June 2015
Beginner
256 pages
5h 7m
English
book
Principles of Quantitative Equity Investing: A Complete Guide to Creating, Evaluating, and Implementing Trading Strategies
by Sugata Ray
Content preview from Principles of Quantitative Equity Investing: A Complete Guide to Creating, Evaluating, and Implementing Trading StrategiesBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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11. Where to Get Ideas for New Screens
After seeing the screens in this book, you might be wondering how to generate ideas for screens yourself. A tempting, but ultimately flawed way of generating screens is to just keep experimenting with variables and cutoffs, running backtests, and then picking a backtest that performs well. The perils of this approach were covered in Chapter 3, “Creating a Screen—The Nuts and Bolts of Choosing a Quantitative Investing Strategy,” in the “Aimless Screens” and “The Problem with Building Strategies Solely to Outperform in Backtests” sections.
Similarly, Chapter 3 also covered the importance of linking screened variables to economic fundamentals that you are interested in. For example, if you are interested in ...
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