Book of quantitative trading - reading notes of the man who conquers the market

Renaissance technology company established a fully automated trading system with little human intervention , To avoid greed 、 Trading losses caused by fear and other emotions ;

If trading is frequent enough , Then the outcome of a single transaction is not so important , As long as the transaction is large enough , Guarantee 51% If you can make profits, you can get objective income ; Trading is an advantage , Instead of simply making a single profit , And Dennis's ideas are the same , It shows that there is also a constant side in the changing market ;

The money making strategy of the grand medal fund is , Discover anomalies from historical prices , As long as the frequency of this anomaly is high enough , And statistically significant , It can be used as a trading signal , Don't think about the reasons behind it , Taking this opportunity, they found many opportunities that competitors could not find ;

Simmons identification is determined to build a high-tech trading system driven by algorithms , Or a computer program executed step by step ;（ agree without prior without previous consultation , This is what I want ！） He has a new goal is to build a complex 、 An automated trading system driven entirely by pre-set algorithms , A system that completely shields human intervention ;

Letting computers make decisions is exactly what Simmons wanted to do from the beginning , However, he still couldn't fully believe in this radical method .（ The human nature ） Simmons intellectually feels that he should rely entirely on models , But his newness doesn't seem to be fully recognized ;（ The human nature ）

The interview process of Renaissance technology companies is usually step-by-step ： Discuss your past achievements , Solve some challenging problems in design probability theory and other fields , Then see if the company has a suitable position .

The employees of the grand medal fund have found a money making strategy that has been proved effective by the data , In other words, it summarizes the three steps of finding transaction signals ： Identify abnormal patterns in historical price data ; Ensure that exceptions are statistically significant , Performance is consistent and not random over time ; See if the price performance related to it can be reasonably explained ;

For a while , Employees are mainly betting on patterns they can understand . Most of the anomalies are due to price 、 The correlation between trading volume and other market data , Or it is caused by investor behavior and other factors . One strategy that will last is to bet on price regression . The fact proved that , about 60% Product prices that suddenly rise or fall sharply will return , At least partial regression . This kind of regression strategy makes the grand medal fund in the market with volatility, especially in the market , When the price changes abruptly, but it has not returned yet, the profit is huge .

Outsiders don't quite understand , The real core of Renaissance technology company's success is that it can input all factors and forces into an automated trading system . The company buys a certain number of single signal combinations 、 Stocks with positive signals , And short or bet on stocks with negative signals , These are investment behaviors determined by thousands of lines of source code ;

Renaissance technology has a weak edge in thousands of simultaneous transactions , Accumulated is a considerable and stable 、 Advantages that can create great wealth . Or the key to these stable returns is , Factors affecting the trend of stocks and other investment varieties , It is much more complicated than any of the most experienced investors can understand .