Quantpedia.com Review – Introduction to a Trading Strategy and Quantitative Trading Resource
| October 27, 2012 | Posted by admin under Intro to Trading, Stocks & Stock Market Analysis, Techncial Analysis Tutorials |
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Quantpedia.com Review – Introduction to a Trading Strategy and Quantitative Trading Resource
By Cory Mitchell, CMT
Quantpedia.com is a truly unique site in many aspects–and not only because of it’s extensive library of trading strategies. The strategies are then broken down so you can find the exact type of method that suits you. Sift through multiple criteria and strategies geared toward different asset classes and risk tolerances.
Each strategy–and there are more than 190 of them (with more added each week)–includes a clear overview of what the strategy is, the logic behind the method and the math backing the strategy. The math figures include performance, maximum drawdown and volatility among others.
Quantpedia.com was started by some of the same people who started Finviz.com, a very popular and visually orientated stock screener. The group finds and processes academic research papers on trading and then breaks them into usable trading strategies, which can be applied by the average trader or employed in quantitative trading methods.
Searching through thousands of financial articles, only the best are selected based on a strict criteria, broken down and placed on Quantpedia.com. Strategies must be back-tested over a suitable length of time, include risk calculations and be implementable. The strategy must also be able to break down into precise trading rules so that is can be used by traders and “quants.” The rules of each strategy are provided on the site along with the other information on the strategy.
Screener
The screener allows you to quickly and easily find strategies that suit your trading style or needs.
Before using the 13 specific search criteria, a search box provides an easy way to find strategies that match a certain criteria. For example, typing in “trend following” will bring up strategies related to trend following.
You can also change the View. By selecting different views you can change the type of information that you see in the screener search results. There are four basic views:
Basic Overview shows the period (monthly, intraday, etc), market (bonds, stocks, etc), indicative performance, volatility and keywords.
Descriptive shows period, number of instruments traded, markets, complexity, indicative performance, confidence and keywords.
Risk & Return shows markets, instruments available, complexity, backtest period source, backtest length, indicative performance, volatility, drawdown and Sharpe ratio
The All view shows all the categories mentioned above. When comparing multiple strategies, this view provides a great way to thin down your choices, giving you a good snapshot of each strategy.
The figure above shows a sampling of strategies in All view. You can sort the results from high to low (or low to high) by clicking on the top of the column.
Using the screener feature can save you time and narrow down your trading strategy search. Use 13 different criteria to find the strategies that suit your needs.
Find strategies that match your trading Period– intra-day, daily, weekly, monthly, quarterly, 6 month, yearly or 3 year time periods.
Narrow down your search by Instrument. Find strategies that can be applied to stocks, futures, mutual funds, ETFs, CFDs, forwards, swaps, options or bonds.
You can also choose your backtest period, performance, drawdown maximum, volatility, complexity, confidence and Sharpe ratio. Each provides a drop down menu, providing options which allow you to fine tune your search. For example, you can select “Over 20%” from the Performance drop down menu. When this is selected, only those strategies that produced greater than 20% returns annually (backtested) will show up in your search results.
Also, you can select from a drop down list of keywords. Selecting a keyword will produce a list of only those strategies which are tied to the keyword. For example, selecting the “market timing” keyword will produce a list of all strategies that use or employ market timing.
Inputting different variables into the 13 criteria can create a very specific list. If your search does not yield any results, try loosening the criteria slightly. If your search yields too many results, tighten the criteria.
Charts
The Charts page provides a broad overview of all the strategies available on the site, broken down in different ways.
Along the top of the Charts page, there are five tabs: Overview, Complexity, Performance, Risk and Summary.
Click on a tab to see all of Quantpedia’s strategies broken down in terms of the tab heading.
Within any chart you can click on something and it will instantly bring up what you clicked on in a new screener window. The charts provide summary categories, and by clicking on a category you can see the specific strategies that are within that category.
The Overview tab shows:
- how many strategies are available for each market (bonds, stocks, currencies, etc)
- how many strategies are labeled as simple, moderately complex, complex or very complex
- how many strategies are available for each time frame (intraday, daily, weekly, etc)
- number of strategies in terms of keywords
- other charts that relate to the criteria on the screener
The figure above shows one example of an Overview chart. On Quantpedia’s site you can click on an element of the chart to see the strategies within it.
The Complexity tab breaks down all the strategies on the site in terms of how elaborate they are. On this tab you can see:
- how many strategies are labeled simple, moderately complex, complex or very complex, in term of asset type and period.
Above is an example of one of several charts available under the Complexity tab.
The Performance tab breaks down the strategies in terms of performance. Cross-referencing performance figures with other criteria allows you to see the best performing strategies in a highly visual way. See performance by period, instrument, complexity or keyword.
Above is one example of the several types of performance charts shown under the Performance tab.
On the Risk tab you can view strategies in terms of risk. The main risk measures shown on this page are the Sharpe ratio and volatility. Comparing risk to different keywords, performance, markets, periods and strategy complexities you can quickly isolate strategies that suit your risk tolerance.
Above is a one sample of several great charts available under the Risk tab. You are able to see volatility, performance and complexity all in one chart. Click on one of the circles on the chart to bring up the strategy.
Finally, the Summary chart tab shows a single large chart. The chart shows all the available strategies, the strategy backtest period, performance and Sharpe ratio. This provides a quick way to get an overview of all the strategies available so you can narrow your search. Again, click on an element of the chart to bring up that strategy.
Updates/Blog
New strategies are always being added to the site. Currently boasting more than 190 trading strategies, Quantpedia is one of the top strategy and quantitative resources available.
The blog provides updates when new strategies are added (members only). This allows you to quickly see new strategies and look them over when they come available.
The free blog provides information on trading strategies and offers.
Difference Between Free and Member Version
There are two memberships on Quantpedia.com: free and member.
Both types of Members can screen for strategies available to them.
Free access to the site provides you with 41+ trading strategies and links to 120+ related academic financial papers.
Members can choose between a 3-month and 12-month subscription option and receive:
- Over 150 uncommon, high quality trading strategies
- Over 40 common strategies
- Access to over 450 related academic financial papers
- New strategies added on a weekly basis, and alerts on the blog when new strategies are posted to the site
- No advertisements
By Cory Mitchell, CMT
VantagePointTrading.com
Please remember, past performance is not necessarily indicative of future performance. But sure to understand your risk before relying on any trading method.
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