Essays on Trading Strategy

Download or read book Essays on Trading Strategy written by Graham L Giller and published by Giller Investments (New Jersey), LLC. This book was released on 2021-12-31 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following on from his Adventures in Financial Data Science, Graham Giller, one of Wall Streets original data scientists, collects together a set of pieces on optimal trading strategy design. These address the key issue not answered in the first volume of the series on Financial Data Science, how to go from an alpha to a trade. The division of topics is shaped by what Graham calls "Peter Muller's Rule": the analysis of systems to predict prices and systems to trade from predictions should be separated. This makes trading strategy agnostic as to the origins of the information contained within the alpha and clarifies the analytical methodology developed.