Finding alphas : a quantitative approach to building trading strategies
edited by Igor Tulchinsky et al.
Cover -- Title Page -- Copyright -- Contents -- Preface -- Preface (to the Original Edition) -- Acknowledgments -- About the WebSim Website -- PART I Introduction -- 1 Introduction to Alpha Design -- Designing Alphas Based on Data -- Defining Quality in Alphas -- Alpha Construction, Step By Step -- Conclusion -- 2 Perspectives on Alpha Research -- PHDS on the Street -- A New Industry -- Statistical Arbitrage -- Existence of Alphas -- Implementation -- Evaluation -- Looking Back -- The Opportunity -- 3 Cutting Losses -- How to Apply the Principle of the Unrule to Cutting Losses -- Summary -- Part II Design and Evaluation -- 4 Alpha Design -- Data Inputs to an Alpha -- Alpha Universe -- Alpha Prediction Frequency -- Value of an Alpha -- Practical Alpha Evaluation -- Future Performance -- Conclusion -- 5 How to Develop an Alpha: A Case Study -- Conclusion -- 6 Data and Alpha Design -- How we find Data for Alphas -- Data Validation -- Understand the Data Before Using it -- Embrace the Big Data ERA -- Conclusion -- 7 Turnover -- Alpha Horizon -- The Cost of a Trade -- The Crossing Effect -- Controlling Turnover -- Examples -- Tuning the Turnover -- 8 Alpha Correlation -- Alpha PnL Correlation -- Alpha Value Correlation -- Correlation with Alpha Pool -- Conclusion -- 9 Backtest - Signal or Overfitting? -- Introduction -- Statistical Arbitrage -- Backtesting -- Overfitting -- How to Avoid Overfitting -- Conclusion -- 10 Controlling Biases -- Introduction -- Categories of Bias -- Systematic Biases -- Behavioral Biases -- Conclusion -- 11 The Triple-Axis Plan -- The Tap -- Implementing TAP -- Conclusion -- 12 Techniques for Improving the Robustness of Alphas -- Introduction -- Methods for Robustness Improvement -- Conclusion -- 13 Alpha and Risk Factors -- 14 Risk and Drawdowns -- Estimating Risks -- Drawdowns -- Controlling Risks -- Conclusion.
