Flowers and Robots, what do they have in common? As the markets characteristics are changing, robots become outdated. A robot by itself, cannot produce significant strategy returns over long stretches (we will cover this in more detail in a later post). To overcome this inevitable expiration date, robots are united in one whole. This approach is called ensembling. The idea being that many uncorrelated bots with low Sharpe coefficients outperform strategies with little to no diversification. However, even in the systems described above individual algorithms don’t live long. In our case, we see an average lifespan of 6-8 months, when the time comes these bots are replaced by others and subsequently put on “standby”. In this sense, both quantitative financial robots and flowers have to be replaced and renewed by the owners on a regular basis. Having many functioning bots on standby is the key to rebalancing a strategy through time. Researchers at Quant Infinity use 1min price/volume bars over 10 years back to optimize and construct bots. Our methods are applied using live data from 19 world exchanges, 100+ futures contracts, which is equivalent to monthly processing of 50 billion year volume of data. #ensembling #data #robots #algorithmictrading #investment #finance
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