Over the last year I have developed a trading method. System utilizes an Excel sheet which signals Buy/Sell using historical data. Trades are still being made manually after the signal. Is this technically discretionary trading as trades are still done manually or could this still be considered a quant strategy as signals auto generate. Still working to have the trades themselves automatized.
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nikolicage, way too quiet in here. What about these resources:
No promises, but sometimes if we mention a user, they will share their wisdom: FOHFLady mroresearch jarkko.mynttinen
If those topics were completely useless, don't blame me, blame my programmers...
Trades at most large quant funds are executed by humans.
For some reason a lot of people confuse quantitative, automated, and HFT.
Pretty sure it is true. Most large quant funds have trades executed by humans. With all of the various things that can go wrong with vendor data, a human trader provides a good last check before execution. Very difficult to try to code every type of data exception that might occur. Some funds, I'm sure, trade automatically but most don't.
this really depends....algo funds (like TwoSigma, Renaissance, Citadel, and others i know) have large funds that are majority traded electronically...where humans are practically not allowed to intervene except in the event of some kind of error.
These firms will have other funds that are indeed executed manually by humans...but those are not quant algo funds...those are funds with a quantitative approach to investing...but are not "pure quant". Take Citadel for example...we all know they have algos that trade without human intervention. I know for a fact they also have some multi-manager funds that are indeed traded by humans.
So, both exist....some multi-manager quant funds are structured where the manager can only change the algo...but they cannot make actual manual trades. If trades can be executed manually...then you are adding a layer of discretion (a human being) into the strategy. Yes, lots of firms are discretionairy tho they may advertise themselves as "quantitative"...but that means they are not "pure quant algo".
Quant algo usually means you are getting into HFT space...as market inefficiencies tend to not last very long...and the whole point of quant algo is to remove the human emotional factor from a trading strategy.
Need to distinguish between HFT and quant in general. HFT is a very specific niche. The vast majority of assets that are managed by quantitative equity investors is in active factor based upon the fama-french approach. The quantitative models forecast stock returns from a couple weeks to a few months even. A shockingly small amount of assets are actually managed by firms that are trading intraday or getting in and out of positions every other day.
Systematically catching errors in a quantitative model is very difficult! While I'm sure two sigma and citadel do have automated execution algorithms for trading, they definitely have humans who are checking those trades on a daily basis before they go out to review for potential errors. For most funds, if there is a trading error, clients have to be made whole in many cases.
I know execution traders at two of the three quant funds you posted above. They're humans, not robots....
i've worked at large quant and large macro funds. it is true - large trades are often executed by humans.
implement the strat over at Quantopian and see how it performs.
If implemented at Quantopian would the propriety aspect of the strategy be in jeopardy as others are able to see it's inner workings?
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