SIG

Alpha and signal research

The pipeline from idea to live capital: constructing a signal, measuring it honestly, and sizing what it can carry.

1
The research pipeline
Hypothesis, data, feature, backtest, risk, capacity, live.
- 1.1The research pipeline: from hypothesis to live capital12 min
2
Signal construction
Neutralisation, standardisation, decay and combination.
- 2.1Constructing a signal: standardisation, neutralisation and combination12 min
3
Measuring a signal
Information coefficient, information ratio and the fundamental law.
- 3.1Measuring a signal: IC, breadth and the fundamental law12 min
4
Factor models
CAPM, Fama–French, momentum and statistical factors.
- 4.1Factor models: CAPM, Fama–French and statistical factors12 min
5
Risk models
Covariance estimation, shrinkage, VaR and expected shortfall.
- 5.1Risk models: covariance estimation, VaR and expected shortfall12 min
6
Portfolio construction
Mean-variance instability, Black–Litterman and risk parity.
- 6.1Portfolio construction: mean-variance, and why nobody uses it raw12 min
7
Execution and costs
Market impact, implementation shortfall and optimal execution.
- 7.1Execution: market impact, implementation shortfall and capacity12 min
8
The overfitting problem
Deflated Sharpe, minimum backtest length and out-of-sample discipline.
- 8.1The overfitting problem: deflated Sharpe and what discipline looks like12 min