It’s almost been a year I started working as a self-employed quant trader. I’ve been learning, researching, and coding most of the work time, then I invest to the rest of my time to taking care of families and tried to have quality time with them during this COVID year. Even though I broke my knee ligament while playing basketball and rest on the bed for almost two months, I’m still coding and refactoring my automatic trading framework in order to ready to dry run my next ready-to-go strategy.
However, I think I owe myself a transcript of the year to make sure I haven’t slacked off in this past year. Also, I need to set up a few goals in the new year.
AI for trading nano degree from Udacity
May 2020 ~ Aug 2020
I have spent more than two months studying for this nano degree and tried to leverage this as a base stone to start this new career. Terms, jargon, techniques, financial knowledge, AI frameworks…, lots of information that have been studied. Now I recall, I’m still too green to dive in with one online session. But I’m glad I took the lessons as the knowledge I picked up is starting to make sense to me gradually day by day.
Blog for research and strategy
Nov 2020 ~ present
Reading Medium has been one of my daily routines to absorb up-to-date knowledge. Soon I found out that people can actually make money by writing articles and publish on the platform. Then a thought stroke me, that maybe I can develop my second income stream other than my trading strategies by publishing what I have discovered and learned. Therefore, this blog was developed as a repository of the research articles and will start publishing to the platform later this year.
Tools for managing projects and progress
Aug 2020 ~ present
As a former project manager, I like my tasks to be well-described, well-thought, and visible when tasks are on the Kanban board. After all the tools that I have used in the past few years, Github is still one of the most easy-to-use tools for managing task progress.
There are two more extensions that I’m in love with while viewing source code:
- Sourcegraph: It’s a chrome extension specifically for Github. With this extension, viewing source code on Github would be much easier.
- github1s: This is also an extension for you to read the source code on Github in VS Code like interface. How cool is that!!
The researches completed
Sep 2020 ~ present
These are the four strategies that I’ve been working on in the past year:
- An investment strategy that takes you three days a year
- This strategy was my first strategy which is based on the magic formula developed by Joel Greenblatt, but the strategy duration was way too long to harvest. Therefore I decided not to run this on my one and only TD Ameritrade account.
- How to save your silver bullets with MACD strategy?
- This is the first momentum strategy and the only strategy that is running. I’ll disclose the result later.
- Experiment of Turtle trading strategy
- This is more of an experiment on a traditional turtle strategy. The outcome didn’t look good on the stock market, so I leave it as a research result and will not run this strategy.
- 【Factor analysis】 Vol. 1. Introduction the idea of factor analysis
- This strategy turns out quite impressive. The return from the backtest grows very steady. I’ll start running this strategy on another stockbroker account.
After all these works, I found out that there are more tools that I need to build in order to pull off a more comprehensive research. Backtest, factor library, a visualized interface, … etc. Also, there is too much time spent on working on not profitable strategy. An insight that helps me to find out the inherent value of a strategy before investing time in it would be beneficial.
MACD strategy report as of today(2020/11/16 ~ 2021/04/14)
Sep 2020 ~ Nov 2020
MACD strategy is the only up and running strategy that I have so far. Below is the pnl table since the strategy has been run since Nov 2020:
| # of win trade | # of lost trade | # of opening position |
|---|---|---|
| 12 | 10 | 10 |
| Overall return in % | Realized return | Unrealized return | Entry cost | Dividend & interest |
|---|---|---|---|---|
| 9.12% | -$115.41 | $3766.8 | -$23.91 | $83.82 |
By looking at the table above, the realized return doesn’t seem to do well. Most of the profits are concentrating in the opening positions. But if you look at the line chart below, it’s easier to understand why:
The strategy actually went pretty ok in the beginning. We can even outperform the Nasdaq index for 2+ months. However, the big setback occurred when the MIME stock rising up and remove all the gain in March. Therefore, the hedge part of this strategy is not yet well-developed in this case. All in all, my plan is to run the S&P 500 premium strategy that I stated in the article here and retire this MACD strategy. Apparently, this MACD strategy needs a closer look and then it’ll be ready to be released to the market again.
Future plan
There are a couple of things that I would like to do in the next year:
More accounts to run various strategies
By far, I have only one account with me to run the strategy with. Here are a few brokers that are API supported: futuniuniu, and Interactive broker. With more accounts, I would be able to run more strategies.
Dig in to option strategy
Option would be the next realm that I would like to go into. Option seems to be a good choice if I want to do arbitrage trading. Also, if careful enough, option would also increase the leverage ratio for using cash.
Start applying the machine learning framework to research
Machine learning is always the holy grail for quant traders. Quant traders not just use it to predict future stock prices, but can also be used for processing other complex data. It’s going to be very useful to get familiar with this technology.
Read more books
I have read only one book called Quantitative Trading Strategies by LARS KESTNER. The book does throw a lot of ideas and thoughts in my head. So I’m planning to spare more time to read in the next year.
Conclusion
That’s all for the year.
My knee is still killing me. I have to lie in bed and spent 4+ hours per day for rehabilitation. I’m really looking forward to getting better and work more soon enough.
