XIV · Alpha ensembles
Station XIV of The Quant Map: combining edges into one forecast engine. Signal averaging done honestly. Reading order plus the free map PDF.
combining edges into one forecast engine
Two edges with a Sharpe near 0.5, roughly uncorrelated, combine to about 0.5 times the square root of 2, near 0.7. Five copies of the same idea, correlation 0.85, give you almost nothing and one decay date.
Combining works when the edges share a payer logic and differ in noise. Five paraphrases of one price series are one bet with one decay date.
The Quant Map PDF works this spine through example research: five full descents from observation to live rule, and a library of 835 strategy entries, each with a named payer and a named failure mode. Get the free PDF on the Start Here page.
Reading order
Top to bottom. Stop at the first article you cannot apply to a live trade; that is the one to read slowly.
| Article | Why it is on this row |
|---|---|
| The Death of the Single-System Trader | One rule is one decay away from a multi-year sideways grind. A handful of structurally different systems is the comparison set. |
| Signal Averaging: Killing Noise with Redundant Alphas | Average signals that share a mechanism and differ in noise. Averaging five paraphrases of one price series does not. |
| Don't Trust Your Strategy-Weighting Scheme | The scheme that maximized in-sample Sharpe is another search. Flat risk weights are the baseline it has to beat. |
On the map: ← XIII · Multi-factor models · The grand map · XV · Portfolio construction →