คลังความรู้

This article explains how to use an annualised rolling Sharpe ratio to monitor whether a trading strategy’s risk-adjusted performance is weakening. It calculates the ratio from excess returns over a trailing year of observations, scaling the…

This article describes how QSTrader represents brokerage charges in a backtesting system through a FeeModel class hierarchy. An abstract base interface separates commission, tax, and total-cost calculations, allowing implementations to account for asset…

This tutorial presents a visual method for checking historical market data coverage. It retrieves end-of-day equity prices from a vendor, converts the response into tabular data, and aligns each security’s observations to a complete exchange trading…

This article defines Value at Risk as a loss threshold for a portfolio over a specified time horizon and confidence level. It explains that VaR can be applied to an individual strategy or a larger portfolio, with the horizon chosen to reflect the time needed…

This guide explains support vector machines as supervised binary classifiers. It builds from a separating hyperplane to the maximal margin classifier, which chooses a boundary with the greatest distance from nearby training points. Because real data often…

This article relaxes the constant volatility assumption in Black–Scholes by allowing the asset's volatility to vary over time. It models log volatility with a mean reverting Ornstein–Uhlenbeck style equation driven by a stochastic process. To represent…

This reading guide presents a staged path for learning C++ as a quantitative finance practitioner. It explains that quant work involves implementing mathematical models, so programming ability and software engineering practices matter alongside financial…

This tutorial describes a Mac setup for Python-based market research, recommending the Anaconda distribution for its data science libraries, Conda package manager, and support for isolated environments. It explains how to install the distribution, check that…

This tutorial explains how to configure SLURM on a Raspberry Pi cluster so researchers can submit parallel workloads from a login node. It outlines the roles of the control node and computational nodes, shared configuration through NFS, resource allocation…

This article presents a simplified interface for configuring a forex backtest and extending it to multiple currency pairs. A Backtest object is assembled from price data, strategy, portfolio, and simulated execution components, with strategy settings passed…

This career guide explains how candidates can approach roles at quantitative hedge funds. It argues that top tier firms often seek exceptional, specialized research or computing skills, while smaller firms may be more open to candidates who enter through…

The article explains the Sharpe ratio as a way to compare a strategy’s average excess return with the variability of those returns. It describes annualizing the measure according to the return sampling interval, using a suitable benchmark, and treating…

This article outlines how an early-stage quantitative hedge fund or CTA can prepare to seek institutional capital. It describes possible fundraising channels, including principals’ networks and third-party marketers, and argues that investors assess…

This introduction to electronic market microstructure explains how market orders and limit orders interact. Limit orders specify a price and quantity, rest in the limit order book, may fill partially, and can be cancelled. Market orders seek immediate…

This article compares retail algorithmic traders with institutional quantitative funds across capacity, crowding, market impact, leverage, liquidity, information access, risk oversight, investor relations, and technology. It argues that smaller accounts can…

This article describes using a Gaussian Hidden Markov Model (HMM) as a risk filter for a simple S&P 500 trend-following strategy. The model is trained on historical SPY adjusted returns to identify latent volatility regimes. A QSTrader risk manager then…

This brief update explains why a planned trading-strategy book shifted toward using a more realistic backtesting framework. The author found that transaction costs could materially change the apparent profitability of strategies assessed with simpler…

The article outlines a proposed end-to-end system for researching, backtesting, and operating automated trades, initially focused on US equities and ETFs through a brokerage interface. Its architecture separates data ingestion and validation, price and…

The article describes a daily directional forecasting strategy for the S&P 500, with trades placed in SPY. A quadratic discriminant analysis model uses the prior two daily index returns to predict whether the market will rise or fall. The strategy takes a…

The article lays out a progression for learning financial econometrics, starting with probability and statistics before moving through introductory econometrics, financial data analysis, specialist time-series texts, and current research. It highlights…

The document describes the source-side implementation of a templated C++ matrix class intended for numerical linear algebra in quantitative finance. It covers construction, copying, assignment, element access, matrix and scalar arithmetic, transpose, vector…

The article describes updates to an event-driven forex backtesting system: generating format-compatible simulated tick files, processing daily files sequentially, supporting multiple currency pairs, and plotting equity, returns, and drawdowns. Loading one…

The document introduces geometric Brownian motion as a model for an asset price whose proportional changes have a constant drift and volatility. It outlines the derivation of the process solution using Itô's lemma: transform the price to its logarithm,…

The document explains why futures backtests need a method for joining prices from contracts with different expiration dates. Contango and backwardation can create price gaps at the splice, so the article compares three approaches: additive Panama…