https://xuquant.com/categories/quantitative-trading/Recent content in Quantitative Trading on Xu'Bloghttps://xuquant.com/images/profile.jpghttps://xuquant.com/images/profile.jpgHugo -- 0.152.2enSun, 13 Apr 2025 10:00:00 +0800https://xuquant.com/posts/strategies/basic_spread_strategy/Sun, 13 Apr 2025 10:00:00 +0800https://xuquant.com/posts/strategies/basic_spread_strategy/Principles of spread trading execution with price-level order management, covering two-leg execution, leg-out risk, and time-based filteringhttps://xuquant.com/posts/strategies/statistical_arbitrage_strategy/Sun, 06 Apr 2025 10:00:00 +0800https://xuquant.com/posts/strategies/statistical_arbitrage_strategy/A rigorous treatment of statistical arbitrage via Bollinger Band mean reversion on spread, covering cointegration theory, spread modeling, and the risk of non-reversionhttps://xuquant.com/posts/strategies/turtle_signal_strategy/Sun, 30 Mar 2025 10:00:00 +0800https://xuquant.com/posts/strategies/turtle_signal_strategy/A rigorous analysis of the Turtle Trading Rules: mathematical definitions of Donchian Channel breakout, derivation of ATR-based position sizing and pyramiding logic, and risk control principles of the 2-ATR stop-loss rule.https://xuquant.com/posts/strategies/strategy-analysis-01-atr-breakout/Sun, 23 Mar 2025 10:00:00 +0800https://xuquant.com/posts/strategies/strategy-analysis-01-atr-breakout/Mathematical derivation of the ATR indicator, full implementation of the volatility breakout strategy, backtesting validation, and practical deployment considerationshttps://xuquant.com/posts/strategies/multi_timeframe_strategy/Sun, 23 Mar 2025 10:00:00 +0800https://xuquant.com/posts/strategies/multi_timeframe_strategy/A principled analysis of multi-timeframe resonance: mathematical framework for phase alignment across frequencies, and the statistical basis for combining trend filters with timing signals.https://xuquant.com/posts/strategies/multi_signal_strategy/Sun, 16 Mar 2025 10:00:00 +0800https://xuquant.com/posts/strategies/multi_signal_strategy/A mathematical framework for combining multiple CTA signals via linear weighting and majority voting, with analysis of inter-signal correlation and overfitting risk.https://xuquant.com/posts/strategies/dual_thrust_strategy/Sun, 09 Mar 2025 10:00:00 +0800https://xuquant.com/posts/strategies/dual_thrust_strategy/A formal treatment of the Dual Thrust intraday breakout strategy, with emphasis on its asymmetric range construction and the mathematical implications of K1/K2 skew.https://xuquant.com/posts/strategies/king_keltner_strategy/Sun, 02 Mar 2025 10:00:00 +0800https://xuquant.com/posts/strategies/king_keltner_strategy/A Keltner Channel breakout strategy with OCO order management and a comparative analysis of Bollinger Bands vs. Keltner Channel bandwidth computationhttps://xuquant.com/posts/strategies/boll_channel_strategy/Sun, 23 Feb 2025 10:00:00 +0800https://xuquant.com/posts/strategies/boll_channel_strategy/A volatility-based trend strategy combining Bollinger Band breakout with CCI trend filtering and ATR chandelier stophttps://xuquant.com/posts/strategies/atr_rsi_strategy/Sun, 16 Feb 2025 10:00:00 +0800https://xuquant.com/posts/strategies/atr_rsi_strategy/An in-depth analysis of the ATR-filtered RSI breakout strategy, examining the mathematical foundations of volatility filtering, momentum oscillators, and trailing stop optimization.https://xuquant.com/posts/strategies/double_ma_strategy/Sun, 09 Feb 2025 10:00:00 +0800https://xuquant.com/posts/strategies/double_ma_strategy/A rigorous analysis of the dual moving average crossover strategy, covering mathematical formulation, statistical properties, and the structural vulnerability of trend-following systems in mean-reverting regimes.https://xuquant.com/posts/strategies/%E5%88%A4%E6%96%AD%E5%B8%82%E5%9C%BA%E9%A3%8E%E5%90%91%E6%8C%87%E6%A0%87/Sun, 02 Feb 2025 10:00:00 +0800https://xuquant.com/posts/strategies/%E5%88%A4%E6%96%AD%E5%B8%82%E5%9C%BA%E9%A3%8E%E5%90%91%E6%8C%87%E6%A0%87/A rigorous examination of how ATR, Bollinger Bands, ADX, and RSI can be composed into a coherent regime detection framework for distinguishing trending from mean-reverting market states.https://xuquant.com/posts/strategies/about_metrics/Sun, 19 Jan 2025 10:00:00 +0800https://xuquant.com/posts/strategies/about_metrics/A systematic approach to building quantitative indicators for Chinese government bond futures (T/TF/TS), covering trend factors based on macro inertia, volatility regime detection, and term structure analysis for CTA strategy construction.https://xuquant.com/posts/strategies/quant-system-overview/Sun, 05 Jan 2025 00:00:00 +0800https://xuquant.com/posts/strategies/quant-system-overview/A comprehensive exploration of layered architecture design for quantitative trading systems, covering data infrastructure, execution engines, strategy frameworks, and monitoring — with detailed strategy taxonomies for treasury and index futures markets.