A Quant’s Approach to Building Trading Strategies.
https://www.quandl.com/blog/interview-with-a-quant-part-one
very interesting look into the dynamics
Really cool! How amazing would it be to have the skill set to do that. I covet this woman’s brain.
Thanks Igor, haven’t been that active on AF lately, but was rather intrigued with this post.
I’m working on something similar myself, as a project on the side - the real challenge in building quant trading strategies is in cleaning the signal, i.e. removing noise, and then coding in the “good new = bad news” mentality. I’m still a long way from completing my project, so let’s see how it progresses, but that’s what I’m struggling with.
Has anyone actually tried to build once from scratch? (vs. improving your employer’s framework?)
Good article and it’s always useful to get someone’s perspective on how the steps fit together.
When I model trading strategies, I’m always amazed at how challenging it is to remove look-ahead bias. It would seem to be such an obvious thing to filter out, but it has an insidious way of creeping in to your systems.