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Old 05-03-2011, 04:45 AM   #9

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Re: Algo / Quant Strategies for Stock Index Futures
The 'popular strategies' still involve pricing instruments (typically derivatives), managing risk, portfolio optimisation, model validation etc. Stochastic calculus is still a cornerstone of the discipline which means a good understanding of degree level mathematics is still really a pre-requisite to play the game.
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Old 05-04-2011, 01:57 AM   #10

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Re: Algo / Quant Strategies for Stock Index Futures
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Originally Posted by nielsb »
Hello Tams! That is extremely insightful!!!!! It is almost as good as: "buy low, sell high"!

Thanks!!!

Niels
"buy low, sell high" is a counter trend strategy,
while trading with the moving average is a trend following strategy.
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Old 05-04-2011, 01:58 AM   #11

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Re: Algo / Quant Strategies for Stock Index Futures
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Originally Posted by MadMarketScientist »
Tams - maybe you can clarify your strategy ... do you use 10 day, 20 day, 200 day?
maybe this can help...

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Old 05-04-2011, 07:49 AM   #12

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Re: Algo / Quant Strategies for Stock Index Futures
Quote:
Originally Posted by BlowFish »
The 'popular strategies' still involve pricing instruments (typically derivatives), managing risk, portfolio optimisation, model validation etc. Stochastic calculus is still a cornerstone of the discipline which means a good understanding of degree level mathematics is still really a pre-requisite to play the game.
Yes, of course, and .....

Niels
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Old 05-04-2011, 07:50 AM   #13

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Re: Algo / Quant Strategies for Stock Index Futures
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Originally Posted by Tams »
"buy low, sell high" is a counter trend strategy,
while trading with the moving average is a trend following strategy.
I am so impressed by your insightful and educating posts!!!

Thank you so much!

Niels
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Old 05-04-2011, 08:20 AM   #14

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Re: Algo / Quant Strategies for Stock Index Futures
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Originally Posted by nielsb »
I am so impressed by your insightful and educating posts!!!

Thank you so much!

Niels
if you describe what is Algo / Quant,
you might get even more insightful education.
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Old 06-03-2011, 03:56 AM   #15

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Re: Algo / Quant Strategies for Stock Index Futures
I trade all the index futures in Asia including Japan. I find EW works reasonably well. As far as aglo models you can use anything as long as you are happy with the back testing results. Pair trades are common ie MSCI Taiwan vs Taiex.
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Old 06-03-2011, 11:04 AM   #16

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Re: Algo / Quant Strategies for Stock Index Futures
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Originally Posted by xioxxio »
I trade all the index futures in Asia including Japan. I find EW works reasonably well. As far as aglo models you can use anything as long as you are happy with the back testing results. Pair trades are common ie MSCI Taiwan vs Taiex.
Thanks! Yes - I have used EW as well with some success, but I don't know if I would consider it algo as such. Pair trading stat-arbs is definitely worthwile looking into.

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