Reflections On Backtesting and Tuning Low Frequency Strategies
long, long, long thoughts on backtesting in low frequency space.
quantymacro
Trading Fast Signals: Multi-Period Trading At Home
my biggest W so far fr
Okay LASSO is meh, but what makes Ridge good?
what made me fell in love with ridge
Why, and how, do some traders who draw lines on charts, look at dual axis time series, regress prices against prices, make money?
cope harder anon
What I Missed When Reading Quantitative Portfolio Management The First Time (Taylor's Version)
For trend followers/long short fellas who wanna use portfolio optimisers (probably)
Variance Penalty In Portfolio Optimisation
Volatility is naughty
Infinity or -4: Gambling With Ridge Regression
bet MORE.
On Talking About Your Alpha Research Project In HF Quant Interviews
sorry sir big dawg your Random Forest doesn't have a Sharpe of 18
Paradox of Alpha Uncertainty
Why are you as an adult male, still say alpha errors matter more than covariance errors?
It’s confirmed and *guaranteed*: Ridge Regression >> Tree Model
Source? It was revealed to me in a dream