面试题库

Imagine you're a new quant researcher at a high-frequency trading (HFT) firm. Your boss gives you a crucial task: from a pool of 100 new trading strategy prototypes, select the single best one for live-testing. These strategies will be presented to you one by one, in sequence. For each strategy, you will only see its expected return and risk profile, and you must immediately decide whether to accept or reject it. Once you reject a strategy, you cannot go back to it. Once you accept a strategy, the selection process ends. Your goal is to maximize the probability of selecting the absolute best strategy (i.e., the strategy that would perform optimally among all 100). How would you design your decision rule to achieve this? Please walk me through your thought process in detail.