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Strategies catalog
- Thread starter InvBox
- Start date
There is Quantpedia: http://quantpedia.com/Screener
Some of the free strategies are quite interesting, but you got to pay some $$ to see all of them.
Some of the free strategies are quite interesting, but you got to pay some $$ to see all of them.
They use the performance data in the published papers. Just look at http://quantpedia.com/Home/How.
Of course this is sub-optimal, but backtesting all those strategies would be nearly impossible. Some of them use data that is hard to obtain, like options bid/ask or fundamental data.
The site is more an overview of alpha-generating ideas. You need to test the ideas that you find promising for yourself.
Also note that some strategies are more difficult to reproduce as a small investor as others.
Take for example this one: http://quantpedia.com/Screener/Details/13 (Short Term Reversal in Stocks). The effect is definitely there but to reproduce the best results you would have to buy and sell short about 20 stocks each day and hope that your transaction costs are in the same range or better as the model the paper uses.
You still need to do your own research. It is more like a trunk of ideas.
I would love to hear of somebody who signed up to that site and can tell something about the hidden strategies.
Of course this is sub-optimal, but backtesting all those strategies would be nearly impossible. Some of them use data that is hard to obtain, like options bid/ask or fundamental data.
The site is more an overview of alpha-generating ideas. You need to test the ideas that you find promising for yourself.
Also note that some strategies are more difficult to reproduce as a small investor as others.
Take for example this one: http://quantpedia.com/Screener/Details/13 (Short Term Reversal in Stocks). The effect is definitely there but to reproduce the best results you would have to buy and sell short about 20 stocks each day and hope that your transaction costs are in the same range or better as the model the paper uses.
You still need to do your own research. It is more like a trunk of ideas.
I would love to hear of somebody who signed up to that site and can tell something about the hidden strategies.