any systems using alpha

Discussion in 'Automated Trading' started by 0008, Feb 24, 2024.

  1. 0008

    0008

    Are there any systems that use a stock's alpha to select a portfolio of stocks to invest in?

    Do stocks with high historical alpha really outperform?
     
  2. I feel like I don't get you question: my system has an alpha model that generate signals used to compose the portfolio -among other things-

    All systems should have some kind of alpha signal generators.

    As a references, I like the book Inside the blackbox, it explains the basic of any system.
     
  3. 0008

    0008

    I mean, if you sort out a list of the alphas of stocks and only invest in stocks with high alpha, just like the Piotroski F-Score. Would it increase your chances of getting good returns?
     
  4. Oh! I get your point... but sorry, I can't help you there. I didn't research that kind of relationships.
     
  5. kbs

    kbs

    What about *Smart Beta* fixed income as a stable like T Bills in a Port folio magin account, and then use index futures to create Alpha

    But, with stock I think some ETFs and fund try to sell them self as alfa founds/ETFs
     
  6. kbs

    kbs

    Try to google Smart Alpha versus Smart beta