Exploring Classic Quantitative Strategies
It provides a tutorial for readers seeking a deeper understanding of quantitative strategies, though it is incremental as it focuses on explaining existing methods rather than introducing new ones.
This paper explores classic quantitative strategies to demystify their underlying principles, deriving mathematical foundations from simple intuitions and illustrating them with examples using S&P500 and SH510300 datasets, but does not claim to suggest real market positions.
The goal of this paper is to debunk and dispel the magic behind the black-box quantitative strategies. It aims to build a solid foundation on how and why the techniques work. This manuscript crystallizes this knowledge by deriving from simple intuitions, the mathematics behind the strategies. This tutorial doesn't shy away from addressing both the formal and informal aspects of quantitative strategies. By doing so, it hopes to provide readers with a deeper understanding of these techniques as well as the when, the how and the why of applying these techniques. The strategies are presented in terms of both S\&P500 and SH510300 data sets. However, the results from the tests are just examples of how the methods work; no claim is made on the suggestion of real market positions.