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Quant Workflow PDF

The document outlines the key steps in a typical quantitative trading workflow, including defining the investment universe, researching and testing alpha factors, combining factors, constructing portfolios subject to risk models and constraints, backtesting portfolio performance, and implementing strategies through an execution system. The workflow utilizes external data sources, datasets, and open APIs to research factors and conduct backtesting and optimization.

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Matheus Augusto Campos Pires
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227 views1 page

Quant Workflow PDF

The document outlines the key steps in a typical quantitative trading workflow, including defining the investment universe, researching and testing alpha factors, combining factors, constructing portfolios subject to risk models and constraints, backtesting portfolio performance, and implementing strategies through an execution system. The workflow utilizes external data sources, datasets, and open APIs to research factors and conduct backtesting and optimization.

Uploaded by

Matheus Augusto Campos Pires
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Legenda

External data
The Quant Workflow Database Construction

Zipline
Bloomberg Quantopian

Zipline Opt.
Datasets

Pyfolio Open APIs (e.g.


Research / Pipeline W16 Yahoo, Google,
FinnHub)
Alphalens

UNIVERSE
DEFINITION Optimization

OBJECTIVE
RISK MODEL CONSTRAINTS
FUNCTION

ALPHA 1 ALPHA 2 ALPHA 3 ... ALPHA N

ALPHA
Ready to Backtest
Idea Sourcing COMBINATION
backtest?

PORTFOLIO
CONSTRUCTION

PRIOR
PORTFOLIO
Execution System Yes Implement? Backtest Results Trade List

Loop every f periods

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