HFT Alphas Pt. 2

Developing additional features

Introduction

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In this article, we will extend the work of the first article (below) and develop a full feature set for our forecasting model. This will be fairly basic, and will not be the final feature set. We will do some selection in the next article, develop a factor model, and then use that factor model in article 4 to develop advanced features and build out the final forecasting set. We were able to find many features that scored over 5 Sharpe pre-fees, and now have our set of features for article 3.

HFT Alphas Pt. 1

This will be a fairly short article where we simply test our alpha candidates and select the best, but it will provide us with our feature set to be used in the next few articles which we will then use to finally develop our forecast.

Index

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1. Introduction

2. Index

3. Alphas

4. Analysis

5. Conclusions