Rebalance Ep 6: Alpha Streams, Algorithms, & Boot Camp

Rebalance is a weekly flash briefing of new features and updates for you, our QC community.  In our sixth episode we’re happy to share:

  • An Alpha Streams Marketplace Update! Our team is getting the community’s alpha streams in front of more institutions. The Alpha Streams market provides you with unparalleled distribution to institutional capital to earn revenue from your efforts. Stay tuned for more announcements on this topic.
  • New Strategies! Have you read a theoretical paper you wanted to implement in the Algorithm Lab? We have developed several new algorithms based on popular papers covering the topics Standardized Unexpected Earnings, Seasonality Signals Strategy in Stocks, and Risk Premia in forex markets. Check them out and let us know what you think in the Discussion Forum!
  • The Probabilistic Sharpe Ratio Scoring Metric! We’re pleased to share a new strategy scoring metric with you for review, the Probabilistic Sharpe Ratio (PSR). The PSR provides a confidence score for your Sharpe ratio. This metric is preferred to the traditional annualized Sharpe ratio when deploying strategies with irregular trading frequencies. Clone the PSR notebook and share your suggestions here.
  • A New Boot Camp! The lesson Fading the Gap uses scheduled events to monitor for overnight price gaps in the market and trades assets on abnormal activity. The lesson demonstrates how to use standard deviation to eliminate an arbitrary parameter. You can check it out here
Sherry Yang

By: Sherry Yang

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