Share this page!

Enter URL or ID to Unroll

You can paste full URL like: https://x.com/threadreaderapp/status/1644127596119195649
or just the ID like: 1644127596119195649

How to get URL link on X (Twitter) App

  1. On the Twitter thread, click on or icon on the bottom
  2. Click again on or Share Via icon
  3. Click on Copy Link to Tweet
  4. Paste it above and click "Unroll Thread"!
  5. More info at Twitter Help
Ankit Garg Profile picture
@Ankit_Quant
Jun 18, 2022 • 8 tweets • 3 min read • Read on X
Scrolly
#BookRecommendations for beginners in the world of systematic/quantitative trading and investing. Will add more with time.

Retweet/Share with anyone who might benefit.

In no particular order -

1. Systematic Trading by Rob Carver @investingidiocy Image
2. Expected Returns by Antti Ilmanen Image
3. Inside the Black Box - Rishi Narang Image
4. Quantitative Trading by Ernest Chan @chanep Image
5. Algorithmic Trading by Ernest Chan @chanep Image
6. Quantitative Momentum (Investing) by Wesley Gray & Jack Vogel @alphaarchitect Image
7. Active Portfolio Management by Grinold and Kahn

8. ML for Trading (Advanced)

• • •

Missing some Tweet in this thread? You can try to force a refresh
　

Keep Current with Ankit Garg

Ankit Garg Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @Ankit_Quant

Ankit Garg Profile picture
Dec 25, 2023
📢Alert: Seasonality Strategy (With Code)

Santa Claus Rally 🎅

Is a well known and documented effect in indices across the globe.

Rules:
Long 5 Days before End of Year.
Exit 2 Days into Jan.

Here I explore multiple combinations of entry exit on NIFTY/BANKNIFTY 👇
First of all - Summary Results for Nifty and BankNifty.

Obvious takeaway is that if we Long 6 Days before Year End, the results are better historically. Exit into 3 days of Jan also seems to have better results.
Image
Image
Combo 1: 4x2 => 4 Days Dec Entry, 2 Day Jan Exit

Nifty Data 2008 onwards.
BN Data 2010 onwards.

Results (Total Return, Win Rate, Avg Return):
NF: 22.91% , 80.00% , 1.40%
BN: 11.88% , 76.92% , 0.88%Image
Image
Read 13 tweets
Ankit Garg Profile picture
May 10, 2023
"Elements of Quantitative Strategy Design"

This is from a Jul-2020 webinar that I did with @vihan13singh, when I barely had 500 followers.

I bet most of my network would have not had a chance to watch this.

Adding links below for anyone interested to watch.
1/5 Image
Part 1 - USDINR - No Brainer Strategy

Talks about FX markets, USDINR mechanics, a simple USDINR straddle strategy.

2/5
Part 2

Goes into exploring quantitative approaches to trading. Introduces NEMESIS strategy and then optimizes it using Mean-Variance Technique.

3/5
Read 5 tweets
Ankit Garg Profile picture
Dec 18, 2022
Re-doing my #BookRecommendations for beginners in the world of systematic/quantitative trading and investing as recently received several Qs.

Retweet/Share with anyone who might benefit.

In no particular order -
1. Systematic Trading by Rob Carver
@investingidiocy Image
2. Expected Returns by Antti Ilmanen. This book shares expected sources of returns from past. not that one may find those now. He also featured on @choffstein podcast - "Flirting With Models". Worth a listen. Image
3. Inside the Black Box - Rishi Narang
This is essentially talking about all moving parts that may be needed for an algo trading set up. Image
Read 14 tweets
Ankit Garg Profile picture
Jul 5, 2022
Macro Analysis of FX. Putting my erstwhile FX trader hat on to analyze what is happening with global markets.

I see the #CrudeOil move, #EURUSD move as a flight to safety move into USD.

I'm trying to explain the causation of flow in below thread 🧵

1/n
What all is losing ground against #USD?
#CrudeOil 🔻8.32%
#EURUSD 🔻1.77%
#GBPUSD 🔻1.49%
#Gold 🔻2.1%
#BTC 🔻2.7%

All these are being sold against USD. The money doesn't leave the system. So where does it go?

In risk-off environment it goes to safe havens such as:
2/n
#USD, #CHF, #JPY, Long-Dated US bonds (30Y) & #GOLD.

While some G10 FX pairs have lost upwards of 1.5%, both safe-haven currencies of JPY(🔻0.11%) and CHF (🔻0.89%) are seen relatively stable when compared to other G10.

US30Y Yields are down (bonds are up) by🔻4%.
3/n
Read 7 tweets
Ankit Garg Profile picture
Jun 1, 2022
I am going to take liberty and expand with book names on some very fine recos by Roy. All books available on Amazon.

1. Sheldon Natenberg
2. Euan Sinclair
3. Colin Bernett
Read 8 tweets
Ankit Garg Profile picture
Sep 1, 2021
No Matter how many algos I hv created in past, evry time I bring a new algo to LIVE trading-I'm jittery. That is the human side of Quant Trading. We build robots/systems – but ourselves are humans with same apprehensions and self-doubt as anyone else. A 🧵of my learnings 👇: 1/n
from bringing #QUICKSINGLES to research stage to LIVE Investor Deployment. It has hit a new ATH today and now has had 60 trades to it on LIVE Trading. Some background of research and approach first: 2/n
I had bt this strategy and associated robustness testing was completed in Mar-21. For the first time I was experimenting with a pure Data Driven strategy research (it had no hypothesis when I started my research). I was skeptical of my BT and kept on finding ways to break it. 3/n
Read 15 tweets

Did Thread Reader help you today?

Support us! We are indie developers!

This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Don't want to be a Premium member but still want to support us?

Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal

Or Donate anonymously using crypto!

Ethereum

0xfe58350B80634f60Fa6Dc149a72b4DFbc17D341E copy

Bitcoin

3ATGMxNzCUFzxpMCHL5sWSt4DVtS8UqXpi copy

Thank you for your support!

Follow Us!

Send Email!

:(