The Process

This post will describe the overall process to craft an investment strategy. It is a 10 step process. Each step will be described separately. I will update this page with an overview, after I have completed all steps. The posts describe the work of Marcos De Prado

  1. Structured Data
    1. Standard Bars
      1. Time bars
      2. Tick bars
      3. Volume bars
      4. Dollar/Dynamic Dollar bars
    2. Information Driven Bars
      1. Tick imbalance bars
      2. Volume/Dollar Imbalance bars
      3. Tick run bars
    3. Event driven bars
      1. Structural breaks
        1. Cusum Tests
        2. Explosiveness Tests
        3. Right Tail Unit root tests
        4. Sub/super Martingale Tests
      2. Entropy features
      3. Microstructural features
        1. Tick rule
        2. Roll model
        3. High/Low volatility estimator
        4. VPIN
        5. Distribution of Order Sizes
        6. Cancellation Rates, Limit Orders, Market Orders
  2. Labeling
    1. Fixed Horizon Method
    2. Triple Barrier Method
    3. Trend Scanning Method
    4. Meta Labeling
  3. Weighting
    1. Fixed-width Window fracdiff
  4. Ensembles
    1. Bagging
    2. Random Forest
    3. Ada Boost
  5. Cross Validation
    1. K-Fold Cross Validation
  6. Feature Importance
    1. Mean Decrease Impurity
    2. Mean Decrease Accuracy
    3. Single Feature Importance
  7. Hyper Parameter Tuning
    1. Grid Search Cross Validation
    2. Randomised Search Cross Validation
  8. Bet Sizing
    1. Bet sizing from predicted probabilities
    2. Averaging Active Bets
    3. Size discretisation
    4. Dynamic bet sizes & limit prices
  9. Backtesting
    1. Walk forward method
    2. Cross validation method
    3. Combinatorial
    4. Backtesting on synthetic data
  10. Portfolio Construction
    1. Nested clustered optimisation algorithm

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