Anybody doing algorithmic trading with Quantopian? Any good algorithms

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day trading is a meme .

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>>2041040
Just started a few hours ago because I wanted to test a few hypothesis.It's pretty fun though

>>2041040
That site seems entertaining, but it's not like you can make money with it

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Found a pretty easy strategy which seem to work well

Commission and slippage is included

>>2041040
Just doing some basic value and momentum (cross-sectional) stock selection.

http://pages.stern.nyu.edu/~lpederse/papers/ValMomEverywhere.pdf

+ a very simple time series momentum (1 year moving average) model to protect against drawdowns. (If lower than treasury then sell.)

The blog alpha architect is pretty good about giving an overview of the current finance research.

http://blog.alphaarchitect.com/2015/08/17/the-sustainable-active-investing-framework-simple-but-not-easy/#gs.x4cTrHg

>>2041247
Well you can easily data mine a strategy that will have very large returns in a back test...

>>2041614
This is/was based on one of my hypothesis without looking at data first tbqh. It's just the highest market cap stock in each section, all equal-weighted and rebalanced once a year. So probably some momentum, value and size factors. The idea was the winner-takes-it-all characteristic of markets

>>2041609
This is pretty similar to my algo. Although I only do stocks.

https://www.quantopian.com/posts/an-implementation-of-the-robust-asset-allocation-strategy-from-alpha-architects

So no perm positions in bonds, commodities and reits.

http://blog.alphaarchitect.com/2014/12/02/the-robust-asset-allocation-raa-solution/#gs.BC3b7Jw

I also have some shekels in the form of gold bars and some in a savings account for emergencies. But yeah this is pretty much how I manage my shekels.

>>2041662
But why would those stocks by systematically undervalued/good arbs? Doesn't seem like there are any psychological reasons why people wouldn't want them and I can't see any limits of arb. Not exactly hard to say to your investors (as an asset manager) that you own say Google.

>>2041682
Just a guess: The benchmark is S&P500, maybe people overvalue the No. 2, 3, 4, etc. in each sector because they think that they have a higher chance of making it big?

>>2041667
>>2041609
Thanks for the links. MA as protection against drawdowns is pretty interesting!

>>2041692
Doesn't seem very likely. But still lets assume you're right.

Other smart money managers will see that fairly quickly and arb it away easily because there are no limits of arbitrage.

https://en.m.wikipedia.org/wiki/Limits_to_arbitrage

You want there to be a systematic behaviour bias at work + it being hard to arb those stocks for large asset managers, like career risk for the asset manager --- say holding stocks that look scary and long time periods of bumpy returns, which will also lead to large inflows and outflows btw, which in turn is bad for business.

>>2041040

I had not previously looked at that website. Learn something new every day. My biggest issue with it is that I have no intention of sharing my algos with anyone. Why would I? That site looks like a honeypot for stealing good ideas.

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The emphasis is on backtesting, except one of their own quants noted:

> With a disappointing R2=0.02, this shows that we can’t learn much about how well a strategy will continue to perform from a backtest.

https://blog.quantopian.com/using-machine-learning-to-predict-out-of-sample-performance-of-trading-algorithms/

Their own analysis shows that backtesting results correlate little with live trading. Anyone have actual profits, sharpe ratios from live trading that they care to report?

If I wanted to write one of these algorithms how would I go about the actual selling? Or do you need a brokerage license for that? I was thinking of just having it utilize robinhood.

>>2042341

I'm in the process of building my connection to Interactive Brokers through the api they provide. You should check them out.

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Daymn, 16 mil