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


Hi everyone,
Gerardo from QuantConnect here with your weekly flash briefing Rebalance. Here’s how QuantConnect is pioneering tomorrow’s trading with you this week. Our team is
excited to be 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. 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. You can find the write-ups and accompanying code in the strategy
library links below. We’re pleased to share a new a new strategy scoring
metric with you for review, the Probabilistic Sharpe Ratio. The PSR
provides a score for the confidence your Sharpe ratio is realistic. This metric
is preferred to the traditional annualized Sharpe ratio when deploying
strategies with irregular trading frequencies. Read more about this in the
link below. Finally a new Boot Camp is out! 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 in the
description link below. Thanks for listening this week’s
Rebalance and happy coding!

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