This is a summary of links featured on Quantocracy on Wednesday, 11/09/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trading Strategy Monitoring: Modeling PnL as Geometric Brownian Motion [Portfolio Optimizer]Systematic trading strategies have the unfortunate habit of exhibiting worse performances in real-life than in backtests, partially due to backtest overfitting1. Monitoring their behavior once they are deployed in production is then very important to be able to detect as early as possible any inconsistency between their live returns and their expected returns.