Algo / Quant Strategies for Stock Index Futures

[nielsb 10]

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

[Tradewinds 12]

what type of "popular" strategies for stock index futures there are, if any.

 

My personal preference for the SP e-mini, ES, is to use the NYSE Advancers minus NYSE decliners.

[nielsb 10]

My personal preference for the SP e-mini, ES, is to use the NYSE Advancers minus NYSE decliners.

 

Interesting - Thanks Tradewinds!

 

Niels

[Tams 20]

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.

[nielsb 10]

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

[MadMarketScientist 11]

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

 

Thanks!!!

 

Niels

 

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

[Tradewinds 12]

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.

[nielsb 10]

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

[BlowFish 10]

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.

[Tams 20]

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.

[Tams 20]

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

 

maybe this can help...

 

Edited May 4, 2011 by Tams

[nielsb 10]

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

[nielsb 10]

"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

[Tams 20]

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.

[xioxxio 10]

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.

[nielsb 10]

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