How Fractional Differencing Revolutionized My Feature Engineering for Investment Strategies
- Fabio Capela
- Quantitative finance , Feature engineering , Machine learning , Systematic investing , Financial mathematics , Time series analysis , Advanced analytics , Algorithmic trading
As a theoretical physicist turned systematic investor, I’ve always been fascinated by the mathematical structures underlying financial markets. While most investors focus on price movements and traditional technical indicators, I discovered that the real edge comes from understanding the deeper statistical properties of market data—particularly how to extract meaningful features that preserve both trend information and stationarity.
Read MoreHow I Built an Investment Strategy That Beat the S&P 500 by 8% Annually for 8 Years
- Fabio Capela
- Systematic investing , Portfolio management , Investment performance , Market outperformance , Risk management , Asset allocation , Quantitative finance , Financial strategy
Eight years ago, I was frustrated. Like most investors, I was putting money into index funds and watching my portfolio swing wildly with every market tantrum. The conventional wisdom said I should just “buy and hold” the S&P 500, but watching 20% drawdowns every few years while barely beating inflation didn’t feel like a winning strategy.
Read MoreWhy Index Funds Are Sabotaging Your FIRE Timeline: The Systematic Solution
- Fabio Capela
- Fire , Systematic investing , Portfolio management , Financial independence , Investment strategies , Retirement planning , Asset allocation , Quantitative finance
Most FIRE investors are unknowingly adding 5+ years to their retirement timeline by sticking with “safe” index funds. While the investment world preaches the gospel of passive investing, a growing number of sophisticated investors are achieving Financial Independence faster through systematic strategies.
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