QuantRocket Blog

Cloud or Local: Where to Run Your Quant Trading?

Wed Nov 29 2023 by Brian Stanley

Is it better to run your quant trading in the cloud or locally? In this article, I outline the pros and cons of each approach and explain why running locally is often better for research while running in the cloud is better for live trading.

Market Cap vs Dollar Volume: Which to Use for Universe Selection?

Fri Oct 20 2023 by Brian Stanley

Market cap and dollar volume are two commonly used metrics for filtering a trading universe by size of security. Does it matter which one you use? In this post, I quantify the difference between market cap and dollar volume and explain the kinds of stocks that may unexpectedly appear in your universe with each metric.

Researching the Quality Factor with Alphalens and Zipline

Thu Sep 28 2023 by Brian Stanley

Buying high-quality stocks and avoiding low-quality ones can improve investment returns. In this post, I use Alphalens and Zipline to analyze the Piotroski F-Score, a composite measure of a firm's financial health and quality.

Financial Distress Factors: the Altman Z-Score and Interest Coverage Ratio

Thu Sep 07 2023 by Brian Stanley

Are rising interest rates straining balance sheets and increasing the risk of bankruptcies? This article investigates two financial distress factors, the Altman Z-Score and interest coverage ratio, to see if distress is on the rise and how it impacts stock returns.

Sector Neutralization: Why It Matters and How to Use It

Tue Aug 22 2023 by Brian Stanley

Sector neutralization is a technique to hedge out sector bets and reduce the impact of sector-specific risks on the portfolio by ranking factors within sectors rather than across sectors. This post uses the debt-to-equity ratio to show why sector neutralization is important and how to perform it in Pipeline.

Why Backtests Run Fast or Slow: A Comparison of Zipline, Moonshot, and Lean

Mon Jul 31 2023 by Brian Stanley

Backtest speed can significantly affect research friction. The ability to form a hypothesis and quickly get an answer from a backtest allows you to investigate more hypotheses. In this article, I explore several factors that affect backtest speed and compare the performance of 3 open-source backtesters.

What's Better, High Profit Margins or Improving Profit Margins?

Thu Jul 13 2023 by Brian Stanley

Should investors prefer companies with high profit margins or companies with improving profit margins? Is it better to own an unprofitable company that's getting better, or a profitable company that's getting worse? This post explores these questions by analyzing the profitability growth factor and how it interacts with the profitability and size factors to impact stock performance.

Analyzing the Profitability Factor with Alphalens

Wed Jun 28 2023 by Brian Stanley

How does a company's profitability affect its stock returns? In this post, I use Alphalens, a Python library for analyzing alpha factors, to investigate the relationship between operating margin, a profitability ratio, and future returns.

Exploratory Data Analysis of Fundamental Factors

Thu Jun 15 2023 by Brian Stanley

When researching fundamental factors, analyzing alpha shouldn't be your first step. You can save time and spot issues early by starting with a basic exploration of your factor's distribution and statistical properties, a process known as exploratory data analysis (EDA). This post looks at operating margin, a profitability ratio, to demonstrate what you can learn from exploratory data analysis.

How Python Type Hints Make Coding Easier

Thu Jun 01 2023 by Brian Stanley

You may have heard about Python type hints and wondered whether they're relevant to quants or only to professional software developers. In this article, I'll explain how QuantRocket's JupyterLab environment uses type hints to enable better auto-complete and in-editor documentation, and I'll explain when quants should use type hints in their own code.