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nielsb

Algo / Quant Strategies for Stock Index Futures

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Hi all!

 

I am new here on the forum (as you can see :) ), but anyway ....

 

When reading through various forums (here, and other forums), there are quite a few posts regarding algo / quant strategies for stock trading. However, there are not much regarding algo / quant strategies for stock index futures.

 

So, my question is what type of "popular" strategies for stock index futures there are, if any. I obviously do not ask what specific strategies anyone is using, but what types of strategies are being used and considered working good for stock index futures.

 

Thanks!

 

Niels

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Hi all!

 

I am new here on the forum (as you can see :) ), but anyway ....

 

When reading through various forums (here, and other forums), there are quite a few posts regarding algo / quant strategies for stock trading. However, there are not much regarding algo / quant strategies for stock index futures.

 

So, my question is what type of "popular" strategies for stock index futures there are, if any. I obviously do not ask what specific strategies anyone is using, but what types of strategies are being used and considered working good for stock index futures.

 

Thanks!

 

Niels

the algo is very simple:

 

when the moving average is going up, BUY.

when the moving average is going dn, SEL.

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the algo is very simple:

 

when the moving average is going up, BUY.

when the moving average is going dn, SEL.

 

Hello Tams! That is extremely insightful!!!!! It is almost as good as: "buy low, sell high"!

 

Thanks!!!

 

Niels

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I'm also relying heavily on my oscillating studies. Price is constantly oscillating up and down. My oscillating studies will only go in one direction for so long. Typically, in a down trend, one of my oscillating lines will only go up once in a cycle. If that line that only typically goes up once in a price cycle, suddenly goes up for 3 bars, it's usually the bottom. So if the trend is down, and I short every time that line goes up, statistically, the odds are in my favor. Even at the bottom, when the line can go up for 3 bars, the odds are I can reverse at a very small loss, or break even. So it's worth taking that small loss at the very end of the trend in order to stay with the trend for as long as possible.

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I'm also relying heavily on my oscillating studies. Price is constantly oscillating up and down. My oscillating studies will only go in one direction for so long. Typically, in a down trend, one of my oscillating lines will only go up once in a cycle. If that line that only typically goes up once in a price cycle, suddenly goes up for 3 bars, it's usually the bottom. So if the trend is down, and I short every time that line goes up, statistically, the odds are in my favor. Even at the bottom, when the line can go up for 3 bars, the odds are I can reverse at a very small loss, or break even. So it's worth taking that small loss at the very end of the trend in order to stay with the trend for as long as possible.

 

Very, very interesting Tradewinds, thanks!!

 

Niels

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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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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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Tams - maybe you can clarify your strategy ... do you use 10 day, 20 day, 200 day?

 

maybe this can help...

 

attachment.php?attachmentid=24453&stc=1&d=1304489406

MA-X1.thumb.png.1ba8b0f044738f7ac2f6ccb0d4299e31.png

Edited by Tams

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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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"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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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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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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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.

 

Niels

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