WorldQuant
Research Consultant
Conducted quantitative research on systematic equity strategies, designing and testing predictive signals
across global markets with a focus on the US and China universes.
US and China Markets
Systematic Equity Signals
2+ Sharpe Alphas
Research Focus
Integrated fundamental accounting ratios, return momentum, volatility filters, and z-score logic to
identify short-term mispricings in liquid equities.
Method
Refined strategies through iterative experimentation, empirical validation, and robustness checks,
consistently producing alphas with Sharpe ratios above 2.
Performance Snapshot
Backtest highlights from the research note.
View Note
Sharpe
2.03
Fitness
1.40
Avg Annual Return
16.24%
- Strong performance in volatile, dislocated regimes; more fragile in momentum-driven markets.
- Targets microstructure mean reversion while filtering for profitability persistence.
- Validated using Monte Carlo style robustness checks and empirical stress scenarios.
Signal Architecture
- Price dislocation: z-scored VWAP vs close to capture end-of-day mispricing.
- Volatility filter: compressed intraday ranges to identify post-stabilization reversals.
- Fundamental anchor: operating profitability rank to avoid structurally weak firms.
- Contrarian tilt: recent underperformers to capture short-term reversal premium.
alpha = zscore(VWAP / Close) * (1 - rank(High / Low)) * ts_rank(OperatingIncome, 252) * rank(-Returns)
Origin Story
Inspired by reading The Man Who Solved the Market about Jim Simons, I discovered my love of
coding through alpha research. That curiosity led me to learn Python and begin building systematic
research projects from scratch.