The linear regression - and with a single predictor at that - is the workhorse. As if - the cross-product x'*y is too little, divided by dot-product x'*x is just right (regression), and dividing it again by another dot-product y'*y (correlation, with the sqrt) would be over-doing it. :-)
There is no big mystery I'm afraid, there is no big reveal. It's as Jim Simons described in the Numberphile video interview: a slow painstaking accumulation of weak signals, plus crafting and improving various boxes of the system. (the interfaces between them are largely known) The fitting method used does not buy that much in the grand scheme of things - as long as it does not ruin things, that is.
(I've not been at Citadel but been quant R&D&trading last 20yrs)
There is no big mystery I'm afraid, there is no big reveal. It's as Jim Simons described in the Numberphile video interview: a slow painstaking accumulation of weak signals, plus crafting and improving various boxes of the system. (the interfaces between them are largely known) The fitting method used does not buy that much in the grand scheme of things - as long as it does not ruin things, that is.
(I've not been at Citadel but been quant R&D&trading last 20yrs)