Optimizing a Trading Strategy without Backtesting the Alpha

Using a Synthetic Alpha to Remove the Composite Hypothesis Problem

Backtesting, Alphas and Trading Strategies

For quants, trading is the process of repetitively taking positions in the markets as a function of information known about the future distribution of the returns of an asset. In the process of analyzing this, I generally draw a distinction between:

  1. alphas, which is formally the expected mean of…




This is a “narrative portfolio.” Data science, done for the pleasure of finding things out. There is much more content like this in my book, Adventures in Financial Data Science, available on amazon at and directly at https://www.gillerinvestments.com/store

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Graham Giller

Graham Giller

Predicting important variables about companies and the economy, I turn data into information. CEO of Giller Investments.

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