Quant -Ideas. User Guide

Transcription

1 2013 Quant -Ideas User Guide

2 What is Quant- Ideas?... 3 Why Quant- Ideas?... 3 What time Quant- Ideas is up daily?... 3 Quant-Ideas Screenshot... 3 Glossary of Fields... Error! Bookmark not defined. Pricing Information... 8 How to Contact Us... 8 &Finally the DISCLAIMER... 8

3 What is Quant- Ideas? Tired of backtesting after hours of coding only to find the trading strategy doesn t have edge? Quant-Ideas is a searchable database to filter, short term trade ideas, which have a trading edge. In our opinion and endless search, there is nothing else like it anywhere on the web. The Quant-ideas was designed to automatically search through the database of predefined trading strategies that are applicable to the current day's market action. From Quant-Ideas it just few clicks away to research for trade ideas that have trading edge, by win rate, profit factor etc. Why Quant- Ideas? Save your time We backtest everyday, 400+ predefined screeners for all the stocks, amounting on average 300 K back-tests per day over the entire stock universe in USA Get short term trading ideas that are working Filter profitable short term trading long/short ideas based on Quantitative Trading Systems. You can filter by win rate, avg win %, profit factor etc. 100% Open, 100% Mechanical, 100% Transparent All the trading strategies are open and communicated in explicit trading rules in plain language openly, so that you know what you strategy you are seeing. The idea behind Quant- Ideas is to provide level the playing field between high end institutional research houses and the individual traders by providing advanced quantitative trading tools. With the help of Quant-Ideas use probabilities and not possibilities while trading the stock markets. What time Quant- Ideas is up daily? Quant-Ideas searches through all the predefined technical screeners at about half hour before the market closes, for the stocks trading with more than 1mil trading volume, with entry at close and exit at next trading day close. Approximately after one hour once the market is closed, Quant-Ideas process both entries at close, entry at next open for all the stocks. Quant-Ideas Screenshot

4 Quant-Ideas has the following fields to choose from, Price, #Trades, Average 3m Volume, Profitable Trades %, Profit Factor, Avg Profit %, Median %, Avg Win / Avg Loss %, O2C/C2C. Price: filter by stock price #Trades: filter by number of trades generated over last 4 years, use a minimum of 16 Average 3m Volume: filter by stock 3 month average volume Profitable Trades %: filter by the percentage wining trades Profit Factor: filter by profit factor Avg Profit %: filter by average profit per trade in percentage Median %: filter by median profit per trade in percentage Avg Win / Avg Loss %: filter by payoff ratio O2C/C2C: C2C: Entry at Current Close and Exit at Next Close; O2C: Entry at Next Open and Exit at Next Close After various filters the user is presented trading strategies along with the ticker symbols that meet the criteria Users can further investigate the trades by clicking backtest button Example of detailed backtest for SLV (ishares Silver Trust) when the price is up for 3 days down in row ->

5 User has the option to change the lookback period by selecting the lookback period drop down menu (can select, over last 1, 2, 3, 4 years) User has the option to change the exit period by selecting the exit after drop down menu (can Open, 1, 2, 3,4,5,10,20 days) User is presented on the right hand side with all the previous instances (dates) when the trading signal triggered in the historical backtesting period. The chg, chg% are the change and change% details for the particular symbol and the next 1,2,3,4,5,10,20 ( depending on the user selected values, default is 1 day) days, for that particular trading strategy. The detailed backtest report will have the following fields and the description below Trading Strategy: This is the Trading Strategy the user is performing the backtest LookBack Period: can be set to either 1,2,3,4 years, the default value is 4 years if the user doesn't select any value Exit After: can be set to Next Open, 1, 2, 3,4,5,10,20 days, the default value is 1 day if the user doesn't select any value. If the user selects 2 years as look back period and 5 days as the exit after, values, the back test report will be performed over the last 2 years on the stock for the selected predefined screener, assuming the exit period is after 5 trading days at Option enables the user to test a trading strategy under the assumption that the trade is entered at the next day open and exit at next day close. Total # Trades: Number of trades generated by the trading strategy on a stock over the last four years, or if the user selects any other look back period like 1,2,3,4 years

6 Preference: Long or short, based on the Historical Backtesting Report. Arrived at summing all the change% values and if negative usually going short was profitable, if positive going long was profitable. Percent Profitable: Number of winning trades expressed as percentage. # Win Trades: Number of winning trades generated by the trading strategy. # Loss Trades: Number of losing trades generated by the trading strategy. Avg Trade (%): The average profit per trade (in percentage) for all the trades has been in the last four years, minus commission and slippage. Average Win Trade (%): The average profit per winning trades for all the winning trades has been in the last four years, minus commission and slippage. The average Win Trade is sum of the percentage profits for all the winning trades divided by number of winning trades. Average Loss Trade (%): The average profit per losing trades for all the losing trades has been in the last four years, minus commission and slippage. The average loss trade is sum of the percentage profits for all the losing trades divided by number of losing trades. Median %: in probability theory and statistics, median is described as the numerical value separating the higher half of a sample, a population, or a probability distribution, from the lower half. The median of a finite list of numbers can be found by arranging all the observations from lowest value to highest value and picking the middle one. If there is an even number of observations, then there is no single middle value; the median is then usually defined to be the mean of the two middle values. The median can be used as a measure of location when a distribution is skewed, so, it s important to view the median profit per trade (and profit percentage per trade as well) to be in trading strategies favour. For example if the average profit per trade is, let s say 0.5% and median profit per trade is - 0.2%, avoid the system. Largest Win Trade (%): This is more important than the largest single losing trade. Why? Suppose, for example, your total hypothetical profit was 40%, and say 20% of this is attributed to only one trade, and then what you have is a distorted average trade figure. It s often a good idea to remove such an exceptional single trade from the overall results and re-compute the system performance in order to confirm whether the trading system is actually good enough to trade. In real life trading, be as realistic as possible and be prepared that you may never encounter that largest winning trade derived from the back tested results. Largest Loss Trade (%): This measure indicates how much of the drawdown the result of a single losing trade is. In real-life trading, this helps you adjust the initial stop loss. For example, if the average losing trade was 1% and the largest single losing trade was 3% as you would readily guess, a good portion of the average losing trade is borne by the largest losing trade. If you had a better way of managing the largest loser, your overall system performance would be considerably better. In real life trading be prepared to encounter an even higher largest loss, than thrown up by back tested results and brace yourself to handle such situation.

7 Max Consec Wins: The maximum number of consecutive winning trades generated by the trading strategy. Max Consec Loss: The maximum number of consecutive winning trades generated by the trading strategy. Ratio Avg Win / Avg Loss %: Also referred as Payoff Ratio, Payoff Ratio is the system s average profit in percentage terms per winning trade, divided by the average loss in percentage terms per losing trade. Unless the trading system has a particularly high win/loss ratio, look for payoff ratios of more than 2. Profit Factor: Profit factor is the system s gross profit in rupee terms divided by gross loss in rupee terms. Look for systems that have a profit factor of 2.5, or higher. Outlier Adj Prof Factor: With any trading system, you are going to have one or two exceptional wins. The chances of these trades recurring in the future are very slim and shouldn t be considered in the overall performance summary. It is often a good idea to remove the largest single winning trade while calculating the outlier adjusted profit factor. T-Test: The t-test is a simple statistical test that tells you how likely these test results are to have occurred by chance alone. A t-test of less than 1.6 favors chance, above 1.6 and one is more likely to have found something real a tradable key idea. The higher the score given (over at least 20 sample size) the more likely one has found a tradable history. The t-test is calculated as t -test= square root (n) * (average trade %/ standard deviation of trades %) A more stringent t-test value to look for is 2.1 for degrees of freedom 25 (or sample size). As the two tailed P value at t-test of 2.1 for a sample size of 25 equals which by conventional criteria, is considered to be statistically significant.

8 Pricing Information The Quant-Ideas Monthly subscription is currently available for $89.95/month or $849.95/year. (Note: You may cancel at anytime, however we do not issue refunds for partial periods. Once you submit your cancellation, billing will cease immediately, but you will continue to have access until the end of your subscription period.) How to Contact Us If you have any questions or comments please feel free to us at we will try to answer your questions at the earliest. & Finally the DISCLAIMER Data and trading signals in Quant-Ideas are for informational purposes only and are not recommendations to buy or sell. All information presented is believed to be accurate but is not guaranteed.