IntroductionIn this article we will detail a 2 (two!) proprietary orderbook alphs which achieve over 3 sortino when combined and over 2 Sharpe each individually. To date, there is no public literature documenting this alpha and is an entirely novel creation presented exclusively to readers of the Quant Arb Substack. We achieve the below performance as a raw signal using cross sectional z-score portfolio construction:
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