Trend Following Risk Parity
The inspiration for this strategy comes from two thesis, Eidenvall, A. (2021). and Baltas, N. (2015). in which we construct … Continue Reading Trend Following Risk Parity
Weak Factor Alpha Strategy 2
Continuing from the previous report, we will now introduce how to incorporate the filtered features into a classifier model for … Continue Reading Weak Factor Alpha Strategy 2
Weak Factor Alpha Strategy 1
The idea of this strategy comes from the weak learner in the classifier, which first generates technical indicators and then … Continue Reading Weak Factor Alpha Strategy 1
Multi-filter Optimization for Pair Trading
Pair trading is a market neutral strategy, its concept is using multiple high connected symbol which have high linkage between … Continue Reading Multi-filter Optimization for Pair Trading