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Ankit Garg Profile picture
@Ankit_Quant
Jun 18, 2022 • 8 tweets • 3 min read • Read on X
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#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)

• • •

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More from @Ankit_Quant

Ankit Garg Profile picture
May 31
Upcoming weekend is a special weekend for traders with several opportunities for traders.

With election results due on Tue 04-June, here is how the vol market is pricing the event, and what kind of trades may exist?

#Elections2024 #Nifty
As of EOD 30-May the market is pricing about 3% expected move in Nifty and 3.14% move in BankNifty. This is priced as 80% of (Straddle/Synthetic Fut).

More interestingly, the forward starting vol (after results) is roughly pricing only 19.5% fwd vol. Image
This clearly indicates that front week vols are elevated. But does that mean they are overpriced? Well that's a million dollar question. Isn't it?

Well, on average the vol is overpriced. By how much? That's a tough nut to crack. So let's look at 2019 elections data.
Read 10 tweets
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

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