Quantitative Strategy

use volume indicator to backtesting , using 2618 Highlights Preface Nowadays Momentum trade are frequently used to trade strategy,we often talk about the price-volume relationship .So in this article we are going to talk about this strategy which based on abnormal growing of the trading volume.but this strategy doesn’t have the clear definition.so we write […]

Highlights Preface We are strange and familiar with the winning rates, odds, and betting ratios. We often depend on our sentiment to multiply the winning percentage and odds in our hearts and determine the betting ratio of the investment. Therefore, it’s difficult to explain our subjective betting ratio to someone. It is inevitable in investment […]

Return of TAIEX before & after Market Closure Period Highlights Preface Chinese New Year is the most important festival of Chinese society. Traditionally, it is the genuine year-end. Stock market participants would conclude market performance in past year and begin the project targeting upcoming year. Therefore, this article would take Chinese New Year as the […]

Analyze the source of portfolio performance Highlights Preface Portfolio’s performance is affected by many factors. It is not easy for us to clearly distinguish whether the performance is due to the rise in the market, the stock selection ability of traders, or the proper allocation of assets or industries? Therefore, we can use the performance […]

Backtesting and stock-picking strategy with machine learning Highlights Preface To put it simply, random forest is one of algorithms made up of many decision trees with the adoption of bagging and random sampling. Since it’s based on CART algorithm, it can handle both classification and continuous data. Other advantages such as its comparability with high […]

Does the weights setting affects the performance of the two-factor portfolio? Preface The common weights settings are equal-weighted and capitalization-weighted. The former treats all factors as the same, assigns equal weights to different factors, and synthesizes new factor values; the latter weights individual factors with capitalization-weighted to synthesize new factor values at first, assign different […]

Use algorithm to learn the investment factors and predict returns. Highlights Preface We talked about how to create new enviornment and install XGBoost last time. If you haven’t read it yet, please click this link. In this article we will make some preprocessing on data. Then train the model to predict the stock returns and try […]

To construct a portfolio based on Jim Slater’s principle Preface Jim Slater is one of the well-known U.K. investors. He used to write column articles of portfolio recommendation for Sunday Telegraph and was famous for earning around 68.9% return during the period between 1963 to 1965, while the U.K. stock market only grew at 3.6% […]

Stock screening from Buffett’s investing principles. Preface Warren E. Buffett is the person who has made the most money from stocks in the history of the world. He returned to Omaha in 1956 and started with $100. As of August 1999, his total personal assets have reached $36 B, becoming the second richest person in […]

Fulfill the investing strategy of Trinity Investment Management through python. Preface Trinity Investment Management, founded in 1974, was only provided investment research advice for investment institutional clients, and it has managed investment portfolios for clients since 1980. In 1999, it became a member of Oppenheimer Funds, Inc., one of the largest mutual fund and investment […]

Fulfill Roger E. King’ s investing strategy through python. Preface Roger E. King is a well-known value fund manager in the United States. He used to be the senior vice president and chief investment officer of Sun Insurance Services and senior vice president of GULFCO Investment Management. He founded King Investment Advisors Inc. in 1981. […]

Using Python to fulfill the investing strategy of Benjamin Graham meanwhile backtesting it in the Taiwan stock market. Preface — who is Benjamin Graham? We will introduce the defensive investing strategy which was created by Benjamin Graham — master of value investing. Benjamin Graham is the recognized pioneer of securities analysis. His first private fund […]