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 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.
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 Algorithm122%
SPY389%
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 Algorithm122%
SPY217%
Difference
Quantopian.com
Quantopian.com
339%
My Algorithm122%
SPY217%
Difference
Quantopian.com
and…
Could it be…
Quantopian.com
Quantopian.com
320%
My Algorithm122%
SPY197%
Difference
Quantopian.com
Quantopian.com
What about sector bias?
Quantopian.com
Quantopian.com
275%
My Algorithm122%
SPY153%
Difference
REDO GRAPH
Quantopian.com
SPY is the wrong benchmark
Quantopian.com
339%
My Algorithm251%
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.comIn Sample Out of Sample
What does your out-of-sample look like?
Quantopian.comIn Sample Out of Sample
What does your out-of-sample look like?
Quantopian.comIn Sample Out of Sample
What does your out-of-sample look like?
Quantopian.com
332%
My Algorithm Fortune 1000
184%
RSP130%
Difference
Quantopian.com
Your benchmark is still wrong.
Quantopian.com
Quantopian.com
332%
My Algorithm Fortune 1000
299%
Q100017%
Difference
Quantopian.com
Are you going to live trade this?
Quantopian.com
Quantopian.com
Quantopian.com
229%
Female CEOs Q1000 Eventvestor CEO Changes
91%
RSP138%
Difference
Quantopian.com
229%
Female CEOs Q1000 Eventvestor CEO Changes
89%
RSP151%
Female CEOs Q2000 Eventvestor CEO Changes
275%
Female CEOs Q500 Eventvestor CEO Changes
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 daily active quants, 60% from outside the US.