Here you will find different ways that can help you evaluate your model as well as portfolio and a list of techniques that can assist you improve their performance. Simply click on a bullet point to navigate to the relevant section.
Model Evaluation
- Quantile Spread
- Spearman Rho
- Excess Return and Hit Rate
- Time Analysis
- Rolling Signals
- Quantile Spread
- Spearman Rho
- Excess Return and Hit Rate
- Time Analysis
- Rolling Signals
Model Optimization Techniques
- Variables
- Investment horizon
Portfolio Evaluation
- Annualized Alpha
- Sharpe Ratio
- Drawdowns
- Allocation
- Portfolio settings
Portfolio Optimization Techniques
- Optimization
- Signal Optimization
- Securities settings
- Neutralization