What is Quant Trading?

marketsurfer said:
The problem with this argument is that even the charts thrmselves have no consistency among traders. Every one is scalled differently and reflects the past in a different way--- there is no objectivity here. It is undefined and subjective.
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By what logic does everyone have to follow the same charts? There are many ways to trade profitably, I use daily charts for certain things and 1 minute for another - they have little to nothing in common and prefer very different conditions.
Objectivity obviously means that something can be tested rigorously on historical data and preferably future data after that. There is no subjectivity in that method since the same rules have to apply to every market condition, sacrificing profit in some to gain lower risk in others.
 
d08 said:
By what logic does everyone have to follow the same charts? There are many ways to trade profitably, I use daily charts for certain things and 1 minute for another - they have little to nothing in common and prefer very different conditions.
Objectivity obviously means that something can be tested rigorously on historical data and preferably future data after that. There is no subjectivity in that method since the same rules have to apply to every market condition, sacrificing profit in some to gain lower risk in others.
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Nothing wrong with that. But it can't be tested objectively, only subjectively.

I don't mean time frames, I am talking about scaling. Why it is important is that it needs to be uniformed to be tested and validated. if everyone is doing their own thing, it is by definition, subjective to you.

There is nothing wrong with being subjective just don't get it confused with true objectivity. At its best, TA is an subjective art---folks try to make it appear like a science-- this is simply wrong. surf
 
Scaling in what sense? So you're saying that if something is coded, repeatedly demonstrated to produce abnormal risk/reward with a high Sharpe ratio over a significant number of trades, it's still subjective? Where does the subjectivity come from?
Anything related to the economy can't be treated as a pure science but ideas can be borrowed and applied.
I don't see any art in my trading - creativity yes but art, no. This creativity only shows itself during the development phase, day-to-day execution is cold and distanced, there is no room for interpretation or anything artsy.
 
Here it is a MIT University lesson based on Stochastic Processes (include random walk hypothesis and markov chain)


if you can be patient first 10 minutes you will get some idea about quant trading, if you still hungry for information here it is another web site, full of docs at Cornell University Library

http://arxiv.org/archive/q-fin

You can find many pdf based files with a lot of model.

My view is; Quantitative traders are looking past price and using mathematical / statistical method to guess futures under possibilities, like many other professional trader. Differences of them they are using another math and statistic method, in fact TA using math too just Q. Traders believe that it makes them special, very normal everybody believes that they are special but from market view they are just like others. Maybe hedge funds are using image of quantitative trading as marketing but end of it we all know how hedge funds are successful moreover we all know how market works, you can draw a simple line or you can use complicated mathematical formulations end of the day market can kiss both of you and is kissed by a guy who bought just because of his right hand was itching that morning.

5 jan 2015 CNBC reported that Cantab is big winner with double digit yield but just 5 monthes later new report came out they lost 9% just in april so nothing “proven” or “special” at the market view...

Hedge funds yield (reported data from 3124 funds)

http://www.barclayhedge.com/research/indices/ghs/Hedge_Fund_Index.html


This is my last post because you guys just barking each other there is no intent to share real something.
 
Quantitative Trading is actually simple to explain. Here is my best try:

The use of objective mathematical principles to test or discover the validity of a hypothetical edge to produce reproducible positive expectancy trading over repeated trials. Then, once found, the coding of that objective function(s) into computer code that is then, to some degree, allowed to make trading decisions without preemption from humans.

So, it just says, use the scientific methods and try to take out human emotion and subjectivity out of trading through the hands off use of computer. But the answer above is more precise.

One thing to note is, technical analysis is essentially digital signal processing. The problem with it is, that since the data is non-stationary, the signal is nearly impossible to asses from the noise. In addition, very few use the alternative description of the signal in the frequency domain, since for human beings they are essentially blind to it. We are to the time domain what bats are to the frequency domain, and vice versa. An ideal trader is Batman - comfortable in both domains. Hence, all the subjectivity. But there is no question that technical chart analysis tries to bring science to trading. It is just nowhere near powerful enough for the job. To paraphrase: T/A is barely classical mechanics in a quantum mechanical general relativistic world.

I will add one final note. I think you can make money trading charts - especially the gifted. The one thing is, you will be forever a slave to your computer. Quants can have a life because they leave the trading to the computer and do other interesting things with their time.
 
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