Speaker: Aistis Raudys , Vilnius University
In this presentation, I will review research and other activities in systematic trading fund “Algorithmic Trading Portfolio”. I will start about trading strategies, creation, validation, optimisation and overfitting. Next, I will move to portfolio construction from trading strategies and overfitting in portfolio construction, maximizing Sharpe ratio and other criteria. I will also talk about order execution research using tick touch, tick + execute minimum and bid/ask data. I explain how we evaluate strategies and A/B testing in real order execution. Post execution, slippage analysis. I will cover other aspects of everyday trading activities too.