QuantRocket Blog

Exploratory Data Analysis of Fundamental Factors

Wed Jun 14 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

Wed May 31 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.

QuantConnect and the Financial Challenges of Democratizing Finance

Tue Nov 08 2022 by Brian Stanley

QuantConnect, a quantitative backtesting and trading platform serving mostly retail traders, recently announced a crowdfunding campaign seeking to raise money from its community of users. The company's associated regulatory disclosures (required by the SEC for equity crowdfunding offerings) reveal that the fundraising is a matter of survival. In this article, I explore what QuantConnect's financial statements reveal about the retail quant trading market.

What Comes After a Dead Cat Bounce?

Tue Dec 01 2020 by Brian Stanley

What happens after stocks suffer large one-day losses? This post finds that the proverbial "dead cat bounce" occurs overnight and is followed by continued losses the next day. Targeting international markets, I explore a trading strategy that aims to profit from the losses that follow a dead cat bounce.

A Primer on Survivorship Bias

Wed Nov 18 2020 by Brian Stanley

What is survivorship bias, and why should you care about it? This post explains how survivorship bias can trick you into drawing faulty conclusions from your research, and what you need to know to avoid being tricked.

3 Takeaways from Quantopian Shutting Down

Wed Nov 04 2020 by Brian Stanley

Quantopian announced that it is shutting down its community platform. This doesn’t entirely come as a surprise.

Should You Buy or Sell Stocks that Gap Down?

Wed Sep 02 2020 by Brian Stanley

What happens when strong stocks gap down at the open? A well-known trading strategy is to buy the gap, expecting mean reversion. This post uses Zipline to explore down gaps and finds a profitable strategy based on selling, not buying, the gap.

Intraday Futures Calendar Spreads and the Impact of Transaction Costs

Tue Sep 24 2019 by Brian Stanley

Intraday trading strategies offer great promise as well as great peril. This post explores an intraday trading strategy for crude oil calendar spreads and highlights the impact of transaction costs on its profitability.

Is Pairs Trading Still Viable?

Thu Aug 29 2019 by Brian Stanley

Classic pairs trading strategies have suffered deteriorating returns over time. Can a research pipeline that facilitates the identification and selection of ETF pairs make pairs trading viable again? This post investigates such a pipeline.

Hedging Long-Term Risk with an Intraday Strategy

Mon Mar 18 2019 by Brian Stanley

Do intraday strategies have a place in the portfolios of long-term investors and fund managers? This post explores an intraday strategy that works best in high volatility regimes and thus makes an attractive candidate for hedging long-term portfolio risk.