What I Missed When Reading Quantitative Portfolio Management The First Time (Taylor's Version)
For trend followers/long short fellas who wanna use portfolio optimisers (probably)
Python code attached at the end
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📏 How would a rule-based trader use a portfolio optimiser?
📈 When you should not run regressions
📶 something something on combining signals
📈 When you should not run regressions
📶 something something on combining signals
Welcome back friends.
When I was young, dumb, and broke, I read this book. Missed out on a lot of things. Now I'm young, less dumb, and less broke. This book is very cool actually.
When I was still a student I didn't have much context. So I didn't really know what's important to focus on and what's not etc. (Now I have some context, not all, but I guess I'll take it as a win).
Also apparently @QuantumHoneybee found a sentence that boosted his R^2 by 20% by reading this book.
So today I'll talk about a topic that I thought is interesting, that I missed out when I first read it as a student. Let's get it.
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