خرید و دانلود نسخه کامل کتاب Finding Alphas: A Quantitative Approach to Building Trading Strategies – Original PDF

This chapter will lay out the process of designing an alpha, starting with raw data. We will discuss some of the important design decisions you need to make when creating an alpha, as well as how to properly evalu- ate an alpha. At the end of this chapter, we will highlight some issues that can arise after alphas have been developed and put into production. DATA INPUTS TO AN ALPHA Alphas are fueled by data. The edge sought for an alpha may come from identifying high-quality pieces of publicly available data, superior pro- cessing of the data – or both. Some typical data sources are: • Prices and volumes. Technical analysis or regression models may be built based on this data. • Fundamentals. By automating the analysis of key metrics for each company, you can build alphas that typically have very low turnover. • Macroeconomic data, such as GDP numbers and employment rates, that have market-wide effects upon their release. • Text, such as Federal Open Market Committee minutes, company fil- ings, papers, journals, news, or social media. • Multimedia, notably relevant videos or audio. There are mature tech- niques to process such data – for example, converting audio into text that can be used to build models.