An introduction to Quantpedia, a site that provides more than 360 trading strategies and statistics to show how they perform.
Quantpedia.com is a unique site in many aspects, and not only because of its extensive library of trading strategies. What makes it unique is that each strategy–and there are more than 360 of them–includes a clear overview of what the strategy is, the logic behind the method, and the statistics backing the strategy. The stats include performance, maximum drawdown, the test period, and volatility among others.
Since there are many strategies on the site, find the ones that suit you by using the “strategy screener.” Use the screener to find strategies geared toward different asset classes, risk tolerances, and time frames.
Quantpedia was started by some of the same people who started Finviz (Finviz Elite is great for real-time day trading alerts and finding pre-market movers), a very popular and visually orientated stock screener. Quantpedia finds and processes academic research papers on trading and then breaks them down into usable trading strategies. These strategies can then be used by the average trader or employed in quantitative trading methods.
Searching through thousands of financial articles only the best are selected based on strict criteria, broken down, and then placed on Quantpedia.com. Strategies must be back-tested over a suitable length of time and include risk calculations. The strategy must also have precise trading rules so it is usable. The rules of each strategy are provided on the site along with the other information on the strategy.
The screener allows you to quickly and easily find strategies that suit your trading style or needs.
Before using the 12 specific search criteria, a search box provides an easy way to find strategies that match certain criteria. For example, typing in “trend following” will bring up strategies related to trend following.
You can also change the View. By selecting different views you can change the type of information that you see in the screener search results. There are four basic views:
Basic Overview shows the period (monthly, intraday, etc), market (bonds, stocks, etc), indicative performance, volatility, and keywords.
Descriptive shows period, number of instruments traded, markets, complexity, indicative performance, confidence, and keywords.
Risk & Return shows markets, instruments available, complexity, backtest period source, backtest length, indicative performance, volatility, drawdown, and Sharpe ratio
The All view shows all the categories mentioned above. When comparing multiple strategies, this view provides a great way to thin down your choices, giving you a good snapshot of each strategy.
The figure above shows a sampling of strategies in All view. You can sort the results from high to low (or low to high) by clicking on the top of the column.
Using the screener feature can save you time and narrow down your trading strategy search. Use 13 different criteria to find the strategies that suit your needs.
Find strategies that match your trading Period– intra-day, daily, weekly, monthly, quarterly, 6 month, yearly or 3 year time periods.
Narrow down your search by Instrument. Find strategies that can be applied to stocks, futures, mutual funds, ETFs, CFDs, forwards, swaps, options, or bonds.
You can also choose your backtest period, performance, drawdown maximum, volatility, complexity, confidence, and Sharpe ratio. Each provides a drop-down menu with options to fine-tune your search. For example, you can select “Over 20%” from the Performance drop-down menu. When this is selected, only those strategies that produced greater than 20% returns annually (backtested) will show up in your search results.
Also, you can select from a drop-down list of keywords. Selecting a keyword will produce a list of only those strategies which are tied to the keyword. For example, selecting the “market timing” keyword will produce a list of all strategies that use or employ market timing.
Inputting different variables into the 13 criteria creates a very specific list. If your search does not yield any results, try loosening the criteria slightly. If your search yields too many results, tighten the criteria.
The Charts page provides a broad overview of all the strategies available on the site, broken down in different ways.
Along the top of the Charts page, there are five tabs: Overview, Complexity, Performance, Risk, and Summary.
Click on a tab to see all of Quantpedia’s strategies broken down in terms of the tab heading.
Within any chart, click on something and it will instantly bring up what you clicked on in a new screener window. The charts provide summary categories, and by clicking on a category you can see the specific strategies that are within that category.
The Overview tab shows:
- How many strategies are available for each market (bonds, stocks, currencies, etc).
- How many strategies are labeled as simple, moderately complex, complex or very complex.
- How many strategies are available for each time frame (intraday, daily, weekly, etc).
- Number of strategies in terms of keywords
The figure above shows one example of an Overview chart. On Quantpedia’s site, click on an element of the chart to see the strategies within it.
The Complexity tab breaks down all the strategies on the site in terms of how elaborate they are. On this tab you can see:
- How many strategies are labeled simple, moderately complex, complex or very complex, in term of asset type and period.
Above is an example of two of several charts available under the Complexity tab.
The Performance tab breaks down the strategies in terms of performance. Cross-referencing performance figures with other criteria allows you to see the best performing strategies in a highly visual way. See performance by period, instrument, complexity or keyword.
Above is one example of the several types of performance charts shown under the Performance tab.
On the Risk tab you can view strategies in terms of risk. The main risk measures shown on this page are the Sharpe ratio and volatility. Comparing risk to different keywords, performance, markets, periods and strategy complexities you can quickly isolate strategies that suit your risk tolerance.
Above is a sample of several charts available under the Risk tab. You are able to see volatility, performance, and complexity all in one chart. Click on one of the circles on the chart to bring up the strategy.
Finally, the Summary chart tab shows a single large chart. The chart shows all the available strategies, the strategy backtest period, performance and Sharpe ratio. This provides a quick way to get an overview of all the strategies available so you can narrow your search. Again, click on an element of the chart to bring up that strategy.
On the Quantpedia homepage, you will also see a Links tab which includes descriptions, costs, and links to high-quality backtesting software. If you are interested in backtesting, this page likely offers some products (some are free) you are unaware of.
On the Links page, click the Historical Data tab to see descriptions, costs, and links to historical price data. If you need historical price data for backtesting, there are companies and services listed on this page to help you out (some are free services).
New strategies are always being added to the site. The site currently provides data on more than 360 trading strategies. You can use these strategies as is, or add your own elements in an attempt to improve the performance or reduce risk.
The Quantpedia blog provides updates when new strategies are added. This allows you to quickly see new strategies and look them over when they come available.
There is one main drawback to the site. It is based on academic papers and testing. Stuff that comes out of a lab doesn’t always work as well in the real world as the results would indicate. The people writing these papers may have no actual trading experience and may have never tested the strategies in live market conditions (they only tested their idea on past market data).
Upon learning a strategy, do your own testing of it before utilizing it with real capital. This is easily done in a demo account by following the strategy steps provided.
Difference Between Quantpedia Free and Member Version
There are two memberships types on Quantpedia.com: free and member.
Both types of Members can screen for strategies available to them.
Free access to the site provides you with 65+ trading strategies and links to hundreds of related academic financial papers.
Members choose between a 3-month and 12-month subscription option and receive:
- 303+ premium trading strategies.
- Access to the 65+ free strategies.
- Access to over 600 related academic financial papers.
- Access to new strategies when added, and alerts on the blog when new strategies are posted to the site.
- No advertisements.
This is not an endorsement of the product, simply a resource you may find useful.
By Cory Mitchell, CMT
Please remember, past performance is not necessarily indicative of future performance. Be sure to understand your risk before relying on any trading method. All trading involves substantial risk of loss. When using leverage it is possible to lose more than you have in the account, resulting in a debt.
ABOUT THE AUTHOR
Romain is an independent trader and investor specializing in financial market analysis and trading systems. He worked as a professional long/short equity trader for a trading firm in New York and has a passion for building mechanical trading strategies. He has been in the industry since 2008.
This post expresses the opinions of the writer and is for information, entertainment purposes only. Romain is not a registered financial advisor or certified analyst. The reader agrees to assume all risk resulting from the application of any of the information provided. Past performance is not a reliable indicator of future returns and financial trading is full of risk.) Please read the Full Disclaimer