54
Quantopian.com Building a Quantitative Trading Strategy To Beat the S&P500

Building a Quantitative Trading Strategy To Beat the S&P500

Embed Size (px)

Citation preview

Quantopian.com

Building a Quantitative Trading Strategy To Beat the S&P500

Quantopian.com

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.

Quantopian.com

@karenrubin VP of Product, Quantopian

Quantopian.com

As of 2013, women….

Quantopian.com

12.9% of top management

Quantopian.com

12.7% of boards

Quantopian.com

Quantopian.com

Quantopian.com

What if you invested in female CEOs?

Quantopian.com

Quantopian.com

Quantopian.com

Jan 02 Dec 14

Any CEOs start? —-> BUY 500 Shares

Any CEOs end? —-> SELL all Move to next day

Quantopian.com

Quantopian.com

Quantopian.com

511%

My Algorithm

Quantopian.com

511%

My Algorithm122%

SPY389%

Difference

Quantopian.com

Quantopian.com

Jan 02 Dec 14

Any CEOs start? —-> BUY

Any CEOs end? —-> SELL

Rebalance

Move to next day

Quantopian.com

Quantopian.com

339%

My Algorithm122%

SPY217%

Difference

Quantopian.com

Quantopian.com

339%

My Algorithm122%

SPY217%

Difference

Quantopian.com

and…

Could it be…

Quantopian.com

Quantopian.com

320%

My Algorithm122%

SPY197%

Difference

Quantopian.com

Quantopian.com

What about sector bias?

Quantopian.com

Quantopian.com

275%

My Algorithm122%

SPY153%

Difference

REDO GRAPH

Quantopian.com

SPY is the wrong benchmark

Quantopian.com

339%

My Algorithm251%

RSP Equal Weighted S&P500

122%

SPY

Quantopian.com

Female CEOs

Male CEOs

The sample size is too small.

Quantopian.com

Quantopian.com

Quantopian.com

Quantopian.com

176%

My Algorithm Eventvestor CEO Changes

103%

My Algorithm Fortune 1000

86%

RSP

Quantopian.com

Quantopian.com

176%

My Algorithm Eventvestor CEO Changes

103%

My Algorithm Fortune 1000

86%

RSP

Quantopian.comIn Sample Out of Sample

What does your out-of-sample look like?

Quantopian.comIn Sample Out of Sample

What does your out-of-sample look like?

Quantopian.comIn Sample Out of Sample

What does your out-of-sample look like?

Quantopian.com

332%

My Algorithm Fortune 1000

184%

RSP130%

Difference

Quantopian.com

Your benchmark is still wrong.

Quantopian.com

Quantopian.com

332%

My Algorithm Fortune 1000

299%

Q100017%

Difference

Quantopian.com

Are you going to live trade this?

Quantopian.com

Quantopian.com

Quantopian.com

229%

Female CEOs Q1000 Eventvestor CEO Changes

91%

RSP138%

Difference

Quantopian.com

229%

Female CEOs Q1000 Eventvestor CEO Changes

89%

RSP151%

Female CEOs Q2000 Eventvestor CEO Changes

275%

Female CEOs Q500 Eventvestor CEO Changes

Quantopian.com

275%

Female CEOs Q500 Eventvestor CEO Changes

46%

Male CEOs Q500 Eventvestor CEO Changes

89%

RSP

Recent 24 hour period of backtests. Red dots are location of people running backtests. ~75,000 registered users, ~1,000 daily active quants, 60% from outside the US.

Global Community

Quantopian.com

quantopian.github.io/zipline/

quantopian.github.io/pyfolio/

quantopian.com/femaleCEOs

@karenrubin

[email protected]