Research Process
At Auspice we consider research to be an ongoing part of our business. From the generation of an idea to the analysis of the actual returns from a system or index, research does not end when a strategy starts trading. It is a process of constant improvement. Markets are continually evolving so trading systems must adapt.
The following flow chart describes our ongoing research process:
1. Strategies are tested to ensure: - Robustness
- Statistical Significance
- Diversification
- Scalability
| 2. Careful steps are taken to avoid over-optimization: - Portfolio and universe level optimization
- Minimize the number of parameters
- Optimize individual components and not systems
- Optimize for risk adjusted results.
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