QF 603 Guideline

• Steps
• Raw data processing
• Model filter
  • model Tests
  • API return
• Stock filter
  • stock performance
  • Exotic measurement
• Stock picking
  • 选股逻辑
  • how to pick 10 from 30?
  • How to pairs trading?
  • 权重选择？
• Backtesting
  • model robust
• Plus
  • Factor picking

Steps

• Model filter + Stock filter --> stock pool
• pick methodology
• backtest
• performance

Raw data processing

• 更新RM=SP500
• good market, bad market timing-- Kohr
• 标准化因子数据？？ adjustable

Model filter

input : Y=excess return, X=factors
outputs : accept or not, statistic test results

model Tests

• 系数
• 残差
• ommitting variable…

API return

• p value
• 是否拒绝
• model 对该股的regress结果整体是否接受

Stock filter

stock performance

• significant alpha
• sharp ratio
• max draw down
• Calmar

Exotic measurement

• factor timing
  • mkt excess return:
    • positive return, negative return
    • good market, band market time
  • other factor: good, bad

Stock picking

选股逻辑

Plan 1. from pool select 10
Plan 2. pairs trading, long 10 short 10

how to pick 10 from 30?

1. factors to consider:
   1. correlation
   2. idnividual performance
2. ideas
   1. average weight, drop 1 stock each time.
   2. ???

How to pairs trading?

权重选择？

Backtesting

model robust

• in sample, out sample test
  • 2：1
  • split milestone time, eg. black Friday

Plus

Factor picking

factor analysis.
picture of factor premium.