QuantiPy

Ishan Shah

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 Outline
• Quant Strategy Workflow
– Data Gathering
– Screening
– Alpha Generation
– Performance Analysis
• Modular Programming

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 Quant Strategy Workflow

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 Data
• All quant strategies start with data
• Which dataset contains the information I need to predict future returns?
Example
Price series: Open, High, Low, Close, and Volume
Source: Quantra Blueshift, Quandl, your broker etc.

Fundamental: Valuations, Income Statement, Cash Flow Statements, Earnings

Calendar, Broker ratings, Analyst estimates, etc.
Source: Morningstar etc.

Sentiments: Trader mood

Source: stocktwits and PsychSignal

Legal, Regulatory, and Economic: Inflation rate, GDP, Fed meeting dates, etc.
Source: EventVestor

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 OHLCV Data Example
1. Open data.py file
2. if the module nsepy is not available then
!pip install nsepy
3. Write a code to fetch data from nsepy

# Import get_history function from nsepy

from nsepy import get_history

# Fetch the data

data = get_history(symbol=inst_name,
start=start_date,
end=end_date)
# Return Open, High, Low, Close, and Volume columns
return data[['Open','High','Low','Close','Volume']]

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 Fetch Data
1. Open check_data.py
2. Write a code to fetch OHLCV data for HDFC and store it in data

# Fetch Data
from data import get_stock_data
data = get_stock_data('HDFC', start_date, end_date)

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 Screens
• In this step, you screen out instruments which you don’t want to be part of your
portfolio
Example
– Penny stocks
– Low liquidity
– High volatility

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 Alphas
• Define the hypothesis which can predict future returns

Sell in May and go way

January effect
If the market rises for two days then it will continue to rise
Buy and hold quality stocks
Mean-reversion
Trend following

• Create an expression for your hypothesis

moving average 2 days > moving average of 7 days then buy and vice-versa

• Combine the Alphas (as single alpha factor won’t be sufficient)

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 Analyze the performance
• Analyze the performance of the strategy
Example

Sharpe Ratio
Returns
Volatility
Sortino Ratio
Max Drawdown

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 Options Trading Strategy
• Strategy:
– Short straddle before earnings announcement and square off after that.
• Rationale:
1. This strategy aims to exploit the implied volatility pattern observed before the
earnings announcement.
2. Before earnings announcement, there is a great amount of uncertainty
3. Because of this uncertainty,
1. the implied volatility of the options rises as the earnings announcement
date approaches and
2. drops sharply after the earnings are announced

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 Options Trading Strategy
• Define a function to get options data using NsePy
• Define the parameters required for strategy
• Define Alpha
• Compute returns

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 Thank you!

Ishan Shah

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