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Ankit Garg Profile picture
@Ankit_Quant
Dec 18, 2022 • 14 tweets • 5 min read • Read on X
Scrolly
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
4. Quantitative Trading by Ernest Chan
@chanep
The two books by Ernie also provides basic foundations on types of strategies and approaches to quant and algo trading. Image
5. Algorithmic Trading by Ernest Chan
@chanep
The two books by Ernie also provides basic foundations on types of strategies and approaches to quant and algo trading. Image
6. Quantitative Momentum (Investing) by Wesley Gray & Jack Vogel
@alphaarchitect
Long Only Portfolio construction in stocks. Robust methods. Image
7. Active Portfolio Management by Grinold and Kahn
This has broader applications than just a simple portfolio. Learn to understand difference between skill and luck and how to quantify that. Image
8. ML for Algo Trading by Stefan Jansen @ml4trading (Advanced Level Book - not For beginners). Image
9. Trend Qualification and Trading by LA Little.
Introductory series for those coming from chart reading background. Image
10. Flash Boys by Michael Lewis
To understand how HFT change the markets and how it may change in future. Image
11. The Man who solved the market - Story of Jim Simons
Pure inspiration and background of what it may take to be successful in this business - lots of heartbreaks and failures. Image
12. Trading and Exchanges - An absolute must for any TRADER. This should ideally have been #1 on my list. But I just remembered it. Image
13. Adding this recent release to the list.

Advanced Futures Trading by @investingidiocy Image
14. This is one of the books that does not have trading systems or methods, but is a very good starter book to create statistically sound indicators for trading.

The algos in this are in C++, yet with modern day Python its fairly trivial to replicate.

Warning: not easy for non-stat/non-quant traders.

Statistically Sound Indicators - Timothy Masters

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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
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 18, 2022
#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
Read 8 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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