HangukQuant Research

HangukQuant Research

Share this post

HangukQuant Research
HangukQuant Research
Formulaic Alphas
Copy link
Facebook
Email
Notes
More

Formulaic Alphas

HangukQuant's avatar
HangukQuant
Feb 24, 2024
∙ Paid
5

Share this post

HangukQuant Research
HangukQuant Research
Formulaic Alphas
Copy link
Facebook
Email
Notes
More
Share

..preview.

..

This week is our classical alpha report - featuring mean reversion on notional flow.

In the last post, we featured our newly hosted documentation for the quantpylib library, our community quant repo - the post details how you can join:

Announcing quantpylib and its Official Documentation

Announcing quantpylib and its Official Documentation

HangukQuant
·
February 21, 2024
Read full story

In case you have not realised, the format of the formulaic alphas have changed slightly. The official documentation for the formulaic alphas are also now hosted on the official website:

https://hangukquant.github.io/simulator/gene/#list-of-primitives

This is because the alpha report was generated with the underlying backtest engine being the GeneticAlpha class directly from our quantpylib repo library:

https://hangukquant.github.io/simulator/gene/#geneticalpha

From the next alpha report onwards - we are going to start using

https://hangukquant.github.io/simulator/performance/#quantpylib.simulator.performance.performance_measures

the performance module to generate the performance metrics table in our formulaic alphas. If there are custom strategy metrics you would like me to feature in our official alpha report, you can do so by submitting your pull request for the implementation of the metrics inside the function itself in our Github repo.

We already have some interesting contributions, so do keep them coming!

Report (paid readers):

This post is for paid subscribers

Already a paid subscriber? Sign in
© 2025 QUANTA GLOBAL PTE. LTD. 202328387H.
Privacy ∙ Terms ∙ Collection notice
Start writingGet the app
Substack is the home for great culture

Share

Copy link
Facebook
Email
Notes
More