Category Archives: Trading Strategies Design

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

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Underfitting, misfitting and understanding alpha’s drivers

While overfitting is certainly a challenge, falling for the opposite extreme is also a possibility. Reporting part of an interview of William Echkardt from Futures magazine (which I would recommend to read in full from here): “I can talk a little … Continue reading

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Overfitting, forecasting and trading

In one way or another, trading is mainly about predicting the future from the past and the main question is to know how likely our bet is to be successful.  To try to answer this question without waiting for the … Continue reading

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