

Quant Strategies Implemented by the Quantopian Community - jstauth
http://blog.quantopian.com/5-basic-quant-strategies-implemented-by-the-quantopian-community/

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this_user
Quite a few of these strategies appear to be underperforming their benchmark
index. Some others are known to not work anymore like the 'Turtle' system or
only work under special circumstances like the gold/gold miner arbitrage
(requires sufficiently high crude oil prices). I haven't checked this in
detail, but I would also be very wary of curve fitted backtest results that
won't hold up for future market movements.

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frankc
Total returns versus the benchmark is not the only important measure. For
instance, the minimum variance strategy visibly underperforms its benchmark
but it has way lower volatility and fewer drawdowns. These are more important
in the real world where you are likely to be heavily levered.

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jfasi
See what I'd like to see is a strategy that computes the consensus view of all
those strategies.

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yelnatz
Build a random forest with all these quant algorithms as the decision trees?

I wonder how good that'd be.

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danielharan
My guess: over-fitted. It will make money until it explodes.

