MEL Quant Traders SIG

Convenor: Alan Clement ()

The Melbourne Quantitative Traders are a "Special Interest Group" (SIG) formed from the Melbourne Chapter of the ATAA. The group has been meeting monthly since September 2008 in Hawthorn East. The group is open to any interested member of the ATAA. The obective of the group is to explore "Quantitative Methods" in Technical Analysis. These methods include advanced mathematics, statistics, computer programming and Machine Learning. The group focuses on discussion between members and reviews of the published work of authors who specialise in this rapidly developing subset of Technical Analysis. Group projects are initiated and SIG members present their systems for comment and review. If you are a member of the ATAA and would like to attend, come along to a meeting, details are listed in "Events > Next Meetings".

Ony ATAA members may download any linked files. 

ATAA Members may discuss meeting topics and issues in the Forum at: MEL Quant Trader SIG 

In early 2017 the Melbourne Quant Traders SIG decided to embark on a joint project to collaboratively develop a mean reversion trading strategy. The objectives were three-fold; To test the theories of one PJ Sutherland as heard in a Better System Trader podcast. To leverage the strategy development skills of the group members. And to give an opportunity for less skilled members to participate as a learning exercise.

The group made use of Slack collaboration software to communicate ideas and share code. A basic coding template was shared and members were invited to add their own ideas and spin to see if we could jointly come up with a strategy that performed better than any one individual could create. 

To date, the project has been a success with involvement from a significant number of members. The result has been a strategy that encompasses a number of basic and more advanced coding features, and that has demonstrated what can be achieved when the group leverages its knowledge. The system performance achieved is also encouraging and has given some credence the initial hypotheses.

Much work remains to be done to validate the results, but more importantly it has shown that group collaborations can and do work. It turns the SIG from what could easily be simply a "talking shop" into something that creates practical results. This type of project is certainly something the group may consider undertaking again in the future.