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Quantitative Trading & Strategy Development
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Module 1
Foundations: Performance Metrics and Data Integrity
1
Calculating Logarithmic Returns
Calculate logarithmic returns for asset prices.
2
Data Integrity & Time Alignment for Historical Price Feeds
Perform data integrity checks and intraday time alignment for historical price feeds.
3
Handling Corporate Actions in Historical Data
Adjust historical data for corporate actions like splits and dividends.
4
Measuring Volatility
Measure historical and rolling volatility.
5
Quantifying Drawdown and Consecutive Losses
Measure drawdown, drawdown duration, and max consecutive losses.
6
Performance Ratios: Sharpe, Sortino, and Calmar
Calculate the Sharpe, Sortino, and Calmar Ratios for performance evaluation.
7
Strategy Profitability Metrics
Calculate strategy profit factor and expectancy.
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