This is the surprise: Finding a trading idea is actually not the hardest part of building a quantitative trading business. There are hundreds, if not thousands, of trading ideas that are in the public sphere at any time, accessible to anyone at little or no cost. Many authors of these trading ideas will tell you their complete methodologies in addition to their backtest results. There are finance and investment books, newspapers and magazines, mainstream media web sites, academic papers vailable online or in the nearest public library, trader forums, blogs, and on and on.


类型 网址
Business schools’ finance professors’ websites www.hbs.edu/research/research.html
Social Science Research Network www.ssrn.com
National Bureau of Economic Research www.nber.org
Business schools’ quantitative finance seminars www.ieor.columbia.edu/seminars/financialengineering
Buttonwood column in the Economist magazine’s finance section www.economist.com
Financial web sites and blogs  
Yahoo! Finance finance.yahoo.com
TradingMarkets www.TradingMarkets.com
Seeking Alpha www.SeekingAlpha.com
TheStreet.com www.TheStreet.com
The Kirk Report www.TheKirkReport.com
Alea Blog www.aleablog.com
Abnormal Returns www.AbnormalReturns.com
Brett Steenbarger Trading Psychology www.brettsteenbarger.com
本书作者 epchan.blogspot.com
Trader forums  
Elite Trader www.Elitetrader.com
Wealth-Lab www.wealth-lab.com
Newspaper and magazines  
Stocks, Futures and Options magazine www.sfomag.com

No, the difficulty is not the lack of ideas. The difficulty is to develop a taste for which strategy is suitable for your personal circumstances and goals, and which ones look viable even before you devote the time to diligently backtest them. This taste for prospective strategies is what I will try to convey in this chapter.




  • 你的工作时间
  • 你的编程技能
  • 你的交易资本
  • 你的目标



  • 这个策略和基准比较表现如何?它的回报有多持久?

    Though a strategy may have the same average return as the benchmark, perhaps it delivered positive returns every month while the benchmark occasionally suffered some very bad months. In this case, we would still deem the strategy superior. This leads us to consider the information ratio or Sharpe ratio (Sharpe,1994), rather than returns, as the proper performance measurement of a quantitative trading strategy.


$ Information Ratio = \frac {Average of Excess Returns}{Standard Deviation of Excess Returns}$

$ 信息比率 = \frac {超额收益率的均值}{超额收益率的标准差}$

(其中:超额收益率 = 组合收益率 - 基准收益率)

As a rule of thumb, any strategy that has a Sharpe ratio of less than 1 is not suitable as a stand-alone strategy. For a strategy that achieves profitability almost every month, its (annualized) Sharpe ratio is typically greater than 2. For a strategy that is profitable almost every day, its Sharpe ratio is usually greater than 3.


  • 下挫有多深多久?


  • 交易成本如何影响策略?


  • 数据是否存在生存者偏差


  • 为什么策略的业绩过几年会发生改变?


  • 策略是否收到数据范围偏差影响?


  • 策略是否在基金经理的盲区

you should look for those strategies that fly under the radar of most institutional investors, for example, strategies that have very low capacities because they trade too often, strategies that trade very few stocks every day, or strategies that have very infrequent positions.