QuantConnect’s Quant League Winner’s Circle: Laurent Crouzet
We started an Alpha Streams Quant League competition with $1,000 prize pools in March. The challenge for quants is to create algorithms that perform well over a 5-year backtest period, perform well in out-of-sample trading, and reconcile well with their backtests. You can trade any asset class or strategy. As there are funds with many different mandates using Alpha Streams, we wanted a competition specially designed to let you unleash your full creativity without worrying about specific themes or universes.
The submissions to Quant League Week 11 traded through September 27. The winner for the week was Laurent Crouzet (a multi-week champion). As always, we’re intrigued by the varying characteristics and viewpoints of our 110,000+ users, so we got a hold of Laurent to hear his story and experiences while trading.
(Editor’s note: Laurent is based in Morocco, and as he said during our video conference call, “It’s night time here in Morocco and everybody’s on Netflix.” So, our spotty connection necessitated some written answers as well — this interview is based on both that conversation and those written responses. Edited for length.)
QuantConnect: Can you tell us about your background? Do work or life experiences influence your trading?
Laurent: I went to school for business management and finance at EMLYON, in Lyon, France. I met my current business partner, Remy Heinis, during an internship I had in Morocco in 2003. He asked me to join his commodity pool operator work in Geneva, Switzerland, in 2004. There I began trading managed accounts focusing on futures and options on futures during U.S. market hours.
Later I delved into other assets like stocks, equity options, ETFs, and foreign exchange, and developed strategies for those assets. Since I did not have an IT background and I needed to automate strategies, I spent time learning to code almost from scratch, translating strategies in Excel/VBA to algorithms in VB.NET/C#, and, more recently, in Python.
What was unusual for me compared to my peers in France is that I went back to get my degree after already having started trading and being involved in the application and practice of finance, rather than just the theory.
QuantConnect: How did you find QuantConnect?
Laurent: My business partner Remy has always actively monitored new technologies. After Oanda announced live trading integration with QuantConnect, we thought that QC would be the best available tool to automate strategies for a fraction of the cost elsewhere. We didn’t want to waste time reinventing the wheel.
We started developing and backtesting new strategies on QC in 2018, began trading them on Interactive Brokers and Oanda accounts, and, later, contributed Alphas for licensing.
QuantConnect: How do you approach alpha generation? They say it is an art and a science — what do you see as the artistic elements of your algo development process?
Laurent: I do not think that developing trading strategies is an art — it is based on the scientific method. However, I do think that creativity is involved in the process: the more “ideas” you have to try to explain the available data, the more diversification you will have in your approaches.
I suppose some ideas have a poetic side. Many people want to find “golden ratios” or rhythms in the markets, but that is not part of my process.
QuantConnect: Do you have a moment in your history that you believe to be instrumental to your personal evolution as a quant?
Laurent: Discovering options was definitely a milestone. Instead of just alphas, betas — standard calculations —there was a whole new world of trading possibilities. It wasn’t just up or down, it was about sensitivities to greeks. For instance, delta neutral investing allows you to win even if the asset does not move, by just profiting from time decay or gamma hedging. Those sorts of endless possibilities in trading are alluring.
QuantConnect: Do you consider yourself to have a particular quant style/strategy/approach? Is there a particular instrument or market you find particularly fascinating? Why?
Laurent: We often say diversification is the only free lunch. So, actually, I try to follow as many approaches as possible and mix/allocate them the right way.
If I would have to pick a preference, it would be volatility. The most fascinating tradable instrument for me is options on VIX futures — a derivative of a derivative of a derivative.
QuantConnect: Is there a particular technological development that you think of as particularly exciting for trading? For the world in general?
Laurent: The main technological development of the last few years for me is blockchain. I am not yet sure how, or if, most cryptocurrencies will survive. But, the promise that almost everything or every concept can be tokenized and made into a market means more trading opportunities. And that is exciting!
Generally speaking, my imagination strays to the space industry because if we really want to think “down the line,” space is the most interesting.
If you have an urge to solve puzzles while learning and honing new skills in a community of like-minded people, check out our community of developers, engineers, and tinkerers.
And again, if you want to take a crack at the competition and the $1,000 prize pool, head here. We hope to see your alpha on the leaderboard!