Sourcing high-quality data and scrubbing it for anomalies like survivorship bias, lookahead bias, or missing values.
We backtested the LCM strategy on a portfolio of 150 high-beta equities from 2018 to 2023. quantcademy
| Metric | Result | | :--- | :--- | | | 14.2% | | Sharpe Ratio | 1.85 | | Sortino Ratio | 2.41 | | Max Drawdown | -6.2% | | Win Rate | 54.8% | | Profit Factor | 1.65 | Sourcing high-quality data and scrubbing it for anomalies
This paper introduces the . The hypothesis is simple: when a stock opens with significantly higher volume than usual, it signals an institutional commitment to a direction. The market is not perfectly efficient at absorbing this block volume immediately; rather, the price "cascades" in the direction of the liquidity injection over the subsequent hours. The hypothesis is simple: when a stock opens
Think of it as the : intense, community-driven, and infinitely more practical than reading a textbook alone in your apartment. You will learn real Python, real backtesting pitfalls, and real interview questions.
The debate between momentum and mean-reversion dominates quantitative literature. While daily momentum strategies have shown decay in recent years due to crowding, —specifically driven by order flow and liquidity—remains a fertile ground for alpha.