Comment Comment by hendzen If you want to build a real algorithmic trading strategy.. please pick up a real textbook such as Qian's Quantitative Equity Portfolio Management.You should understand the following concepts at a minimum:- Markowitz portfolio optimization (mean-variance analysis)- Beta-neutral portfolios (i.e. using MSCI BARRA, sector ETFs or PCA factors, etc)- Alpha decay- Time series analysis (autocorrelation, GARCH, ARMA processes)- Basic price-based signals (momentum, volatility, value, etc) - etc, etc. parent hendzen 9 years ago
You should understand the following concepts at a minimum:
- Markowitz portfolio optimization (mean-variance analysis)
- Beta-neutral portfolios (i.e. using MSCI BARRA, sector ETFs or PCA factors, etc)
- Alpha decay
- Time series analysis (autocorrelation, GARCH, ARMA processes)
- Basic price-based signals (momentum, volatility, value, etc) - etc, etc.