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The Diminishing Benefits of Diversification
Diversification is a core principle in portfolio management, aimed at reducing risk by spreading investments across multiple instruments. However,...
February 6, 20250 -
Reducing Position Sizing During Drawdowns
Managing risk is paramount in live trading, especially when your equity curve enters a drawdown phase. One of the...
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Skewness in Trading Strategy PnL Distributions
In trading, analyzing the distribution of profit and loss (PnL) can offer valuable insights into the performance characteristics and...
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Reward: Risk vs. Accuracy in Trading Strategies
In the world of trading and investing, two crucial metrics that determine the effectiveness and profitability of a trading...
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Precision vs. Recall in ML Classification
In financial machine learning, particularly when predicting between three classes like “buy,” “sell,” and “hold,” the choice between optimizing...
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Calculating Value-at-Risk using Historical Simulation
The Historical Simulation Method is a straightforward approach to calculate Value at Risk (VaR) by using historical market data...
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The Value of Quantifying Value-at-Risk (VAR)
VaR, or Value at Risk, is a statistical measure used to quantify the potential loss on a financial investment...
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Understanding Fundamental vs. Technical Analysis
Trading in financial markets involves the analysis of various factors to make informed decisions about buying or selling assets....
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Mitigating Data Snooping with the Bonferroni Correction
Mitigating Data Snooping in Algorithmic Trading: A Guide to Out-of-Sample Testing with Bonferroni Correction Data snooping, the inadvertent discovery...
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Data Snooping Pitfalls in Algorithmic Trading
Unraveling the Pitfalls of Data Snooping in Algorithmic Trading Strategy Selection Algorithmic trading has revolutionized financial markets, allowing traders...
