Trading Alphas: Mining, Optimization, and System Design: Section 39, Unit 7
In the sample code offered, it shows a template and no real solid strategy to enter the market, but a blueprint. This is disappointing, but I've grown accustomed to you doing this. BUT! Even the format that you outlined had at least six classes in the course:
Alpha Calculator
Risk engine
Weight engine
Rebalancing Module
Execution engine
Strategy monitoring
BUT! Trading Logic, Portfolio Manager, and Signals were the only classes included. I get that you don’t want to give out real alphas or spoon-feed clients, but at least do what you say you will do.
Once again, I feel like I've been sold short. Why did you do this? Is it that TradingLogic() is the class being rebalanced? The risk engine would go where? I see that the analyze module could be used for strategy monitoring. Kindly update the course and add the mentioned classes.
Thanks again.
Namaste.
Hello,
I believe there has been a misunderstanding when it comes to the course. The course on trading alphas has outlined and shown various methods and techniques to extract micro-alphas. Coming to your query, the six elements mentioned, i.e., "Alpha Calculator, Risk engine, Weight engine, Rebalancing Module, Execution engine, Strategy monitoring" are the basic elements which should be considered while designing a trading system. The aim here is to divide the parts of a trading system into different tasks for effective implementation. The classes which we talk about later, i.e., "Trading Logic, Portfolio Manager and Signals" are defined to create a trading system which contain the essential components of the trading system.
You can define the elements in each class to create your own trading system.
Hope this helps.
So you don't think you should have provided the six "basic elements that should be considered while designing a trading system" that you outlined ?
You need to discuss what a risk module and a rebalancer module entails. These are things you said every strategy at least needs.