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TOPIC: Quant trading

Quant trading 1 year 9 months ago #37

  • jean1975
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Hello Marco,

I read in your year-end message that you are an expert quant trader, therefore you are probably the right person for my question.
Let's start by saying that now unfortunately I don't have the time to approach the topic seriously.

But may I ask you if possible to suggest a good reading about quant trading?
Maybe a book or a website (I don't know if exists) which is guiding you step by step in the implementation of a very simple trading system.
I am just looking for a point to start... Maybe in the future I will quit my primary job to be a full time trader and in the spare time I will have something more intresting to code :)

Thank you in advance for your help, I wish you a happy new year.

Regards
Jean
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Quant trading 1 year 9 months ago #38

  • marco
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Hi Jean,

nice to see there's some interest on the topic! Actually I'm thinking about offering a system-trading course for beginners in the future to help traders get started in that direction the right way.

Your question is a good one and to be honest I believe the best way to start is to simply start doing something. If you want to backtest some simple ideas, for example based on trading one market with one contract at a time, just start with Trade Navigator for example. They make this really easy and you don't need to learn a programming language first. A slightly more advanced option is trade station. You will see some results quickly and won't get frustrated.

If you want to trade stocks/ETFs as a portfolio for example this won't work. Here I'd suggest wealth lab or even better rightedge. But for rightedge you will need to learn programming and everything is much more complex than with TradeNavigator for example. Still of all the retail-backtesting tools I've tried, rightedge was by far the best.

At least that's what worked for me. Learning by doing and then in the process read up on a specific topic (correlations, optimization, statistics, machine learning etc.) On each of these you can read multiple books...and as I don't have a strong math background the hardest part often was to translate the quant-language into what I can understand. And most of the time these guys just use terms that sound like it's rocket-science to explain something that could be explained in two straight sentences.

I hesitate to recommend a specific book or webpage because I found that most of the quants out there actually have never traded (you can figure that out rather quickly while reading). One book that I think will help you to get started and which is also handy to have as a reference is "Trading Systems and Methods" by Perry J. Kaufman, see eu.wiley.com/WileyCDA/WileyTitle/productCd-1118043561.html It's over 1000 pages yes, but you don't need to read it all to get started - and while it's not perfect it does one thing very well: give you a really good overview of systematic trading. Then from there you can dig deeper in whatever area interests you.

One last advice: you will find some very complex strategies and ideas out there. I've tested a lot over the years and usually it's the really simple things that keep on working.

Happy Trading

Marco
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Quant trading 1 year 9 months ago #40

  • jean1975
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Hi Marco,

Thanks a lot for your advice. I will check the book which you recommeded and the tools which you mentioned.
I also believe in learning by doing and I think that simple things are working better. At least this is what is currently happening with my trading :)

About learning a new programming language I am not scared since I am a developer, it will be nice learning a new one.
Googling around I understood that for quant trading (not HFT) Python seems to be a good programming language which brings a lot of libraries ready to be used.
I found also a Python library which can be used to connect with my current broker and a lot of other nice tools in order to set up a complete Linux-based quant trading system.

Anyway, I will start doing and when I will found something worth discussing I will post it here.
Thank you again for your help.

Regards
Jean
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Quant trading 1 year 9 months ago #41

  • marco
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Hi Jean,

you're welcome! Well yes the python-road or using R is a good way to go. But it will cost you quite some time to get into it enough so you can actually use it. That's what I did and python + ipython + pandas + numpy + scikit-learn etc. do help a lot! But there is a much more steep learning curve than just learning how to use and code some simple systems with TradeNav etc.

Marco
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Derivative transactions, including futures, are complex and carry a high degree of risk. They are intended for sophisticated investors and are not suitable for everyone. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, and all of which can adversely affect actual trading results. For more information, see the Risk Disclosure Statement for Futures and Options.