Quantitative Trading: The Predictability Of Stock Markets

Tomer Solel is a Financial Analyst at I Know First. He graduated from Cal Poly Pomona with a bachelor's degree in applied mathematics. Quantitative Trading

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Quantitative Trading Strategies for European Stocks

In the following, we analyze the performance of our “European Stocks” Package by evaluating quantitative trading strategies which invest on a daily basis in the European stocks selected by our AI system and can easily be recreated by using the daily forecasts provided to clients. We show that the I Know First algorithm’s signals including the costs of bid-ask spreads and commissions results in a high-performing trading strategy with excellent statistics:
  • Returns of up to 128% in a 2-year time period
  • Alphas over 20%
  • Betas below 0.15
  • Sharpe ratios reaching 1.4
ETF Strategy

Quantitative Trading Based on Machine Learning: Highest Return of 51.08% in 1 Month

top 10 stocksPackage Name: Small Cap Stocks
Forecast Length: 1 Month (05/29/16 – 06/29/16)
I Know First Average: 7.44%

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Quantitative Trading

Quantitative Trading: Average Return of 9.11% (Long) and 44.21% (Short)

Package Name: Tech Stocks
Forecast Length: 3 months (8/23/15 – 11/23/15)
I Know First Average: 9.11% (Long), 8.67 (Short)

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Quantitative Trading

Quantitative Trading: Up To 34.19% Return In 30 Days

Package Name: Risk-Conscious
Forecast Length: 1 Month (9/4/2015 - 10/4/2015)
I Know First Average: 5.91% (long) & 4.52% (short)

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quantitative trading

Quantitative Trading: Up To 54.79% Return in 14 Days

Package Name: Stocks Under 5 Dollars
Forecast Length: 14 Days (8/24/2015 - 9/7/2015)
I Know First Average: 13.19%

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Quantitative Trading

Quantitative Trading: Up To 32.21% Return In 3 Days

Package Name: Stocks Under 5 Dollars
Forecast Length: 3 Days (8/23/2015 - 8/26/2015)
I Know First Average: 6.82% (Long); 2.99% (Short)

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Quantitative Trading

Quantitative Trading: Returns of up to 31.48% in 7 Days

Package Name: Stocks Under 5 Dollars
Forecast Length: 7 Days (7/28/2015 - 8/04/2015)
I Know First Average: 6.93% (Long); 9.02% (Short)

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Quantitative Trading
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