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Finding the best alpha indicator
  1. Are alpha signals additive in general?
  2. How to prove they are / are not?
  3. How to find out the best single alpha predictor in the entire quantopian universe systematically without trying all the combinations each by each?

Thanks a lot,
Changyang

1 response

Ok I found a way. It is using classification and markov chain to find out best factors combination leading to future up return day.