IntroductionIn the last article, we covered 3 working alphas, 2 weaker alphas and one strong alpha. Now we will present a medium strength alpha and a second strong alpha then show how to combine them to form a very profitable trading strategy both before and after real world trading costs. In the final part to this series (the next article), we will explain how to trade and monetise the alphas although the explanation today will be more than sufficient to make money trading (even the first article presented enough alpha standalone to make money). We combine to form the below curve:
Which when we rebalance every 72h we achieve 2.7 Sortino, and 110 bps on dollars traded! Much like the prior article this will be fairly short. There is little reason to ramble on when I am merely presenting working alphas to the reader, I will resume more educational material in further articles in this series (research processes, and data pipelines to find said alphas). ... Subscribe to The Quant Stack to unlock the rest.Become a paying subscriber of The Quant Stack to get access to this post and other subscriber-only content. A subscription gets you:
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