tmqr / sg_discovery Goto Github PK

I would like to explore the possibility of using existing PAM signals or Alpha strategies to produce a High Conviction Index prototype.
I outline the concept here :
https://www.linkedin.com/pulse/engineering-financial-products-easier-trade-part-2-nikolas-joyce/

Essentally the concept engineers greater persistence and lower drawdowns by varying exposure depending on the effectiveness of the alpha generation process and mixing a passive expsoure to the underlying contract being traded.

To accomplish this protype, Oliver, I was wondering if you could provide some CSV files with time series data on 10-15 of PAM's top production alpha systems for each market you trade.

Additionally if you could provide the same data on the R&D alpha systems, again 10-15 per market.

I would also request that you separate the CSVs into long only, short only and bidirectional folders.

you can find the requested fields and an format here.
https://github.com/TMQR/SG_Discovery/blob/master/example%20exposure%20file.csv

feel free to post here if you have any questions on the concept.