To view this content you must be an active member of the CMT Association.
Not a member? Join the CMT Association and unlock access to hundreds of hours of written and video technical analysis content, including the Journal of Technical Analysis and the Video Archives. Learn more about Membership here.

Session Description: The formation of a profitable quantitative trading strategy is a unique intellectual undertaking that draws on out-of- the-box thinking, perseverance, proprietary data, and nearly all aspects of computer science. The challenge is amplified when we custom build a strategy inspired from an investment book or a client’s mandate.

Our goal in this presentation is to take you on a creative journey from the seed of an investment idea to a live systematic traded strategy. Finding real value in algorithmic trading requires a self-adjusting protocol that constantly responds to changes in the market while constantly avoiding the trap of overfitting.
Meet Lucena Research’s chief scientist Dr. Tucker Balch and CEO Erez Katz as they carry you through their regimented process designed for quantitatively inclined build-it- yourself investors. From identifying relevant data, applying cross validation through parametric searches, implementing machine learning algorithms, back-testing, and all the way to live deployment. You will see first-hand how Lucena makes custom investment strategies more accessible through automation.