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How to Quant
Factor construction, backtest hygiene, and the statistics needed to tell a signal from noise.
- 01Constructing a factor from raw dataA factor is a rule that ranks securities. The rule is only as good as the data it consumes and the care taken in turning that data into a comparable…
- 02Backtest hygiene: the errors that flatter every strategyAlmost every backtest overstates what the strategy would have earned. The errors are well catalogued, and each one biases results in the same…
- 03Sharpe, Sortino, and what a ratio can and cannot tell youRisk-adjusted return ratios compress a whole track record into one number. That is their use and their…