bt
by pmorissette
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for portfolio construction and trading research and honest backtests. Specialist prerequisites vary by resource.
Before you read
- Eigenvalues and Covariance Matrices
Understand the covariance structure of portfolio risk.
- Constrained and Convex Optimisation
Read objectives, constraints and optimality conditions.
- Point-in-Time Data
Use only information available at the simulated decision time.
- Time-Ordered Train, Validation and Test Design
Separate model selection from the final evaluation.
Go further
- Mean-Variance Optimisation
Construct allocations and examine sensitivity to estimated inputs.
- Portfolio Constraints
Turn mathematical weights into feasible portfolio decisions.
- Positions, Trades, Fills and P&L
Reconcile signals, executions, positions and P&L.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
- From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.