Does anyone here dabble into quantitative analysis?
I come from an mathematics and engineering background and quantitative analysis is one of the few investment avenues that aligns well with my sensibilities. The majority of investment books and articles strike me as opinion with a few out of context examples tossed in, rather than well researched logic.
Some examples are the never ending growth vs value investing arguments, or dividends vs capital appreciation, small cap vs large cap, dollar cost averaging vs market timing etc. Each side uses simplistic examples that support their argument.
Quantitative Analysis attempts to use math, sometimes very high level, to attempt to find situations in the markets that can be exploited for profit.
Anywho, I've recently started exploring the field. Does anyone have any experience?
A few months ago I went looked for a dedicated analysis package and stumbled on some software called Amibroker (
http://www.amibroker.com/). The software allows you to backtest trading and investment ideas on historical security data. For example you can easily backtest dollar cost averaging into an index fund. It will return your profit, volitily and just about any other metric you can think of. You can even program custom metrics.
There are a large number of programs similar to Amibroker, BUT Amibroker is only $199 compared several thousand dollars for other popular programs. To flex your mustachianism you can use free historical End of Day data from Yahoo! rather than paying a data service. Additionally Amibroker appears to be much more powerful. You can implement any trading or investing scheme you can think of, if you can program it.
There are a couple of downsides to Amibroker. The learning curve is pretty steep. It takes atleast basic programming knowledge to get started. Unfortunately Amibroker does not have a built in debugger for AFL, the native array based programming language Amibroker uses. This makes troubleshooting code difficult at times.
Support from the developer and user community is astounding. Amibroker allows plugins and the use of other programming languages through those plugins. You can also import/export data from R, an open source statistcal package.
Lately I have been focusing on forming my Mustache rather than my investment skills because I realized spending hours and hours developing investment skills is useless if you don't have any spare money to invest! But with my Mustache firmly in place I plan to dive back into determing my long term investment strategy using statistical analysis and backtesting from Amibroker.
I would love to hear from others who have experience with this sort of thing.