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Quantitative Finance · Begrippenlijst

Wat is Signal combination, composite signal, equal-weight blend?

Ook bekend als: signal combination · composite signal · equal-weight blend

Definition 14.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 14 — Signal Combination

Signal combination is the construction of one predictor from several. A composite signal is a weighted sum F=∑kwkzkF = \sum_k w_k z_k of the signals zkz_k, each standardised across names on every date; the equal-weight blend sets every wk=1/Kw_k = 1/K.

Out-of-sample IC of the equal-weight blend of K of the forty planted signals (stable world, last five years), against the proposition with their mean IC 0.015 and mean pairwise correlation 0.027. Data: rs_combine on firm.synthmkt.
Figure 14.1. Out-of-sample IC of the equal-weight blend of KK of the forty planted signals (stable world, last five years), against the proposition with their mean IC 0.015 and mean pairwise correlation 0.027. Data: rs_combine on firm.synthmkt.
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