Risk Control with Trailing Stops and Options Systematic Evaluation of Popular Risk Control Techniques. Jared Broad Founder & CEO.
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1 Risk Control with Trailing Stops and Options Systematic Evaluation of Popular Risk Control Techniques Jared Broad Founder & CEO
2 Outline Introduction to QuantConnect Algorithm Development Process Creating Our Investigation Thesis Developing a Control Testing and Researching Experiment 1: Adding Trailing Stop Experiment 2: Adding Option Hedge Experiment 3: Covered Calls Summary November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 2
3 What is QuantConnect? We empower investors with powerful investment tools and connect the brightest minds from around the world with capital they need. November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 3
4 What is QuantConnect? QuantConnect is a community of 44,000 Engineers, Data Scientists, Programmers From 6,100 Cities and 173 Countries November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 4
5 Building Thousands of Algorithms Every Day November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 5
6 How do we do it? LEAN ALGO TECHNOLOGY FINANCIAL DATA EQUITIES OPTIONS FUTURES FOREX CRYPTO POWER COMPUTING We ve built a web algorithm lab where thousands of people test their ideas on financial data we provide; for free. November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 6
7 Development Process Research Quickly test ideas in a command line environment. Research Ideas Live Trade Deploy the strategy live in a real money account. Live Trading Backtest Algorithms Backtest Codify and run full simulation in the Algorithm Lab. Paper Trade Paper Trade Run idea on live market data. November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 7
8 Creating Our Investment Hypothesis First we define our null hypothesis, something we setout to disprove: The market is completely efficient and attempts at risk control are futile. We are testing this theory by evaluating popular risk control methods; (e.g. Trailing Stops and Option Hedging), and comparing the performance. November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 8
9 Setting the Benchmark, Control Define a baseline performance for judging algorithm studies. Baseline should ideally be as close as possible to study. This reduces other variables and makes it easier to identify potential causes. Control: Long Only MACD Long-Flat MACD; nothing else. Exp 1: Long Only MACD + Trailing Stop. Exp 2: Long Only MACD + Put Option Hedge. November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 9
10 Exploratory Research November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 10
11 Control Implementation November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 11
12 Trailing Stop Hypothesis Move Up Place Stop November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 12
13 Experiment 1: Adding Trailing Stop November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 13
14 Option Hedge Hypothesis Buy Put Insure Dip November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 14
15 Experiment 2: Buying Put Hedge November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 15
16 Covered Call, Selling Options Hypothesis Sell Call Buy Stock Covered call works best on sideways or downward markets. November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 16
17 Experiment 3: Selling Covered Call Not strictly risk control November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 17
18 Key Statistics Key statistics from testing our experimental strategy against a downward/sideways trending asset; IBM. IBM Experiment Sharpe Ratio Drawdown Alpha Control Study % 0.11 Trailing Stop % 0.11 Option Hedging % 0.11 Covered Calls % 0.11 November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 18
19 Key Statistics Key statistics summary from re-testing the control and experimental strategies against a trending asset; the SPY ETF. SPY Experiment Sharpe Ratio Drawdown Alpha Control Study % 0.11 Trailing Stop % 0.11 Option Hedging % 0.11 Covered Calls % 0.11 November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 19
20 Thank you.
21 Appendix
22 Our Research Environment November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 22
23 Coding the Idea, The Algorithm Lab November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 23
24 Going Live, Deploying to Live Trading November-2017 QuantConnect Risk Control with Trailing Stops and Options Page 24
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