Quant Trading strategies?

[schin]

My friend and I both worked at Celera Genomics back in the day. We sequenced the human genome -- but, it didn't give us the retirement we wanted.  I eventually did it the old fashion way through value investing and letting time compound good purchases.

 

I was always intrigued about quant trading and programmatic trading strategies like Renaissance Tech and DE Shaw. My friend is a 10x programmer and now he's interested building something in Alpaca Trading as an experiment.  We're never going to scale like Renaissance Tech, but if we can learn to tease out some signals and data mine, it'll make us happy.

 

But, does anyone have any suggestions on models or datasets that might have some trading correlations?

[cameronfen]

You can start by looking at recent asset pricing and accounting papers.  Even though it's public knowledge, some of the most recent stuff hasn't been factored into quant funds.  A lot of people are probably doing this, but mess around with large language models.  I also have an idea of how to use options chains to forecast future prices like black scholes.  I don't particularly want to share it publicly, but if you DM me, we can talk about it if that's something you want to explore.  

[schin]

On 5/23/2023 at 4:05 PM, cameronfen said:

You can start by looking at recent asset pricing and accounting papers.  Even though it's public knowledge, some of the most recent stuff hasn't been factored into quant funds.  A lot of people are probably doing this, but mess around with large language models.  I also have an idea of how to use options chains to forecast future prices like black scholes.  I don't particularly want to share it publicly, but if you DM me, we can talk about it if that's something you want to explore.  

 

I'll definitely DM you the options chain.  Good suggestion on the recent papers.  I was wondering if there is some data we can mind from government sources, like the Fed, Census, or SEC (like insider trading)... that can allow us to find a signal. 

[maplevalue]

Probably look at something in small caps where the opportunity is too small for the big quant funds (ie where most of the quant talent is) to bother taking advantage of. 

[bennycx]

Quant strategies on crypto is actually working very well

[cameronfen]

2 hours ago, bennycx said:

Quant strategies on crypto is actually working very well

Yea I can believe this alameda not withstanding. Most of the market participants are noise traders.