Learn how to apply probability theory and statistical inferencing techniques to validate algorithmic trading strategies.
Have you asked:
What you’ll learn
- Learn basics for finance and probability theory for algorithmic trading..
- Learn statistical inferencing techniques such as parametric and nonparametric hypothesis tests..
- Employ statistical learning techniques on quantitative trading strategies in Python..
- Learn practical validation methods quants use before taking strategies into production..
Course Content
- Lectures –> 19 lectures • 4hr 8min.
Requirements
Have you asked:
- Is my quant trading strategy performance statistically significant ?
- Are my in-sample performances statistically significant while controlling for model complexity and bias? Is my ML model an inefficiency detector or a piece of overfitting poppycock software?
- If I backtest 10 strategies, pick those with Sharpe > 1, am I headed for wealth or ruin?
Statistical Inferencing for Quantitative Trading Strategies is one-of-a-kind quantitative lecture series on applying probability theory and statistical methods to construct robust hypothesis tests for validation of trading strategies using distribution-free methods.
The course takes the student on a whirlwind tour of finance basics, statistics basics as well as more advanced and modern techniques in statistical decision/inferencing theory.
Hypothesis testing concepts, Type I/II errors, powers, FWER control, multiple testing frameworks are introduced under both parametric and non-parametric assumptions for quantitative research.
Classical location tests (t,sign,rank-sum) tests are discussed in addition to cutting edge techniques using monte-carlo permutation methods. The lectures take you through the motivation for the need to employ rigorous scientific procedures in validating trading strategies.
In pharmaceuticals, medicine and other high-stakes industries, experimental design and implementation are key to decision-making, such as the acceptance of new chemicals in treatments. Unfortunately – hardly the same amount of scientific rigour is paid in deciding whether to take a trading strategy live. Apparently, moon cycles and lunar phases are enough! For these people, the writing is in the wall.