Hi all,

So back in the day, I used to be a research consultant for WorldQuant. During that time, I learned one style of StatArb. The gist of this style was that it was dollar-neutral and used a core alpha expression as its way to take long and short positions. And as noted in a paper I don't remember the title of, the set of dollar neutral strategies overlaps with the set of market neutral strategies well to the point that some will use the terms interchangeably. As shown in the attached backtest, dollar neutral strategies can produce betas closer to 0. 

Anyways, before I digress further, let me get to the point of this post:

  • I have followed a lot of what WorldQuant Virtual Research Center's backtesting platform did on top of LEAN. (See attached code)
  • I used an alpha expression that I know worked in WebSim (WorldQuant's Backtester), but it only consistently loses money. (-8ish Sharpe)
  • When this happened to me in WebSim I would simply put a negative sign in front of the alpha expression and it would flip the PnL graph over. But that doesn't work here.

 

So I would like to ask the community for both ideas and questions that will spur discussion. If we collectively get this system going, it could be another source of alphas for everyone.

I'm not so much worried about revealing this style of StatArb because the alphas that can be found with it are exceedingly plentiful.

If you would like to see some examples of the alpha expressions, see this paper:

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