QuantStart April 2016 News

This is a quick update to let the QuantStart community know what has been happening in the last few months as it has been an exciting time "behind the scenes" of the site.

Firstly, I spoke at the Quantopian QuantCon conference in New York last week. The conference was absolutely fantastic, with a brilliant speaker line-up and many fascinating talks. It was great to finally meet a lot of you in person and I believe everybody had a fun time. I want to thank John "Fawce" Fawcett, Kelly Elstrom and Thomas Wiecki in particular, as well as the rest of the Quantopian team and the volunteers that helped make the event really special. Emmanuel Derman and Manoj Narang put on exceptional keynote talks, and I also thoroughly enjoyed Andreas Clenow's primate-themed discussion!

Secondly, I wanted to update everyone about the current state of the new Advanced Algorithmic Trading book. Originally my goal with the book was to emphasise a good number of trading strategies using simpler, vectorised or "for-loop" style backtests in Python and R. However, I soon realised that the transaction costs associated with many of them would dramatically change the profitability of the strategies.

Hence, I decided, in order to allow a much more "real world" assessment of the strategies/portfolios described in the book, that I would work hard to get QSTrader, the open-source backtesting and live trading framework that I've started, to a point that the strategies in the book could be tested to a much higher degree of realism. While it has meant that the book has taken a little longer to write, it does mean that the results associated with the strategies will be far closer to what will be experienced in live trading, which is ultimately what we all care about!

I'm going to be making a partial update to the book within the next week (and I'll post again here when I do), which will contain some new content as well as discussion on the new backtesting system. In time, you will be able to use QSTrader and the strategies within the book to construct some realistic backtesting and live trading implementations.

I'd also like to mention that I'm beginning to see some great contributions to QSTrader, through Github, and if anybody else wants to contribute, then feel free to jump over to the QSTrader Github issues list and start suggesting improvements and/or submit pull requests.

As always, if anybody has any quant-related queries, then feel free to email feedback@quantstart.com and I'll get back to you as soon as possible.

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