Formulaic Alpha Report
In the previous post, we released benchmark datasets containing simulation data from formulaic alphas, as well as their source. We will use this in the upcoming posts on methods in portfolio optimization.
The datasets can be downloaded on this post:
This post, we explore yet another formulaic alpha report. Over the next week, we will release a few other posts. The next one is an update to the market notes adding treatments for continuous time interest rate modelling. This is the last of two posts (next and last, on jump processes) on our series in stochastic calculus methods.
Another will release updated code to the (Python) Russian Doll backtesting module, with integration for combining multiple alphas and implementing the quadratic-risk-linear-cost optimizer with modular estimation inputs such as the use of ledoit-wolf constant correlation shrinkage on arbitrary alphas.
Formulaic Alpha Report (paid):
log-return absent of costs *sharpe labelled:
