The classic book on combining weak alphas and combining them into something that attempts to maximize signal, minimize variance, and actually make money after cost.
Ideas for edge can come from your own observations, trade data, and those of other traders.
In fact, the best new book I read this year was @TCK_JRubano's, which describes a deeper, more idiosyncratic style of trading than broad quant trading.
There's a podcast he did with @choffstein where he talks about "disturbances in the force" and how traders get paid to provide liquidity where its needed and offset it elsewhere.
The prices of the futures as a function of their time to expiry looks like below.
You step away from the desk to make some tea.
And, upon your return, you see a different picture...
1/n
What happened to the Feb expiry?
It kinda sticks up.
The curve looks kinky now.
Why?
2/n
Could be many things:
1. Random large demand for that expiry has created temporary price impact, likely to revert 2. New info impacting that month is being priced efficiently 3. Somebody knows something and you're likely to see more demand come in behind in that expiry
3/n