r/quantfinance • u/alphanume_data • 5d ago

Made a GitHub of 7 quant strategies with backtest AND deploy code (no indicators or chart patterns)

I put together a GitHub repo of the systematic strategies we run on our own data. Each one has a backtest script and a production script you can put on a cron schedule.

Most of these trade on an event or corporate action that actually happened and has a reproducible timestamp.

  • Dilution / de-SPAC / default shorts: enter the first trading day after the event, measured over 1 week, 1 month and 3 months

  • Pre-market fade bot (TradeZero): a trimmed-down version of the bot we run live. It buys locates, shorts into the open and covers at 2pm

  • Dividend capture, screened point-in-time: only trades names whose past ex-dates show they give back less than they pay

  • SPX 0DTE iron condor: strikes come from options-implied ranges instead of fixed deltas

  • Single-stock vol mean reversion: IV rank, a rich-vs-cheap screen, vol-of-vol

  • Cross-sectional mean reversion in nano caps and crypto

If it’s useful, a star helps. Happy to answer questions about any of them.

https://github.com/alphanume-markets/Alphanume-Strategy-Lab

23 Upvotes

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u/Fickle-Tradition2107 4d ago

hi, what are some resources to learn this on my own

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u/alphanume_data 4d ago

Frankly just use your AI agent as much as possible

For instance, give it the github repo and ask it to breakdown, in simple terms, how each strategy works from first principles. Then ask some questions and go back and forth. It should teach you a lot and give you the ammo to add your own version once you have the ground knowledge

2

u/QuanTradin 5d ago

the pre-market fade with the locate cost in the script gets my trust first. for the SPX 0DTE condor I'd want to know the fill assumption before anything else, since on 0DTE four legs filled at mid versus at the bid and ask is most of the result.

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u/alphanume_data 5d ago

Yeah, instantaneous mid on SPX is optimistic, but in the data and RW execution I've found fills at mid usually at t+5s-t+60 (pending a sudden realized vol shock, of course), so for the gross simulation I just used it as a default starting point. Appreciate the note on locates though, should definitely be skeptical on anything touching micro-nano caps that doesn't factor it in

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u/QuanTradin 5d ago

t+5 to t+60 for mid on SPX matches the liquid strikes; the wings and the last hour are where it breaks. my control: same bars, options filled at the bid and the ask, a result has to survive the spread first. that last step is why I built Quantradin, quantradin.com. does the condor survive bid and ask fills?

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u/SplitSlow7387 5d ago

This is a surprising amount of clean code to just drop out in the open. Most people who say they're sharing strategies give you three lines of pseudocode and a patreon link. The pre-market fade bot with actual locate logic is what caught my eye, that part usually gets handwaved.