Tag: alpha-research-methods
Concepts
- ADV Participation Limits in Research
- Buffering and No-Trade Bands
- Choosing a Signal Horizon
- Choosing the Signal Lag
- Conditioning on Cross-Sectional Dispersion
- Demeaning: Universe, Sector or Industry?
- Dollar-Neutral vs Beta-Neutral Construction
- Matching Horizon to the Cost Budget
- Neutralising Against Size and Liquidity
- Rank Transforms and Uniformisation
- Ranking vs Z-Scoring a Signal
- Residualise the Signal or Constrain the Portfolio?
- Scaling a Signal by Volatility
- Sequential Orthogonalisation of a Signal Set
- Shrinking Blend Weights Toward Equal
- Signal Sign Conventions
- Signal Staleness and Refresh Frequency
- Tail Clipping in Signal Construction
- The IC-Horizon Profile
- Trading the Change, Not the Level
- What Neutralisation Costs You