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Quantitative trading strategies use quantitative signals and a set of predefined systematic rules to make trading decisions. Strategies operate within parameters based on historical analysis (backtesting) and real world market studies (forward testing). Strategies may be executed manually (by a human trader) or automatically (by a computer).

4 votes

Appropriate method for calculating negative returns on a trading strategy?

For me, I would calculate daily returns for such a series by backing out the daily PnL and dividing by some volatility number. lets define your cumsum as "c_pnl": daily_pnl = c_pnl - [0; c_pnl(1: …
4 votes

How much data is needed to validate a short-horizon trading strategy?

I would also note that you need to watch out for correlations between data points. (EG ,if you have a data point proving this works for oil company x. Another data point for oil company y may not actu …