European markets

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This topic contains 9 replies, has 4 voices, and was last updated by  Alexander Horn 2 years, 3 months ago.

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  • #39724

    StFrons
    Participant

    As the current focus of the LI strategies and QT are on US instruments I would like to know if anyone out there are using the QT software for the European Markets. Being based in Scandinavia there are both currency and tax issues when investing in US instruments.

    Are there European instruments that have the necessary traits (liquidity, volatilty, etc) that makes them tradeable in a QT setup? And more specifically, is there anyone out there using Norwegian / Swedish / Danish instruments in a strategy?

    Would love to her from you :-).

    #39727

    Frank Grossmann
    Participant

    If you download QuantTrader, then you will have a Eurostoxx 600 sector rotation strategy included, which is based on Comstage (Commerzbank) ETFs. You can play with it. If you want to do your own European strategies, then just look for the ETFs on Yahoo Finance and import them into QuantTrader.
    You can always search for main country indexes (like DAX) and then there is a “components” link which lists you all stocks of this index. Then you just copy paste the list into Excel and save it as a CSV text file. This way you can import all stocks utomatically using the QuantTrader Stock List Manager.
    A problem is that for many European ETFs, Yahoo data is not very accurate. A lot of times Yahoo will not adjust for splits and yo will see huge 90% drops in the charts.

    [attachment file=39728]

    #39736

    StFrons
    Participant

    Thanks!

    Is it possible to import stock lists that are in a different currency than the 4 that are available as drop downs?

    #39737

    StFrons
    Participant

    Also, if I want to have a look at ordinary stocks, not ETFs, should these be imported as “category=common ETF”?

    I did a quick test here with a OSE stock list, and got an error message saying: “Import string was not in correct format”. I am seeing that the copy and paste from yahoo generates a hyperlinked symbol. Is this a problem?

    The file that I try to import is attached.

    #39865

    Frank Grossmann
    Participant

    There is a ; after each stock name.

    It must be only a list of stocks or a list of stock + stock name separated y a comma (like: stock.de,stockname)

    #39866

    Frank Grossmann
    Participant

    Here is a QuantTrader.ini file which includes a Top3 Dax and a Top3 SMI strategy. Both strategies seem to work quite well and they do much better than the two indexes.
    A problem is that the adjusted Yahoo data for these companies is not very reliable. Specially after stock splits we have sometimes 1/3 or 1/10 dips for some days until they correct for the split. We will include a logic in QuantTrader which can find and correct such errors.
    The strategies are not really finished, especially i did not work a lot on looking for good German and Swiss T-bonds as a hedge.

    #39869

    Frank Grossmann
    Participant

    Here is the QuantTrader.ini file and the DAX and SMI stock lists for the above strategies

    (You need to rename QuantTrader.txt in QuantTrader.ini)

    #39948

    Marc Heller
    Participant

    Are there any plans to offer such strategy as Signals Service in the near future?

    #41672

    Marc Heller
    Participant

    Hello – is there any research available on the Stoxx 600 strategy in QuantTrader, esp. based on which factors to rotate the sector ETFs? Thanks, Marc

    #42785

    Alexander Horn
    Keymaster

    Hi Marc,

    we┬┤ve so far not done a white-paper on the Stoxx 600 strategy. But the drivers are similar to the Global Sector Rotation, e.g. single sector ETFs, not as complex as the US Sector rotation with different sub-strategies.

    The ranking is based on Sharpe Ratio of last 52 days, e.g. volatility attenuator of 1, plus a mean-reversion correction considering a 15 days timeframe.

    The strategy is rather meant as input for developing further EU based portfolios, just to show-cast how to manage data input and currency. For the time being the data availability is a main constraint.

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