Arbitrage-Stats

[Hammy]

Hy there

I'm new to this forum and have several questions:

a) I found quantpedia.com and am now wondering, if it is common in the industry to uses this site for strategy development?

b) I'm currently working as quant with an asset manager in Switzerland. BUT: I've only a bachelors degree in economics (with a major in finance) and am very faszinated by the more complicated stuff like hidden markov chains and so on. I'm therefore wondering, if I should apply for some kind of MFE program (ETH Zurich). My "dream" would be to develop trading strategies that will be applied in daily business. I'm not quite sure if such a programm would teach me such things (the emphasis is mostly on derivatives & portfolio management). In addition (if I look at the add from baruch on top of the site) I currently earn much more than is promised to earn after graduating.
Therefore, If you were in my position (and 24y old), what would you decide (and why)?

c) I read through several working papers and worked out an investment strategy (not a trading strategy) on a weekly basis with the following stats (monthly * 01/2005-11/2011):
mean (ann.): 17.8%
deviation (ann.): 12.4%
skew: 3.8
ex-kurtosis: 19.06
#pos months: 57
#neg months: 27
best return: 23.16%
worst return: -3.68%
mean return (if positiv): 2.62%
mean return (if negativ): -0.90%

yearly returns:
2005: +5.40%
2006: + 5.00%
2007: +9.00%
2008: +46.6%
2009: + 25.6%
2010: +6.2%
2011: + 24.8%

As I said, I'm not very professional in doing this. If you would have maintained such stats, would you go for it?

Thanks a lot for your answers and please apologize my English.
Regards

 

[Andy Nguyen]

a) I found quantpedia.com and am now wondering, if it is common in the industry to uses this site for strategy development?

Quantpedia.com was created on March 2011 so not many people know about it.
That idea is not new http://www.alphaquantclub.com/

 

[vincegata]

Quantpedia.com - sneaky bastards

First they get you to register and then welcome with $299 - 3/month subscription or $499 - year subscription.

 

[Hammy]

That's exactly why I want to know if someone made experience with that site? If you could gerenerate cash flows from these strategies then 499$ don't matter. But if it's useless I'll spend the money for some beers... Do you use such sites for idea generation?
Any suggestions on the other 2 questions?

 

[Alexander Krosky]

yearly returns:
2005: +5.40%
2006: + 5.00%
2007: +9.00%
2008: +46.6%
2009: + 25.6%
2010: +6.2%
2011: + 24.8%

Regards

Years 2008-2011 are off the charts. Can you please elaborate about your backtesting framework. What were your backtesting assumptions?

 

[Hammy]

Well I did the whole thing in Excel (with little VBA) since the strategy isn't very technical. My assumtions are, that I can buy the closing (+0.25% if I'm going long / -0.25% if short). These 25BP should be enough to include fees, slippage and spreads. Why should 2008-2011 be off the charts? I did some further testing:
2000: +18.55%
2001: +14.58%
2002: +25.2%
2003: +13.99%
2004: -7.44%