Quants based trading

[BATrader]

Hi,
I have recently started short term trading based upon Technicals. I have heard about Quantitative finance and some of the successes it brings for the traders. Can someone share their experience related to Quants and any helpful course that happens in Bangalore.

 

[trump]

Hi,
I have recently started short term trading based upon Technicals. I have heard about Quantitative finance and some of the successes it brings for the traders. Can someone share their experience related to Quants and any helpful course that happens in Bangalore.

:thumb:
thats a good initiative .

Quantitative trading, also known as algorithmic trading, is the trading of securities based strictly on the buy/sell decisions of computer algorithms. The computer algorithms are designed and perhaps
programmed by the traders themselves, based on the historical performance of the encoded strategy tested against historical financial data. Is quantitative trading just a fancy name for technical analysis,
then? Granted, a strategy based on technical analysis can be part of a quantitative trading system if it can be fully encoded as computer programs. However, not all technical analysis can be regarded as
quantitative trading. For example, certain chartist techniques such as “look for the formation of a head and shoulders pattern” might not be included in a quantitative trader’s arsenal because they are
quite subjective and may not be quantifiable.Yet quantitative trading includes more than just technical analysis.Many quantitative trading systems incorporate fundamental data in their inputs: numbers such as revenue, cash flow, debt-to equity ratio, and others. After all, fundamental data are nothing but numbers, and computers can certainly crunch any numbers that are fed into them! When it comes to judging the current financial performance of a company compared to its peers or compared to its historical performance, the computer is often just as good as human financial analysts—and the computer can watch thousands of such companies all at once. Some advanced quantitative systems can even incorporate news events as inputs: Nowadays, it is possible to use a computer to parse and understand the news report.(After all, I used to be a researcher in this very field at IBM, working on computer systems that can understand approximately what a document is about.)
So you get the picture: As long as you can convert information into bits and bytes that the computer can understand, it can be regarded as part of quantitative trading.

 

[Do Or Die]

FYI, there is a big difference between Automated Trading and Quantitative Trading. Your definition is all about auto trading.

There are many quant groups on internet which are free and open, anybody interested can learn
http://www.quantnet.com/forum/
http://www.wilmott.com/index.cfm?NoCookies=Yes&forumid=1

:thumb:
Quantitative trading, also known as algorithmic trading, is the trading of securities based strictly on the buy/sell decisions of computer algorithms. The computer algorithms are designed and perhaps
programmed by the traders themselves, based on the historical performance of the encoded strategy tested against historical financial data. Is quantitative trading just a fancy name for technical analysis,
then? Granted, a strategy based on technical analysis can be part of a quantitative trading system if it can be fully encoded as computer programs. However, not all technical analysis can be regarded as
quantitative trading. For example, certain chartist techniques such as “look for the formation of a head and shoulders pattern” might not be included in a quantitative trader’s arsenal because they are
quite subjective and may not be quantifiable.Yet quantitative trading includes more than just technical analysis.Many quantitative trading systems incorporate fundamental data in their inputs: numbers such as revenue, cash flow, debt-to equity ratio, and others. After all, fundamental data are nothing but numbers, and computers can certainly crunch any numbers that are fed into them! When it comes to judging the current financial performance of a company compared to its peers or compared to its historical performance, the computer is often just as good as human financial analysts—and the computer can watch thousands of such companies all at once. Some advanced quantitative systems can even incorporate news events as inputs: Nowadays, it is possible to use a computer to parse and understand the news report.(After all, I used to be a researcher in this very field at IBM, working on computer systems that can understand approximately what a document is about.)
So you get the picture: As long as you can convert information into bits and bytes that the computer can understand, it can be regarded as part of quantitative trading.

 

[trump]

Hi,
I have recently started short term trading based upon Technicals. I have heard about Quantitative finance and some of the successes it brings for the traders. Can someone share their experience related to Quants and any helpful course that happens in Bangalore.

http://www.iqfindia.com/frmtrainingbangalore.html

check here for Bangalore, you can also search on net.

 

[trump]

FYI, there is a big difference between Automated Trading and Quantitative Trading. Your definition is all about auto trading.

There are many quant groups on internet which are free and open, anybody interested can learn
http://www.quantnet.com/forum/
http://www.wilmott.com/index.cfm?NoCookies=Yes&forumid=1

automated trading is for order execution and trade management etc but the core of the trading system is the quantitative methods as I understand.automated trading encompasses the core as well.but one can go for quantitative trading even trading manually , for example statistical arbitrage trading. also an discretionary trader can go for auto trading like order handling etc.computer algos can be developed as per the requirement of the traders.

 

[Do Or Die]

http://www.iqfindia.com/frmtrainingbangalore.html

check here for Bangalore, you can also search on net.

I can search on internet, but may be you can use your brain (xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx).

What is taught in FRM has hardly anything to do with the type of trading any individual trader will do.

FRM, CQF and QA is used in institutional trading. It a different world altogether.

Topic Title: Looking for ideas to identify a certain pattern
Say I got the EOD price of a stock for the past 50 business days and the stock is trading its 50 day high.
I want to know if this stock has been trading in a tight range and broke out just in the last 1 or 2 days.
In other words, I want to filter out the stocks reached a 50 day high because it is continuously going up with minor reactions.

I thought about various ideas:
1. counting the # of turns: a temp high follow by a few declining days
2. compare the range of 50 day high/low with the range of avg price in the 50 days +/- 2*sd
3.Maybe identify support/resistance level? But this could be very different from my objective.

but there are draw backs to each approach.
Any suggestions?

Answer:

Take your rolling windows (say 50 business days), sort each day by the magnitude of returns smallest magnitude to largest. Calculate the Gini coefficient for this ordering. The closer the value is to 1, the more of the volatility was concentrated in a few days. The closer to zero the more the volatility's distributed across days. This isn't a directional measure, but if its a stock that's reached a new high and has a high Gini coefficient then you're almost certain that most of the jumps were to the upside.

http://en.wikipedia.org/wiki/Gini_coefficient

Quant Trading has hardly anything to do with Technical Analysis. IT is about Time series analysis which most here do not even have a clue about.

If you are offended my apologies. But just look properly and you will appreicate the difference.

 

[trump]

anything which can be quantified and rule based can be called quantitative although it encompasses whole lot, it also includes advanced level mathematics, time series analysis would be a part of it.

 

[Do Or Die]

For example, certain chartist techniques such as look for the formation of a head and shoulders pattern might not be included in a quantitative traders arsenal because they are quite subjective and may not be quantifiable.

See brother, this is totally meaningless. There is absolutely nothing in Technical Analysis which cannot be programmed. Just google.

Detecting double tops: http://www.amibroker.com/library/detail.php?id=19

 

[Do Or Die]

This is code for Head and Shoulders: http://www.amibroker.com/library/detail.php?id=166

 

[trump]

you forgot the word "might " in the sentence, doesn't matter.
here is what investopedia defines

Trading strategies based on quantitative analysis which rely on mathematical computations and number crunching to identify trading opportunities. Price and volume are two of the more common data inputs used in quantitative analysis as the main inputs to mathematical models. As quantitative trading is generally used by financial institutions and hedge funds, the transactions are usually large in size and may involve the purchase and sale of hundreds of thousands of shares and other securities. However, quantitative trading is also commonly used by individual investors.