Quant Strategies Implemented by the Quantopian Community

This post was originally featured on the Quantopian Blog and authored by Dr. Jess Stauth.

Last week I gave a quant finance meet-up talk at the Hacker Dojo in Mountain View, CA. The format was inspired by some analysis I did on the types of algorithms shared and cloned in the Quantopian community – initially I wanted to ask: What are the most popular strategies coded up on Quantopian? To answer this question I ranked all public forum posts three ways, first on number of replies, second on number of views, and third on number of times cloned. I averaged these scores and re-ranked the list to come up with the top 25 ‘Most popular posts of all time’. (NB: I did not do any correction for the date of the original post, so the amount of time the thread has been alive has not been normalized.)


1	Google Search Terms predict market movements	64	32121	821
2	OLMAR implementation - fixed bug	64	26216	701
3	Easy Volatility Investing by Tony Cooper @ Double-Digit Numerics	57	15211	846
4	discuss the sample algorithm	16	18701	2930
5	Global Minimum Variance Portfolio	28	10230	702
6	ML - Stochastic Gradient Descent Method Using Hinge Loss Function	10	20421	973
7	Mebane Faber Relative Strength Strategy with MA Rule	22	11199	622
8	OLMAR w/ NASDAQ 100 & dollar-volume	31	7766	701
9	Using the CNN Fear & Greed Index as a trading signal	22	9914	367
10	New Sample Algorithm	33	8336	328
11	Bollinger Bands With Trading	18	8390	566
12	Brent/WTI Spread Fetcher Example	17	10892	327
13	Ernie Chan's Gold Pairs Trade	15	10420	329
14	Ranking and Trading on "Days to Cover"	4	24976	384
15	Determining price direction using exponential and log-normal distributions	9	9781	624
16	Time to "sell in may and go away"?	27	8231	263
18	Simple Mean Reversion Strategy	6	11861	275
19	Neural Network that tests for mean-reversion or momentum trending	4	10101	407
20	Momentum Trade	5	8816	457
21	Using weather as a trading signal	6	8816	199
22	Global market rotation strategy	53	7629	95
23	trading earnings surprises with Estimize data	34	7506	130
24	Trading Strategy: Mean-reversion	13	8252	216
25	Turtle Trading Strategy	11	8012	318
	TOTALS:	569	306940	13581

Starting from this list, I worked backwards and used examples from the Quantopian community to introduce 5 basic quant strategy types: Mean Reversion, Momentum, Value, Sentiment and Seasonality. While this list is not technically ‘mutually exclusive and collectively exhaustive’, it covers a large fraction of intraday to lower frequency quant strategies and provides a good overview of the way equity focused quants think about predicting market prices. I went back to my Top 25 list and categorized each algo into one of these five buckets and then created this pie chart based on the aggregated number of views for each strategy type.

There are a number of interesting conclusions to be drawn from this initial overview of community activity. Perhaps the most obvious and predictable of these is that price based strategies are currently in the lead by a large margin – due, I expect, to the easy access to minute-level equity pricing and the accessibility of the logic for momentum and mean-reversion. Indeed there were no value-based strategies that made their way into the Top 25 – which in my view represents a key opportunity space right now.

More subtle and, from my admittedly biased point of view, more compelling is the diversity and quality of content and collaboration in the public sphere. Having joined the Quantopian team from a large corporate setting working with a small group of institutional clients, seeing that the Top 25 algos have been cloned over 13,000 times, an average of over 500 clones per strategy is… well it’s pretty damn cool.

Below you can find the slide deck from my presentation:
DIY Quant Strategies on Quantopian from Jess Stauth.