学习路径
量化研究员
希望借助统计工具判断市场数据中的某个形态是否真实存在的分析师。
衡量收益、风险与相关性，借助区间估计和重抽样检验论断，并校正多重检验与样本选择偏差。
- 28 节课程
- 115 分钟阅读
- 初学者
- 中级
- 高级
初次接触市场？请先学习入门路径。
基础
- 1
Returns: simple, log and percentage points
Returns are the raw material of every later method.
- 初学者
- 讲解
- 3 分钟
- 即将推出
- 2
Standard deviation: volatility as a number
Volatility as a number.
- 初学者
- 可视化指南
- 3 分钟
- 即将推出
- 3
Distributions and fat tails, in pictures
Fat tails change what averages mean.
- 初学者
- 可视化指南
- 3 分钟
- 即将推出
- 4
Correlation without the confusion
Co-movement measured correctly.
- 初学者
- 可视化指南
- 3 分钟
- 即将推出
- 5
Probability for analysts: base rates first
Base rates before any conclusion.
- 初学者
- 讲解
- 3 分钟
- 即将推出
- 6
Expectancy: the average outcome of a rule
Average outcome of a rule.
- 初学者
- 讲解
- 3 分钟
- 即将推出
- 7
Sample size: how many trades is enough?
How many observations a claim needs.
- 初学者
- 讲解
- 3 分钟
- 即将推出
- 8
Drawdowns: depth, duration and recovery math
Drawdown maths needed for ratio comparisons.
- 初学者
- 可视化指南
- 3 分钟
- 即将推出
核心
- 9
Regression basics: lines through noisy data
Regression as the basic modelling tool.
- 中级
- 可视化指南
- 3 分钟
- 即将推出
- 10
Statistical significance without the jargon
Significance without the jargon.
- 中级
- 讲解
- 5 分钟
- 即将推出
- 11
Confidence intervals for strategy metrics
Intervals around strategy metrics.
- 中级
- 讲解
- 5 分钟
- 即将推出
- 12
Bootstrapping: resampling your own results
Resampling your own results.
- 中级
- 讲解
- 5 分钟
- 即将推出
- 13
Autocorrelation: does today echo yesterday?
Dependence between today and yesterday.
- 中级
- 可视化指南
- 3 分钟
- 即将推出
- 14
Stationarity: prices vs returns
Why prices and returns behave differently.
- 中级
- 可视化指南
- 3 分钟
- 即将推出
- 15
Volatility clustering and calm-storm regimes
Volatility clustering and regimes.
- 中级
- 可视化指南
- 3 分钟
- 即将推出
- 16
Trend, noise or bounce? Guess the process
Quiz: tell trend from noise.
- 初学者
- 测验或挑战
- 3 分钟
- 即将推出
- 17
Sharpe, Sortino and Calmar, side by side
Risk-adjusted ratios compared side by side.
- 中级
- 可视化指南
- 3 分钟
- 即将推出
- 18
Quant formulas cheat sheet
Formula cheat sheet for the path.
- 中级
- 速查表
- 2 分钟
- 即将推出
- 19
Sample size calculator for strategy metrics
Interactive sample-size calculator.
- 中级
- 交互式工具
- 3 分钟
- 即将推出
高级
- 20
Multiple testing: why many discoveries fail
Why many discoveries fail.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 21
Cointegration is not correlation
Cointegration versus correlation.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 22
Monte Carlo simulation: what could have happened
Simulating what could have happened.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 23
Factor models: explaining returns with exposures
Explaining returns with exposures.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 24
Optimisation and its traps
Optimisation traps.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 25
The deflated Sharpe ratio, made intuitive
Deflating ratios for the number of trials.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 26
Probability of backtest overfitting (PBO)
Probability that a backtest is overfit.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 27
Many strategies, one dataset: selection bias
Selection bias across many strategies.
- 高级
- 讲解
- 6 分钟
- 即将推出
- 28综合项目
A small p-value is not a strategy
Capstone field note: a p-value is not a strategy.
- 中级
- 实践笔记或构建笔记
- 5 分钟
- 即将推出
选读：9
- When averages disagree: arithmetic vs geometric
- Random walks can draw convincing patterns
- Momentum vs mean reversion: the statistical view
- Z-scores and percentile ranks
- Bayesian thinking for analysts
- Volatility models (GARCH), conceptually
- Principal components: hidden common drivers
- State-space models and the Kalman filter
- A backtesting protocol checklist
应用内
这些课程最常用的 Analess 功能。各功能页面注明了其可用性。