Welcome to my online repository of research and insights on automated trading system development
Recently came across ALGODEAL, which aims to provide us, quant traders, a platform to backtest and implement live automated trading strategies, as well as access to institutional money. This appears to be a promising development in the world of retail quant traders. Quant Fund Management meets Crowd-Sourcing In an adaptation of the web 2.0 model, [...]
Entries from March 31st, 2010
ALGODEAL: new horizons for retail quant traders?
March 31st, 2010 · 17 Comments · Backtest, Software
Betafication of Alpha: towards a Commoditization of Trend Following?
March 29th, 2010 · 8 Comments · Fund Review, Trend Following
Above is a diagram by Andy Lo, illustrating how alpha morphs into beta over time, as the initial strategy becomes more common/popular. Could the phenomenon affect Trend Following? And could the 2/20 fee structure charged by CTAs now be inappropriate? This Beta of Managed Futures paper (PDF) from the Conquest Group hints that Yes, the [...]
Wizard Bill Dunn Video Interview
March 24th, 2010 · 2 Comments · Fund Review
Bill Dunn is one of the earliest Trend Following Wizard that we track on this website. He started in 1974 and is famous for having trading the “same” model ever since. He now manages $183M in his WMA program – from his
Vince’s Leverage Space Model: better than MPT?
March 22nd, 2010 · 29 Comments · Backtest, Money Management
Ralph Vince‘s book Handbook of Portfolio Mathematics has been shamefully lying untouched on my desk for a few months… I started reading it but never finished it. I recently found a 30-page paper introducing the ideas and principles of his Leverage Space Model. I thought reading it might be a good way to get back [...]
Tags: distribution·leverage space model·optimal f·optimisation·ralph vince·research paper
Detrending for Trend Following?
March 17th, 2010 · 9 Comments · Backtest, Data, Trend Following
We’re not rockers… but let’s look at detrending price series data for backtesting: Why, How and its relevance for Trend Following. Why Detrend? The main premise for detrending data is to remove the underlying trend effect on the strategy. This is due to the position bias that the strategy can have (eg being long more [...]
Tags: detrending
