Karen Rubin - Building a Quantitative Trading Strategy To Beat the S&P500

Two years ago, Karen embarked on a project to learn how to research, write and trade algorithms to invest in the market. She re-learned python and explored what would happen if you invested in women-led companies over a 12-year period. In this talk, she will walk through the highs and lows of her journey from initial data gathering, through writing a strategy to validation and trading.

https://us.pycon.org/2016/schedule/presentation/1697/

Transcript

1. Quantopian.com Building a Quantitative Trading Strategy To Beat the S&P500
2. Quantopian.com Disclaimer Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice. More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian. In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
3. Quantopian.com VP of Product, Quantopian
4. Quantopian.com As of 2013, women….
5. Quantopian.com 12.9% of top management
6. Quantopian.com 12.7% of boards
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8. Quantopian.com
9. Quantopian.com What if you invested in female CEOs?
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12. Quantopian.com Jan 02 Dec 14 Any CEOs start? —-> BUY 500 Shares Any CEOs end? —-> SELL all Move to next day
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15. Quantopian.com 511% My Algorithm
16. Quantopian.com 511% My Algorithm 122% SPY 389% Difference
17. Quantopian.com
18. Quantopian.com Jan 02 Dec 14 Any CEOs start? —-> BUY Any CEOs end? —-> SELL Rebalance Move to next day
19. Quantopian.com
20. Quantopian.com 339% My Algorithm 122% SPY 217% Difference
21. Quantopian.com
22. Quantopian.com 339% My Algorithm 122% SPY 217% Difference
23. Quantopian.com and… Could it be…
24. Quantopian.com
25. Quantopian.com 320% My Algorithm 122% SPY 197% Difference
26. Quantopian.com
27. Quantopian.com What about sector bias?
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29. Quantopian.com 275% My Algorithm 122% SPY 153% Difference REDO GRAPH
30. Quantopian.com SPY is the wrong benchmark
31. Quantopian.com 339% My Algorithm 251% RSP Equal Weighted S&P500 122% SPY
32. Quantopian.com Female CEOs Male CEOs The sample size is too small.
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36. Quantopian.com 176% My Algorithm Eventvestor CEO Changes 103% My Algorithm Fortune 1000 86% RSP
37. Quantopian.com
38. Quantopian.com 176% My Algorithm Eventvestor CEO Changes 103% My Algorithm Fortune 1000 86% RSP
39. Quantopian.com In Sample Out of Sample What does your out-of-sample look like?
40. Quantopian.com In Sample Out of Sample What does your out-of-sample look like?
41. Quantopian.com In Sample Out of Sample What does your out-of-sample look like?
42. Quantopian.com 332% My Algorithm Fortune 1000 184% RSP 130% Difference
43. Quantopian.com Your benchmark is still wrong.
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45. Quantopian.com 332% My Algorithm Fortune 1000 299% Q1000 17% Difference
46. Quantopian.com Are you going to live trade this?
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49. Quantopian.com 229% Female CEOs Q1000 Eventvestor CEO Changes 91% RSP 138% Difference
50. Quantopian.com 229% Female CEOs Q1000 Eventvestor CEO Changes 89% RSP 151% Female CEOs Q2000 Eventvestor CEO Changes 275% Female CEOs Q500 Eventvestor CEO Changes
51. Quantopian.com 275% Female CEOs Q500 Eventvestor CEO Changes 46% Male CEOs Q500 Eventvestor CEO Changes 89% RSP
53. Recent 24 hour period of backtests. Red dots are location of people running backtests. ~75,000 registered users, ~1,000 daily active quants, 60% from outside the US. Global Community
54. Quantopian.com quantopian.github.io/zipline/ quantopian.github.io/pyfolio/ quantopian.com/femaleCEOs @karenrubin karen@quantopian.com
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56. Quantopian.com 267% My Algorithm 122% SPY 145% Difference REDO GRAPH
57. Quantopian.com THROUGH 2016
62. Quantopian.com 30% Female CEOs Q1000 Eventvestor CEO Changes 1.5% RSP 28.5% Difference
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64. Quantopian.com 1.52% Q1000 Seeded Eventvestor CEO Changes 1.48% RSP 0.04% Difference
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