Who am I?
- Former applied mathematician.
- Quant Programmer & Quant Strategist 2007-2015 at two small ML-based hedge funds.
- Almost pure quant funds, ML-based, in U.S. ("single name") equities and volatility futures.
- Tried many approaches to finding alpha:
- ML based like SVM, random forests, GP.
- traditional techniques: plain old linear regression.
- Terrifying feeling of "what am I doing here?"
- How do you write and validate and debug a backtest simulator?
- No open source code available at the time.
- Most academics probably write backtest code from scratch.
- Papers with implicit backtests are a priori suspect, moreso if the strategy is complex.