u/Gwhvssn

Often my research involves simple ewma on data and the zscoring in the cross section. Sometimes I want to see if sharpe can improve when I account for this other feature. I can do a double sort, but that ends up being more discrete and can reduce square root of N.

Are there any simple continuous ways to non-linearity combine two features, similar to a double sort but not as discrete? So pretty much if double sort and zscoring had a baby.

Hello,

Is there any interesting literature or blogs posts on alpha decay? I am looking at a dataset from a vendor with a preTC post release sharpe of say 4. Within a year, for some reason, it drops to 1 and has been there a couple years.

I want to understand how I can understand how this data that was live totally lost such performance years after public. How people go about using these data sources still... anything ...