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Soliciting advice on ways to improve systematic strategies. Some things that I can think of off the top of my head:

  • Using a risk model (correlations) instead of 1/n or 1/vol weighting
  • Including a transaction cost model
  • Adding constraints to MVO optimization

Any others that people can think of?

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    $\begingroup$ Hi: those are all useful but the forecasted return and forecast error variance ( which most likely determine entry ) is probably the biggest issue. if that doesn't contain some kind of an "edge", all the other things you mention won't matter. $\endgroup$ – mark leeds Sep 26 '18 at 19:39
  • $\begingroup$ my advice would be to look at whatever strategy you're using with ETFs, they greatly reduce the transactions costs of trading! $\endgroup$ – user22485 Sep 27 '18 at 7:31
  • $\begingroup$ I would also read Ernie Chans book! $\endgroup$ – user22485 Sep 27 '18 at 7:31
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**intended as a comment but not enough points to comment yet

Order execution optimization: how to execute changes to your portfolio without suffering (too much) from implementation shortfall. Work of Almgren and Chris set a modern foundation of this space, and on top of that work of Jim Gatheral for closed form solution. In addition, consider if you're executing an order for market neutral portfolio but market is trending one way, if you only submit passive orders, one way will be filled faster than the other direction which leads to breach of neutral. I learned this idea from my professors' work which also offer a solution to this problem, check Optimal Microstructure Trading with a Long-Term Utility Function!

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