year ago, 5 Aug 2023, 07:01pm -
What's Better, High Profit Margins or Improving Profit Margins? [Quant Rocket]
Should investors prefer companies with high profit margins or companies with improving profit margins? Is it better to own an unprofitable company that's getting better, or a profitable company that's getting worse? This post explores these questions by analyzing the profitability growth
- 1 year ago, 14 Jul 2023, 01:28am -
Analyzing the Profitability Factor with Alphalens [Quant Rocket]
How does a company's profitability affect its stock returns? In this post, I use Alphalens, a Python library for analyzing alpha factors, to investigate the relationship between operating margin, a profitability ratio, and future returns. This is the second post in the fundamental factors
- 1 year ago, 29 Jun 2023, 05:03am -
Exploratory Data Analysis of Fundamental Factors [Quant Rocket]
When researching fundamental factors, analyzing alpha shouldn't be your first step. You can save time and spot issues early by starting with a basic exploration of your factor's distribution and statistical properties, a process known as exploratory data analysis (EDA). This post looks at
- 1 year ago, 16 Jun 2023, 03:31am -
Controversial Post: QuantConnect and the Challenge of Democratizing Finance [Quant Rocket]
QuantConnect, a quantitative backtesting and trading platform serving mostly retail traders, recently announced a crowdfunding campaign seeking to raise money from its community of users. The company's associated regulatory disclosures (required by the SEC for equity crowdfunding offerings)
- 1 year ago, 10 Nov 2022, 09:32pm -
What Comes After a Dead Cat Bounce? [Quant Rocket]
What happens after stocks suffer large one-day losses? This post finds that the proverbial "dead cat bounce" occurs overnight and is followed by continued losses the next day. Targeting international markets, I explore a trading strategy that aims to profit from the losses that follow a
- 3 years ago, 2 Dec 2020, 07:51pm -
A Primer on Survivorship Bias [Quant Rocket]
What is survivorship bias, and why should you care about it? This post explains how survivorship bias can trick you into drawing faulty conclusions from your research, and what you need to know to avoid being tricked. What is survivorship bias? Equities datasets are said to have survivorship bias if
- 3 years ago, 20 Nov 2020, 09:48am -
3 Takeaways from Quantopian Shutting Down [Quant Rocket]
Quantopian announced that it is shutting down its community platform. This doesn’t entirely come as a surprise. Quantopian returned money to investors earlier this year after its investment strategy underperformed. It shut down paper trading in 2019 (having already ended live trading in 2017),
- 3 years ago, 5 Nov 2020, 03:00am -
Should you buy or sell stocks that gap down? [Quant Rocket]
What happens when strong stocks gap down at the open? A well-known trading strategy is to buy the gap, expecting mean reversion. This post uses Zipline to explore down gaps and finds a profitable strategy based on selling, not buying, the gap. Buy the gap? Buying stocks that gap down is a common
- 4 years ago, 3 Sep 2020, 06:47pm -
Intraday Futures Calendar Spreads and the Impact of Transaction Costs [Quant Rocket]
Intraday trading strategies offer great promise as well as great peril. This post explores an intraday trading strategy for crude oil calendar spreads and highlights the impact of transaction costs on its profitability. Background In a previous post, I explored an end-of-day pairs trading strategy
- 5 years ago, 25 Sep 2019, 06:48pm -
Is Pairs Trading Still Viable? [Quant Rocket]
Classic pairs trading strategies have suffered deteriorating returns over time. Can a research pipeline that facilitates the identification and selection of ETF pairs make pairs trading viable again? This post investigates such a pipeline. The problem: pairs wander away Source: Ernie Chan,
- 5 years ago, 30 Aug 2019, 08:41am -
Hedging Long-Term Risk with an Intraday Strategy [Quant Rocket]
Do intraday strategies have a place in the portfolios of long-term investors and fund managers? This post explores an intraday strategy that works best in high volatility regimes and thus makes an attractive candidate for hedging long-term portfolio risk. Trading hypothesis: first half hour predicts
- 5 years ago, 20 Mar 2019, 09:11am -
Intraday Momentum with Leveraged ETFs [Quant Rocket]
Does forced buying and selling of underlying shares by leveraged ETF sponsors cause predictable intraday price moves? This post explores an intraday momentum strategy based on the premise that it does. Daily rebalancing of leveraged ETFs Source: Ernie Chan, Algorithmic Trading: Winning Strategies
- 5 years ago, 5 Mar 2019, 07:46pm -
Exploiting Business Day Patterns in Forex Markets [Quant Rocket]
Do businesses exchange currencies in predictable ways that forex traders can exploit? This post explores an intraday EUR.USD strategy based on the hypothesis that businesses cause currencies to depreciate during local business hours and appreciate during foreign business hours. Business patterns in
- 5 years ago, 18 Feb 2019, 05:21pm -
The Most Volatile Stock Markets in the World [Quant Rocket]
Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries. Methodology Using
- 5 years ago, 15 Jan 2019, 09:21am -
The Best Global Stock Markets for Short Sellers [Quant Rocket]
If you're a short seller exploring global markets, a good first question to ask is: are there shares available to borrow? This post looks at the percentage of stocks that are shortable through Interactive Brokers in each of 17 countries. Data source Interactive Brokers provides an FTP site with
- 5 years ago, 2 Jan 2019, 10:09am -
The Overlooked Half of the Global Stock Market [Quant Rocket]
The US stock market is the largest and most liquid stock market in the world and tends to get all the attention. Many brokers and trading platforms are US-only, and many traders focus exclusively on the US market. This post compares the number of stock listings in each of 17 countries to quantify
- 5 years ago, 18 Dec 2018, 09:26am -