Author Archives: mathtrading

About mathtrading

My name is Andrea La Rosa and I am a quant trader based in the UK. In the past I worked as a quant in the prop desk of an investment bank, before deciding to fully dedicate myself to quantitative trading.

In defense of a quantitative approach to financial markets

I have the feeling that there is some subtle yet spread misconception about data-driven research in financial markets and I will take this article: Seeking Alpha – Not Even Wrong: Why Data-Mined Market Predictions Are Worse Than Useless by Justice Litle … Continue reading

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Order matching algorithms

In today’s markets dominated by High-Frequency algos, room for profits for non-HF (and more importantly, non-HF aware) guys is generally speaking reduced. The proportional performance impact of HF is likely to be bigger the smaller is your average trade and the shorter … Continue reading

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Feature selection in trading algorithms

Lately I have been looking for a more systematic way to get around overfitting and in my quest I found it useful to borrow some techniques from the Machine Learning field. If you think about it, a trading algorithm is … Continue reading

Posted in On backtesting, Trading Strategies Design | Tagged , , , , | 14 Comments

Trimmed performance estimators

This is a quick follow-up on my previous post on Quantile normalization. Instead of removing just the top X quantile of returns/trades when optimizing a strategy’s parameters space, my recent approach has been to remove the top and bottom X quantiles, … Continue reading

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