Tearsheet feedback webinar 10.10.18

You have created a great trading strategy, backtested, traded it and now you want to take it to the next level. You may find that developing the strategy was just the first of many difficult steps. With the increased availability of low cost, high quality quant modelling platforms, the field is much more open than it once was. The interest for algorithmic trading his higher than ever and anyone has the potential develop a great trading model. But having a great trading model is not enough. The work is not done yet. This presentation will discuss turning your algorithmic trading strategy into a business or a great job, and becoming a professional trader. We’re going to talk about what it takes to move to the next level and where the common pitfalls lay. What kind of strategies are marketable are which are not. The pros and cons of trading your own money and how to go about finding external capital and gaining traction in the business. Are you ready to take the step?

Jess Stauth's slides reviewing the submitted tearsheets.

Technologie

Overview – tearsheets
submitted for feedback
Highlights for discussion

Disclaimer
Quantopian provides this presentation to help people write trading
algorithms - it is not intended to provide investment advice. More
specifically, the material is provided for informational purposes only and
does not constitute an offer to sell, a solicitation to buy, or a
recommendation or endorsement for any security or strategy, nor does it
constitute an offer to provide investment advisory or other services by
Quantopian. In addition, the content neither constitutes investment advice
nor offers any opinion with respect to the suitability of any security or any
specific investment. Quantopian makes no guarantees as to accuracy or
completeness of the views expressed in the website. The views are subject to
change, and may have become unreliable for various reasons, including
changes in market conditions or economic circumstances.

Disclaimers
• Feedback is based solely on the data in the notebooks shared on
forums thread (e.g. if you provided a 3y backtest that’s what I’ll give
feedback on)
• I’m assuming something like $10m capital base & 5bps fixed cost
model, though I don’t see those directly in the tearsheets
• I won’t go into detailed feedback on the economic rationales
provided, but bravo to those who provided them!
• Feedback is based on my own (Q’s) perspective and the style and
characteristic preferences & limitations the come with that
perspective.

Algo 2 – long st reversal, short size and
sometimes vol

Algo 3 – long st reversal, short size and vol

Algo 4 – long mo, short st reversal sometimes
vol

Algo 4 – long tech, short consumer cyclical

Algo 7 – on rebalance days, t/o is v high

Algo 8 – v tightly controlled risk exposures
(see scale)

Some thematic areas for improvement:
- concentrated portfolios
- high turnover
Avg Pos
Count
Avg daily t/o Peak t/o
1 150-200 13% 100%
2 32 15% 15%
3 32 15% 15%
4 24 18% 40%
5 225 18% 18%
6 75 64% 100%
7 40 10% 100%
8 400 15% 20%
9 1000 7% 20%

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