Systematic strategy development

Build relative-value and HFT systems, validate the search and allocate capital.

Build understanding through notation, hand calculations, Python examples and checks of the assumptions.

Choose a method by its job, assumptions and failure modes—not by its popularity.

7 lessons · EWMA · Kalman · ARIMA/GARCH · boosting · allocation · TWAP/VWAP/POV

Define the relationship, estimate the residual, and find out whether convergence survives implementation.

6 lessons · pairs · residuals · cointegration · baskets · structural breaks

Measure edge at the point where information becomes an order—and an order becomes a fill.

7 lessons · order books · latency · adverse selection · inventory · replay

Turn an idea into a controlled experiment, and keep parameter search from becoming a search for luck.

6 lessons · point-in-time data · purging · nested tuning · multiple trials · stress tests

Allocate across uncertain forecasts, shared risks and implementation constraints.

6 lessons · mean–variance · shrinkage · risk contributions · Bayesian views · turnover

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