*This post was updated on 22 December 2015. Scroll to the end of the article to see a special membership offer, valid until midnight 31st December 2015.
If I could, I might spend all my time researching trading strategies and testing out system ideas. But of course, there are only so many hours in a day.
That’s why I was excited to come across Quantpedia: the encyclopedia of trading strategies, ‘that turns academic research into financial profit’.
Quantpedia Review: What is Quantpedia?
Quantpedia comes from the same team behind Finviz, another tool that I use every day.
Essentially, it’s a database of trading strategies. At the last count there were
255 over 280 (Dec 2015) strategies, each one carefully curated by the Quantpedia review team from various sources; financial journals, academic papers, universities, conferences, etc.
It’s Quantpedia’s goal to take leading edge academic research and present it in plain language to those interested in quantitative trading.
And it’s clear the kind of customer that Quantpedia caters for from the long list of institutional clients on their books.
This includes the likes of Goldman Sachs, JP Morgan, Barclays, Schroders and Credit Suisse.
How Quantpedia works…
The Quantpedia team sift through thousands of different research papers each year and evaluate each one according to a strict selection criteria.
When a paper meets the criteria, it’s added to the database and the Quantpedia team then spends some time extracting the trading rules and presenting the strategy in an understandable format.
Performance metrics such as maximum drawdown, volatility, complexity, and Sharpe ratio are shown so as to make it easy to quickly evaluate a system. The screener function means that you can easily pick out a trading strategy that meets certain characteristics.
Using the screener
The easiest way to find a trading strategy on Quantpedia is to use the screener.
You can filter based on several metrics such as period, instrument, backtest dates, keywords, complexity etc.
For example, let’s say that I want to find a strategy that trades stocks using daily timeframes with a performance level of over 20%.
I simply fill in the field as below and click search.
Doing so returns 15 trading strategies, 14 of which are from the Premium service and 1 that is free.
The Quantpedia terms of service restrict me from identifying those premium strategies but the free strategy is shown below.
This is actually a trading system based on soccer matches and has an indicative performance of 42%.
It’s based on an academic paper which was published in 2011 called Understanding Investor Sentiment: The Case of Soccer.
Range of strategies
Quantpedia provides a number of charts where you can get a feel for the range of trading systems available.
As you can see, roughly 130 of the trading strategies involve stocks and there’s a good mix of simple and more complex strategies.
In terms of timeframes, the most common systems on Quantpedia are monthly strategies.
At the time of writing there were 114 monthly strategies, 54 daily strategies and 9 intraday strategies. Somewhat unsurprisingly, the intraday strategies are closely guarded and none are included with the free membership.
But what these charts don’t really tell you is the type of trading strategies that are included in Quantpedia.
As the name suggests, these are all quantitative, math-driven systems that attempt to find a small edge in the market.
Although there are strategies based on earnings announcements and events there are really very few that are based on any fundamental criteria such as a stocks price to earnings ratio or valuation metrics.
Further thoughts and issues
Overall, I really like what’s happening on Quantpedia. I’ve only been using it for a couple of weeks but I already know this service will save me a lot of time when it comes to researching trading strategies and coming up with new ideas.
Some of the trading models have the potential to generate real, market-beating returns, especially when combined into a portfolio of trading systems – ready to be harnessed when the opportunities arrive.
If I do have one reservation it’s one that is more philosophical in nature.
Searching through Quantpedia I found some strategies that I was already aware of and some I had never heard of before.
The question is whether or not a strategy becomes unprofitable once it has been published.
In reality, I expect some strategies will continue to perform well and some will be arbitraged away. It usually depends on the type of system and it’s expected returns.
The second issue I found with Quantpedia is that many of the best systems are quite high in complexity. The average trader may find it hard to implement some of the more sophisticated strategies. Fortunately though, there are plenty of simple systems as well.
Overall thoughts on Quantpedia
To sum up, Quantpedia is an excellent time-saver and provides great inspiration for coming up with new trading ideas. Once you are able to master the strategies on there, decide which ones are best for you, I truly think you can make some really good money, trading both short-term and medium-term.
You will not necessarily find any quick path to riches, because some work will still be required to harness the strategies listed. But with some effort you will find some interesting and potentially highly rewarding strategies for several different markets.
For that reason, Quantpedia is one of the best paid-for services I have come across for traders and it gets 5 stars from me.
*Until Midnight on December 31st, you can take 40% off a Quantpedia 12-month subscription by signing up to the 3-month membership and then emailing the discount code YMCD2015 to the support team. (Please note that this is a special discount that I have negotiated with Quantpedia for Christmas 2015 and is only available to JB Marwood readers using the link above. Please contact me if you have any questions or issues at [email protected]).