Module III
A systematic framework for developing, evaluating, and combining trading strategies.
Systematic exploration across strategy archetypes — trend following, mean reversion, basis trades, and cross-sectional relative value. Parameterized research frameworks for rapid hypothesis testing.
Structured pipelines for alpha signal creation, statistical validation, and decay analysis. Includes out-of-sample testing, multiple hypothesis correction, and signal orthogonality assessment.
Optimization frameworks for combining signals into portfolios with explicit risk budgets, correlation-aware sizing, and constraint-driven allocation across strategies and instruments.
Backtesting infrastructure that incorporates realistic execution assumptions — fill models, market impact estimates, latency simulation, and venue-specific liquidity profiles.
Comprehensive cost models capturing spread, impact, timing costs, and opportunity costs. Pre-trade cost estimation feeds directly into strategy sizing and portfolio optimization.
Systematic frameworks for comparing strategy variants across regimes, parameter sensitivity, and stress scenarios. Walk-forward analysis and regime-conditional performance attribution.