You are a noob like my grandmother never lernt to suck eggs.
ModerniSed? I thought all this time yew was a Amuruhkun.
Truly, trading could obsess an immortal trader forever.
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About Quantitative Equity Investing
- Thread starter OddTrader
- Start date
You are a noob like my grandmother never lernt to suck eggs.
ModerniSed? I thought all this time yew was a Amuruhkun.
Truly, trading could obsess an immortal trader forever.
Quote from OddTrader:
Even worse, for many of the variables/factors, a same factor can be used to serve two conflicting objectives.
Good point. Like payout ratio. I don't mind a payout approaching unity, whereas it is anathema (I am having an anathema attack as we speak) to the growth investor. But consider royalty trusts, which can have excellent growth.
@OddTrader,
Thanks for the links. Your links to investment companies that combined together manage trillions made me think this: is it possible that the performance of those companies and for that purpose their own existence is basically due to their size and the fact that they move the markets in the way they think they will move and actually has nothing to do with math, supercomputers and any other way of analyzing noise?
In other words, is it possible that all the quants and Ph.D's are maybe just a cover for the fact that the winners of a zero-sum game are those who have enough money to be the strong hands?
Thanks for the links. Your links to investment companies that combined together manage trillions made me think this: is it possible that the performance of those companies and for that purpose their own existence is basically due to their size and the fact that they move the markets in the way they think they will move and actually has nothing to do with math, supercomputers and any other way of analyzing noise?
In other words, is it possible that all the quants and Ph.D's are maybe just a cover for the fact that the winners of a zero-sum game are those who have enough money to be the strong hands?
I feel unbliged to put this bullshit into poorspective. A lone wolf index futures trader can easily make 200 percent per anus return. So I am not in the least fucking unpressed with wedgie funds making 20 porkcent. So what if that preformance is not scalable? Who the fuck cares if you're a lone wolf?
I agree to a certain extent, but I also think that the "small guy" can find more opportunites amongst less liquid issues, that they can get opportunites from.Quote from intradaybill:
@OddTrader,
Thanks for the links. Your links to investment companies that combined together manage trillions made me think this: is it possible that the performance of those companies and for that purpose their own existence is basically due to their size and the fact that they move the markets in the way they think they will move and actually has nothing to do with math, supercomputers and any other way of analyzing noise?
In other words, is it possible that all the quants and Ph.D's are maybe just a cover for the fact that the winners of a zero-sum game are those who have enough money to be the strong hands?
In other words, more opportunites exist b/c scalability issues for those of us who dont have to move such large quantities around.
RE: interdaybill and mdl's concern
Deco points out the dilemma of big money.
Lone wolves have the best of all worlds: liquidity and very high volatility.
By setting other criteria properly, a lone wolf can easliy do 100 turns @ 10% each per annum.
It is very possible to do crossover trading from one stock to another using partial fills the size of the blocks moving through on the T&S. In this way you do not disturb the peaking or troughing of a stockon the day of the turn.
Lone wolves can easily manage 12 streams of capital where they keep total holds in a stream @ or under 100,000 shars per stream.
The big outfits are really constrained because of the size issue. They know that any market participation event on their part always goes against their specific actions. By reviewing the outfits in the "top 50" category you can see their enticements to financial planners are really not comparible to lone wolf trader potential. Gander at just what these outfits "pay" financial planners for successful prospecting results.
If there ever was an opportunity in modern financial times, it is the combo of info and low costs traders must bear. About anyone can always have 12 streams running and just crossover trade the "natural cycle of high EPS and RS Univrses.
Deco points out the dilemma of big money.
Lone wolves have the best of all worlds: liquidity and very high volatility.
By setting other criteria properly, a lone wolf can easliy do 100 turns @ 10% each per annum.
It is very possible to do crossover trading from one stock to another using partial fills the size of the blocks moving through on the T&S. In this way you do not disturb the peaking or troughing of a stockon the day of the turn.
Lone wolves can easily manage 12 streams of capital where they keep total holds in a stream @ or under 100,000 shars per stream.
The big outfits are really constrained because of the size issue. They know that any market participation event on their part always goes against their specific actions. By reviewing the outfits in the "top 50" category you can see their enticements to financial planners are really not comparible to lone wolf trader potential. Gander at just what these outfits "pay" financial planners for successful prospecting results.
If there ever was an opportunity in modern financial times, it is the combo of info and low costs traders must bear. About anyone can always have 12 streams running and just crossover trade the "natural cycle of high EPS and RS Univrses.
Quote from OddTrader:
My first question is (as far as you know,) what is the usual holding time (of a stock) for quantitative investing, practically?
I trade equities and ETFs using quantitative strategies. Typical hold times are 1 day to 1 week but I have some strategies that hold up to several weeks and just went live with a strategy that typically holds for months. But that's just me, I'm not sure what is "usual". I'm sure some trade longer and many shorter.
Quote from OddTrader:
My second question is: Where can I get any commonly available data(bases) for analysis of quantitative equity investing?
Portfolio123.com. They have very affordable data that is sourced from Reuters and free from survivor ship bias.
Quote from dwpeters:
I trade equities and ETFs using quantitative strategies. Typical hold times are 1 day to 1 week but I have some strategies that hold up to several weeks and just went live with a strategy that typically holds for months. But that's just me, I'm not sure what is "usual". I'm sure some trade longer and many shorter.
Portfolio123.com. They have very affordable data that is sourced from Reuters and free from survivor ship bias.
Many thanks for the great site. Much appreciated. I just found that had been discussed here:
http://www.elitetrader.com/vb/showthread.php?threadid=63222
Do you use the site for large cap stocks?
Q
dwpeters :
FYI, an interesting article on the shift from value to growth with some analysis of the factors that outperform - may be useful in developing a growth oriented ranking system. The article also highlights the outperformance of large cap over small cap, basically saying that outperformance has shifted from small cap value to large cap growth ... and I used to think that for value stocks, larger cap outperformed and for growth smaller cap outperformed. Seems nothing in the market is constant.
http://www.navellier.com/downloads/ResearchLetter092607.pdf
UQ
More sites and done: zacks.com and stockworm.com .
Q
http://www.forbes.com/bow/b2c/category.jhtml?id=178
Stock Screening
Star stock pickers have always sworn by stock screening. Citing a quantitative modeling approach, they've sifted through a wide universe of stocks to find hidden gems. The charts you'll find here are equally elegant. Some appear in elaborate diamond bottoms or rigorously aligned rows of factors and figures. But the results are based on criteria custom made for your portfolio. Most sites have pre-built screens that you merely tune to your needs. Others give you the tools to create your own screens, though they can be overly complex. Another caveat: you'll probably have to shell out money. Still, these are all tools that would make value investor Benjamin Graham very proud and, hopefully, your wallet fatter.--Constance Gustke
Read our Review for: Visit:
Reuters Investor www.reuters.com/investing
MSN Money moneycentral.msn.com
MarketScreen.com www.marketscreen.com
ValuEngine.com www.valuengine.com
B4UTrade.com www.b4utrade.com
Barchart.com www.barchart.com
CBS MarketWatch.com cbs.marketwatch.com/tools/stockresearch/screener
ClearStation clearstation.etrade.com
Morningstar.com www.morningstar.com
Yahoo Finance finance.yahoo.com
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Q
http://www.forbes.com/bow/b2c/category.jhtml?id=178
Stock Screening
Star stock pickers have always sworn by stock screening. Citing a quantitative modeling approach, they've sifted through a wide universe of stocks to find hidden gems. The charts you'll find here are equally elegant. Some appear in elaborate diamond bottoms or rigorously aligned rows of factors and figures. But the results are based on criteria custom made for your portfolio. Most sites have pre-built screens that you merely tune to your needs. Others give you the tools to create your own screens, though they can be overly complex. Another caveat: you'll probably have to shell out money. Still, these are all tools that would make value investor Benjamin Graham very proud and, hopefully, your wallet fatter.--Constance Gustke
Read our Review for: Visit:
Reuters Investor www.reuters.com/investing
MSN Money moneycentral.msn.com
MarketScreen.com www.marketscreen.com
ValuEngine.com www.valuengine.com
B4UTrade.com www.b4utrade.com
Barchart.com www.barchart.com
CBS MarketWatch.com cbs.marketwatch.com/tools/stockresearch/screener
ClearStation clearstation.etrade.com
Morningstar.com www.morningstar.com
Yahoo Finance finance.yahoo.com
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