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Quant Strategies Implemented by the Quantopian Community
- jfasi 13y agoSee what I'd like to see is a strategy that computes the consensus view of all those strategies.
- nl 13y agoIsn't that called "the market"?
- yelnatz 13y agoBuild a random forest with all these quant algorithms as the decision trees? I wonder how good that'd be.
- danielharan 13y agoMy guess: over-fitted. It will make money until it explodes.
- this_user 13y agoQuite a few of these strategies appear to be underperforming their benchmark index. Some others are known to not work anymore like the 'Turtle' system or only work under special circumstances like the gold/gold miner arbitrage (requires sufficiently high crude oil prices). I haven't checked this in detail, but I would also be very wary of curve fitted backtest results that won't hold up for future market movements.
- smrtinsert 13y agoI love the one that used AAPL in the backtest and then advertises another site.
- frankc 13y agoTotal returns versus the benchmark is not the only important measure. For instance, the minimum variance strategy visibly underperforms its benchmark but it has way lower volatility and fewer drawdowns. These are more important in the real world where you are likely to be heavily levered.