Quantitative Alchemy: Research and Development of Medium and Low-Frequency Quantitative Trading Strategies

This book first briefly describes the history, connotation and characteristics of quantitative trading strategies, and then provides the basic development process of quantitative trading strategies. The book introduces some precautions and coping methods in strategy research and development, and then explains the basic research and development framework of timing strategies and stock selection strategies through two examples; on the basis of introducing the backtesting technology of advance analysis, it further improves the research and development process of timing strategies and stock selection strategies. Then, the author adds the dimension of strategic risk and provides a discussion. On this basis, the author introduces the timing strategy of position optimization and the stock selection strategy of portfolio optimization, so that the strategy has the ability to control the overall risk; and adds the calculation of transaction costs to the two strategies, making the backtesting of quantitative trading strategies closer to real-life trading situations. For these perfect strategies, this book provides corresponding strategic evaluations. Finally, the content of the entire book is summarized and related issues such as subjective control in strategy development are discussed.