Alpha ideas/quant trading books

[bcheema]

Hi Mike

I am in process of changing my career and figuring out how to break into quant trading . Please bear me with for Few minutes. I would really appreciate if you could help me some guidance.
I have an MBA, CFA and a bachelors computer engineering. I work years experience in valuation control of a US bank ( more of a mid office) .

My friend has just joined a quant fund and offered to help me if I can produce some nice alphas by August.

I have read these two books below and know the basics. The things I am looking for is a source to get ideas on alphas that I can start with and then add on using my own thinking . I don't have anyone to discuss with and need some starters like alpha ideas, working model papers etc.

Can please help me with giving some directions on the above. I know the stuff mentioned in the books but looking for more hands on applicable data. Please recommend some sources or some applicaitoon oriented books with more hand one alpha ideas in this field

Many thanks for your help


Finding Alphas: A Quantitative Approach to Building Trading Strategies, Igor Tulchinsky

Ernie Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business

 

[bcheema]

hi everyone

i will appreciate your help!

 

[Alexandre Chretien]

what kind of strategies do you want to use?

what asset and products do you want to trade?

do you need to trade live money or simply backtest your strategy on data?

I don't understand what it is that you want...

People are not just going to feed you a working strategy for free.

 

[bcheema]

Hi

I am looking at trading stocks (no derivs etc)
I understand and wasn't asking for a working strategy. I am not at that stage yet. I want to read up about basics of momentum, mean revrsion and strategies related to fundamentals.
I read up the books I mentioned but they don't have examples of alphas I could use as starting point.
I am looking for some good research papers or books that are more application oriented in terms of giving some starters. don't expect anyone to give me an alpha with a sharpe ration of 3 here
I am a beginner so need some help getting started

thanks a lot!

 

[bcheema]

I just backtest the strategies

 

[yetanotherquant]

Have a look at my book: Amazon.com: Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students (9783000465208): Vasily Nekrasov: Books
(some free chapters and all R-skripts are available on Visitor anti-robot validation)

You will neither find an out-of-box alpha in my book but I do show some indicators that has [historically] bitten the market and I do discuss backtesting.

 

[bcheema]

thanks I will check it out
the sample chapters do look like basic and not very application oriented though
pls keep the good suggestions coming

 

[tfors]

There are plenty of academic papers describing alpha discovered by academics, I don't know on top of my head. I don't know how useful they are in real life though.

 

[yetanotherquant]

the sample chapters do look like basic and not very application oriented

Then look at my fund "Somewhat better than DUCKS" vs. DAX
Lang & Schwarz AG O.End 15(15/unl.) WF999DUCKS - LS9HDK - Zertifikate | comdirect.de

And yes, first chapters are basic because you need a basis for your applications.

 

[yetanotherquant]

I don't know on top of my head. I don't know how useful they are in real life though.

Usually little. And if there is no initial data and the source code then they are useless (and actually harmful since they may come to wrong conclusions due to programming error, recall Reinhard and Rogoff case).

 

[Anupriya]

See if this helps:

A Simple Trading Strategy to Generate Execution Alpha

 

[zyz]

Read the Expected Returns

 

[bcheema]

thanks it looks good
I will order it

any other sites, blogs, books...