Kaustubh Sule

The upshot here is that the more regularly you want to realize profits and generate income, the shorter your holding period should be.

Also included is a discussion on why loss aversion is not a behavioral bias, which is opposite to what I previously believed. It stems from a profound mathematical insight that threatens to upend the economics profession.

on metalabeling – i.e., finding the probability of profit of your own simple basic trading strategy, and not to use it to predict the market directly. Why?

For historical stock data, there is another quality that may be even more important than their frequencies: whether the data are free of survivorship bias. I will define survivorship bias in the following section. Here, we just need to know that historical stock data without survivorship bias are much more expensive than those that have such a bias

Despite our luck with the longevity of some of the strategies I described, most arbitrage opportunities eventually fade away—the notorious alpha decay that professionals like to lament. Alpha decay can be due to competition—too many people trading the same strategy, but equally often it is due to regime shift caused by market structure or macroecon

Chapter 3: Extensive changes on MATLAB code that remove a major bug, and new commentary and codes for Python and R. Description of some new quant trading platforms. One item of particular interest: I discuss a mathematically rigorous way to decide how much backtest data and how long a paper trading period is needed. Another mathematical technique w

Most ready-made strategies that you may find in these places actually do not withstand careful backtesting. Just like the academic studies, the strategies from traders' forums may have worked only for a little while, or they work for only a certain class of stocks, or they work only if you don't factor in transaction costs. However, the trick is th

Finding a trading idea is actually not the hardest part of building a quantitative trading business. There are hundreds, if not thousands, of trading ideas that are in the public sphere at any time, accessible to anyone at little or no cost. Many authors of these trading ideas will tell you their complete methodologies in addition to their backtest

Homo Sapiens (literally, “wise man”) are only “wise” because we redistribute most cognitive operations to others; we readily observe and copy the successful and can encode (most of) that knowledge for others to use. For example, if someone discovers how to grow corn, other humans watch the process and imitate their success; they do not waste cognit