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Quantopian.com
Building a Quantitative Trading
Strategy To Beat the S&P500
Quantopian.com
Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intend...
Quantopian.com
@karenrubin
VP of Product, Quantopian
Quantopian.com
As of 2013, women….
Quantopian.com
12.9% of
top management
Quantopian.com
12.7% of boards
Quantopian.com
Quantopian.com
Quantopian.com
What if you invested in
female CEOs?
Quantopian.com
Quantopian.com
Quantopian.com
Jan 02 Dec 14
Any CEOs start? —-> BUY 500 Shares
Any CEOs end? —-> SELL all
Move to next day
Quantopian.com
Quantopian.com
Quantopian.com
511%
My Algorithm
Quantopian.com
511%
My Algorithm
122%
SPY
389%
Difference
Quantopian.com
Quantopian.com
Jan 02 Dec 14
Any CEOs start? —-> BUY
Any CEOs end? —-> SELL
Rebalance
Move to next day
Quantopian.com
Quantopian.com
339%
My Algorithm
122%
SPY
217%
Difference
Quantopian.com
Quantopian.com
339%
My Algorithm
122%
SPY
217%
Difference
Quantopian.com
and…
Could it be…
Quantopian.com
Quantopian.com
320%
My Algorithm
122%
SPY
197%
Difference
Quantopian.com
Quantopian.com
What about sector bias?
Quantopian.com
Quantopian.com
275%
My Algorithm
122%
SPY
153%
Difference
REDO GRAPH
Quantopian.com
SPY is the wrong benchmark
Quantopian.com
339%
My Algorithm
251%
RSP
Equal Weighted S&P500
122%
SPY
Quantopian.com
Female CEOs
Male CEOs
The sample size is too small.
Quantopian.com
Quantopian.com
Quantopian.com
Quantopian.com
176%
My Algorithm
Eventvestor CEO Changes
103%
My Algorithm
Fortune 1000
86%
RSP
Quantopian.com
Quantopian.com
176%
My Algorithm
Eventvestor CEO Changes
103%
My Algorithm
Fortune 1000
86%
RSP
Quantopian.com
In Sample Out of Sample
What does your out-of-sample look like?
Quantopian.com
In Sample Out of Sample
What does your out-of-sample look like?
Quantopian.com
In Sample Out of Sample
What does your out-of-sample look like?
Quantopian.com
332%
My Algorithm
Fortune 1000
184%
RSP
130%
Difference
Quantopian.com
Your benchmark is still wrong.
Quantopian.com
Quantopian.com
332%
My Algorithm
Fortune 1000
299%
Q1000
17%
Difference
Quantopian.com
Are you going to live trade this?
Quantopian.com
Quantopian.com
Quantopian.com
229%
Female CEOs Q1000
Eventvestor CEO Changes
91%
RSP
138%
Difference
Quantopian.com
229%
Female CEOs Q1000
Eventvestor CEO Changes
89%
RSP
151%
Female CEOs Q2000
Eventvestor CEO Changes
275%
...
Quantopian.com
275%
Female CEOs Q500
Eventvestor CEO Changes
46%
Male CEOs Q500
Eventvestor CEO Changes
89%
RSP
Recent 24 hour period of backtests. Red dots are location of people running backtests.
~75,000 registered users, ~1,000 da...
Quantopian.com
quantopian.github.io/zipline/
quantopian.github.io/pyfolio/
quantopian.com/femaleCEOs
@karenrubin
karen@qua...
Building a Quantitative Trading Strategy To Beat the S&P500
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Building a Quantitative Trading Strategy To Beat the S&P500

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Two years ago, Karen embarked on a project to learn how to research, write and trade algorithms to invest in the market. She re-learned python and explored what would happen if you invested in women-led companies over a 12-year period. In this talk, she will walk through the highs and lows of her journey from initial data gathering, through writing a strategy to validation and trading.

Publicado en: Tecnología
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Building a Quantitative Trading Strategy To Beat the S&P500

  1. 1. Quantopian.com Building a Quantitative Trading Strategy To Beat the S&P500
  2. 2. Quantopian.com Disclaimer Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice. More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian. In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
  3. 3. Quantopian.com @karenrubin VP of Product, Quantopian
  4. 4. Quantopian.com As of 2013, women….
  5. 5. Quantopian.com 12.9% of top management
  6. 6. Quantopian.com 12.7% of boards
  7. 7. Quantopian.com
  8. 8. Quantopian.com
  9. 9. Quantopian.com What if you invested in female CEOs?
  10. 10. Quantopian.com
  11. 11. Quantopian.com
  12. 12. Quantopian.com Jan 02 Dec 14 Any CEOs start? —-> BUY 500 Shares Any CEOs end? —-> SELL all Move to next day
  13. 13. Quantopian.com
  14. 14. Quantopian.com
  15. 15. Quantopian.com 511% My Algorithm
  16. 16. Quantopian.com 511% My Algorithm 122% SPY 389% Difference
  17. 17. Quantopian.com
  18. 18. Quantopian.com Jan 02 Dec 14 Any CEOs start? —-> BUY Any CEOs end? —-> SELL Rebalance Move to next day
  19. 19. Quantopian.com
  20. 20. Quantopian.com 339% My Algorithm 122% SPY 217% Difference
  21. 21. Quantopian.com
  22. 22. Quantopian.com 339% My Algorithm 122% SPY 217% Difference
  23. 23. Quantopian.com and… Could it be…
  24. 24. Quantopian.com
  25. 25. Quantopian.com 320% My Algorithm 122% SPY 197% Difference
  26. 26. Quantopian.com
  27. 27. Quantopian.com What about sector bias?
  28. 28. Quantopian.com
  29. 29. Quantopian.com 275% My Algorithm 122% SPY 153% Difference REDO GRAPH
  30. 30. Quantopian.com SPY is the wrong benchmark
  31. 31. Quantopian.com 339% My Algorithm 251% RSP Equal Weighted S&P500 122% SPY
  32. 32. Quantopian.com Female CEOs Male CEOs The sample size is too small.
  33. 33. Quantopian.com
  34. 34. Quantopian.com
  35. 35. Quantopian.com
  36. 36. Quantopian.com 176% My Algorithm Eventvestor CEO Changes 103% My Algorithm Fortune 1000 86% RSP
  37. 37. Quantopian.com
  38. 38. Quantopian.com 176% My Algorithm Eventvestor CEO Changes 103% My Algorithm Fortune 1000 86% RSP
  39. 39. Quantopian.com In Sample Out of Sample What does your out-of-sample look like?
  40. 40. Quantopian.com In Sample Out of Sample What does your out-of-sample look like?
  41. 41. Quantopian.com In Sample Out of Sample What does your out-of-sample look like?
  42. 42. Quantopian.com 332% My Algorithm Fortune 1000 184% RSP 130% Difference
  43. 43. Quantopian.com Your benchmark is still wrong.
  44. 44. Quantopian.com
  45. 45. Quantopian.com 332% My Algorithm Fortune 1000 299% Q1000 17% Difference
  46. 46. Quantopian.com Are you going to live trade this?
  47. 47. Quantopian.com
  48. 48. Quantopian.com
  49. 49. Quantopian.com 229% Female CEOs Q1000 Eventvestor CEO Changes 91% RSP 138% Difference
  50. 50. Quantopian.com 229% Female CEOs Q1000 Eventvestor CEO Changes 89% RSP 151% Female CEOs Q2000 Eventvestor CEO Changes 275% Female CEOs Q500 Eventvestor CEO Changes
  51. 51. Quantopian.com 275% Female CEOs Q500 Eventvestor CEO Changes 46% Male CEOs Q500 Eventvestor CEO Changes 89% RSP
  52. 52. Recent 24 hour period of backtests. Red dots are location of people running backtests. ~75,000 registered users, ~1,000 daily active quants, 60% from outside the US. Global Community
  53. 53. Quantopian.com quantopian.github.io/zipline/ quantopian.github.io/pyfolio/ quantopian.com/femaleCEOs @karenrubin karen@quantopian.com

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