Formulaic Alphas
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In the previous post, we extended our notes on linear algebra, discussing the structure of linear operators and vector spaces (our updated notes):
For new readers who want to refer to our most updated advanced Russian Doll Python backtesting engine, refer to our post on shrinkage methods:
Our previous formulaic alpha report was here:
In the following weeks to come, we will round up the discussion on linear algebra, discuss novel methods of quantitative testing, get into the topic of numerical optimization and employ learnt techniques to portfolio management.
Here is our classical feature alpha report of the week: