Quant Mashup - No Noise Only Alpha
The Art of War: How to beat a strategist in the futures market? [No Noise Only Alpha]
Strategy: core directional choices that best best moves you into your desired future Tactics: specific actions that will best implement your strategies Without a core strategy to anchor all tactics suggestions to see which best FIT (feasible, impactful, timely) the strategy, one could randomly
- 6 years ago, 23 Dec 2017, 09:58pm -
Capital Asset Pricing Model (CAPM) [No Noise Only Alpha]
While I am a believer of APT more than of CAPM, I will share some of my findings on CAPM. CAPM has many flaws: there are capital taxes, high transaction cost on illiquid securities with few floating shares, licensed leveraged funds do influence prices with outsized positions, different analyst has a
- 6 years ago, 5 Jul 2017, 12:45pm -
Prototyping and backtesting trading strategies naively in python [No Noise Only Alpha]
The fastest way to test the profitability of a trading model generating signals is to do a simple backtest (which means no hindsight biases i.e at least 1 period of timeframe lag from signal even if you timeframe is in milliseconds) using historical time series. actual returns = absolute return (no
- 7 years ago, 2 Feb 2017, 09:56am -