ETF Prophet

Login
Our Flickr Channel Our Facebook Our RSS Feed follow us on twitter
About Quantum Financier:
Quantum Financier's Personal Page

Subscribe to my RSS!
Canada - I am a student in a Canadian university currently completing my bachelor of commerce majoring in finance. I have a strong interest in market mechanics, statistics, machine learning, and their applications in quantitative trading strategies. With this blog, I hope to force myself to organize my thoughts in a clear and concise way. I also welcome the opportunity to share with other empirically minded bloggers and readers to improve my understanding of the market.

What to expect in 2012?

Posted on December 31st, 2011

As we look to 2011 through the rear view mirror, I make a quick divergence from my recent lethargy to send my best wishes for 2012 to all readers. May 2012 be a trading year filled with opportunities you capitalize on.
See you in the new year.
QF

Ensemble Building 1O1

Posted on July 3rd, 2011

In continuation with last post, I will be looking at building a robust ensemble for the S&P 500 ETF and mini-sized future. The goal here will be to set-up a nice framework that will be (hopefully) of good use for readers interested in combining systems in creating strategies. In order to make it more tangible, [...]

One Size Does Not Fit All

Posted on April 24th, 2011

In our eternal search for the trading Holy Grail it is often tempting to try and find the “ultimate” signal (indicator) and apply it to as many instruments we can. This single solution approach for the most part fails miserably, think of a carpenter with only a hammer in his (or her; QF is an [...]

Update, Milestone, and Unfinished Business

Posted on April 5th, 2011

Update First of all let me apologize for being off the grid for so long and not providing you with any of my geek prose recently. My final university semester classes are coming to an end today and I will resume regular posting after finals. However rest assured that my absence of the blogosphere has [...]

Model Scalability

Posted on February 15th, 2011

When designing a model, an aspect that I often overlook is scalability. First a definition from Investopedia: “A characteristic of a system, model or function that describes its capability to cope and perform under an increased or expanding workload. A system that scales well will be able to maintain or even increase its level of [...]

S&P 500 Sectors Analysis

Posted on January 29th, 2011

To follow up with last post, and also nicely tying into Engineering Returns’ recent sector rotational system I will show a factor decomposition of the S&P 500 from different sectors. In essence, you can think of it as a multifactor analysis where I try to determine what sectors are relevant for a given period in [...]

Predictor(s)/Factor(s) Selection

Posted on January 9th, 2011

Before getting in the post main subject, I want to mention a couple things. First, the TAA system talked about before on the blog is still in the works, a busy schedule and work commitment made it difficult for me to polish and publish it as soon as I wanted. Secondly, I apologize for the [...]

Season’s Greetings

Posted on December 23rd, 2010

During this holiday period, I want to thank you all very much for the support you have showed this nascent blog in 2010. The good discussions I have had with reader in the comment section or via email made every minute of the adventure worth it. The good feedback I received exceeded every expectations I [...]

Market Rewind’s Sentiment Spreads Remix

Posted on December 20th, 2010

In this post, I want to build on a good discussion in the comment section of this post: An Intermarket Ensemble Model for the S&P500 Using Market Rewind’s “Sentiment Spreads”. One of ETF Prophet’s contributors and the initial thinker for the spreads, Mr. Pietsch commented on CSS’s use of the sentiment spreads to predict the [...]

Market Neutral Strategy Portfolio

Posted on December 15th, 2010

In continuation with last post on market neutrality, this post will look into obtaining market neutrality for a portfolio of strategy. As mentioned in last post, investors can trade many strategies with conflicting signals. For this particular example, imagine an investor that trades two strategies; a RSI2 and the 50-200 moving average crossover on the [...]

Market Neutrality

Posted on November 27th, 2010

Market neutrality is one of those buzz words thrown around quite a lot in finance; several hedge funds claim their strategies as being market neutral and use it as their main marketing tool. Some quantitative strategies are also oriented towards that goal; pairs trading is a prime example, but one can also include segments of [...]

Why I do Things This Way

Posted on November 24th, 2010

I must confess a few things. I started my journey in the investment world as a self-proclaimed value investor. I didn’t know any better and I figured; if it worked for Warren Buffet, it ought to work for me. So I read and read on the subject and a little later I was being introduced [...]

Rotation System à la Quantum Financier

Posted on November 11th, 2010

Rotation systems have generated a lot of virtual ink lately see CSS Analytics here, Engineering Returns here, then at MarketSci here for a few examples. I have recently been playing around with the concept but with a very different approach. I figured it might be interesting for readers to hear another approach to a similar [...]

Be Careful What You Wish For

Posted on October 28th, 2010

It is in the human nature to seek the path of least resistance. While this might be good in some instances, when dealing with my capital I usually try to keep it simple but I try to always steer clear from intellectual laziness. Many top tier bloggers have mentioned the traps of assumptions and the [...]

Using R For Algorithmic Trading

Posted on October 25th, 2010

Here is a nice video I found on the Quantitative Finance Collector website. Have a look if you are looking to use R and Interactive Brokers to trade automatically. People already familiar with algorithmic trading might want to start the video at the 15:00 mark. http://www.mathfinance.cn/R-API-to-interactive-brokers-trader-workstation/ QF

Considerations in System/Indicator Design

Posted on October 22nd, 2010

The amount of noise in raw financial data makes it very hard to model. This is partly why we use indicators. They summarize information in a concise way that is easier to interpret that the raw market data. A lot of them are actually transforms borrowed from other fields adapted to financial markets. Engineering is [...]

FAQ & Projects

Posted on October 16th, 2010

First of all, apologies for the lack of posts the past weeks. I have several things in the works a slightly less time to produce posts with midterms and all. For now, I thought I would answer some frequently asked questions I get by e-mail. And let you know some things I have in the [...]

New Strategy Performance Summary

Posted on September 24th, 2010

Last week I said I would change the design of my strategy performance summaries to help compare better around the blogosphere, so here is the first example with it. This strategy is also to show that sometimes we are so focused on the US securities market that we miss some attractive investment opportunity. As a [...]