Next Boston QWAFAFEW Meeting: Tuesday, 18 Mar 2014
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
DIY Quant Strategies from the Quantopian Community
A QWAFAFEW discussion led by:
Jess Stauth, PhD
With Wayne Nilsen of Northfield Information Services as discussant, providing an example of a minimum variance algo written on Quantopian.
This talk will cover a practical overview of the breadth and characteristics of quant strategies built, backtested and shared in an open source community on Quantopian. We will cover basics of mean reversion, price momentum, value, sentiment and seasonality strategies as they can be built in python using freely available tools and data. We will also cover a brief progress report on live trading, from backtest to forward test to putting real money on the line, all in a browser-based open-source framework.
In order to get diversification benefits without the curse of dimensionality, Spyder Sector ETFs were utilized to create a minimum variance portfolio which is recalibrated in time. The Quantopian platform allowed for proper testing and demonstration of the implementation of this simple, yet effective algorithm.
Dr. Jess Stauth is currently VP of Quant Strategy at Quantopian. Formerly Jess worked as a quant research analyst at StarMine where she built equity stock selection models including the StarMine Short Interest model. Following Thomson Reuters’ acquisition of Starmine, she worked as director of quant product strategy for Thomson Reuters where she worked closely with large buyside firms, integrating new data and analytics to drive more profitable and efficient investment processes. Jess received her PhD from UC Berkeley in 2007 in the field of biophysics with thesis research in computational and systems neuroscience.
Please RSVP hugh@QWAFAFEW.org