Design more successful trading systems with this practical guide to identifying alphas Finding Alphas seeks to teach you how to do one thing and do it well: design alphas. Written by experienced practitioners from WorldQuant, including its founder and CEO Igor Tulchinsky, this book provides detailed insight into the alchemic art of generating trading signals, and gives you access to the tools you need to practice and explore. Equally applicable across regions, this practical guide provides you with methods for uncovering the hidden signals in your data. A collection of essays provides diverse viewpoints to show the similarities, as well as unique approaches, to alpha design, covering a wide variety of topics, ranging from abstract theory to concrete technical aspects. You'll learn the dos and don'ts of information research, fundamental analysis, statistical arbitrage, alpha diversity, and more, and then delve into more advanced areas and more complex designs. The companion website, www.worldquantchallenge.com, features alpha examples with formulas and explanations. Further, this book also provides practical guidance for using WorldQuant's online simulation tool WebSim® to get hands-on practice in alpha design.
Alpha is an algorithm which trades financial securities. This book shows you the ins and outs of alpha design, with key insight from experienced practitioners.
- Learn the seven habits of highly effective quants
- Understand the key technical aspects of alpha design
- Use WebSim® to experiment and create more successful alphas
Finding Alphas is the detailed, informative guide you need to start designing robust, successful alphas.
Table of Contents:
Preface xi
Acknowledgments xiii
About the WebSim? Website xv
Part I Introduction 1
1 Introduction to Alpha Design 3
By Igor Tulchinsky
2 Alpha Genesis Life-Cycle of a Quantitative
Model Financial Price Prediction 7
By Geoffrey Lauprete
3 Cutting Losses 13
By Igor Tulchinsky
Part II Design and Evaluation 19
4 Alpha Design 21
By Scott Bender/Yongfeng He
5 How to Develop an Alpha. I: Logic with an Example 27
By Pankaj Bakliwal
6 How to Develop an Alpha. II: A Case Study 31
By Hongzhi Chen
7 Fundamental Analysis 43
By Xinye Tang/Kailin Qi
8 Equity Price and Volume 49
By Cong Li
9 Turnover 51
By Pratik Patel
10 Backtest ? Signal or Overfitting 55
By Peng Yan
11 Alpha and Risk Factors 61
By Peng Wan
12 The Relationship between Alpha and Portfolio Risk 65
By Ionut Aron
13 Risk and Drawdowns 71
By Hammad Khan
14 Data and Alpha Design 79
By Weijia Li
15 Statistical Arbitrage, Overfitting, and Alpha Diversity 85
By Zhuangxi Fang
16 Techniques for Improving the Robustness of Alphas 89
By Michael Kozlov
17 Alphas from Automated Search 93
By Yu Huang
18 Algorithms and Special Techniques in Alpha Research 97
By Sunny Mahajan
Part III Extended Topics 101
19 Impact of News and Social Media on Stock Returns 103
By Wancheng Zhang
20 Stock Returns Information from the Stock Options Market 109
By Swastik Tiwari
21 Introduction to Momentum Alphas 117
By Zhiyu Ma
22 Financial Statement Analysis 119
By Paul A. Griffin
23 Institutional Research 101 127
By Benjamin Ee
24 Introduction to Futures Trading 145
By Rohit Agarwal
25 Alpha on Currency Forwards and Futures 151
By Richard Williams
Part IV New Horizon WebSim 155
26 Introduction to WebSim 157
By Jeffrey Scott
27 Alphas and WebSim Fundamentals 165
28 Understanding How WebSim Works 169
29 API Reference 179
30 Interpreting Results and Alpha Repository 187
31 Alpha Tutorials 199
32 FAQs 211
33 Suggested Reading 223
Part V - A Final Word 229
34 The Seven Habits of Highly Successful Quants 231
By Richard Hu
References 235
Index 245
