2008 Jul 11 - Fri

Alpha Generation Platforms

Sometime ago, SmartQuant sold their QuantDeveloper code to QuantHouse. I now see in an article at Wall Street & Technology, QuantHouse listed as one of five vendors who have Alpha Generation Technology. QuantHouse must have done some additional work on the platform. QuantDeveloper definitely fit the defintion of a workflow platform:

• Data acquisition and preparation
• creation of the initial alpha discovery model
• back testing the model using historical data sets
• analyzing the results of back-testing and fine tuning the model
• simulation with live data
• coding the quant research model into production for the live trading environment

Alpha is defined as "excess risk-adjusted returns measured above a benchmark".

Key attributes of the packages reviewe included items such as:

• seamless integration with data sources and databases for rapid data capture
• transformation and storage for analysis
• ease of use in creating back testing and simulation environment
• detailed documentation of model creation process
• charting, reporting and visualization tools
• ease of integration with leading statistical packages
• offers a straight through processing feature that enables quants to move from idea generation to order generation in a reduced time frame
• offers a codeless environment for rapid strategy development

QuantDeveloper did offer up all those features but that last one. QD is actually a C# development environment disguised as an Alpha Generation Platform.

I'm not promoting or demonting QD here. I did use the package for a couple of years and have since migrated to a custom C++ platform, which I think, in the end, is going offer very similar capabilities. What with QuickFix tested against OpenFix, QuantLib for the math, and a myriad of other integrated abilites, it may just have a chance to be seen in the big leagues.

Yes I do spend much of my time day dreaming. But there is a drop of reality there somewhere.

As a side note, the article threw out a bunch of names. I'll have to follow up on what these do sometime: "real-time high performance databases such as Vhayu, KX and OneTIck. On top of that, analytics and statistical packages are required, such as MATLAB, S+ and R, as well as optimization tools like Northfield, BARRA, Morningstar, Ibbotson, etc., and EMSs/OMSs like Portware, FlexTrade, OrcSoftware, Aegis Software and Tethys, etc.".

[/Trading/SmartQuant/Articles] permanent link