Quant Mashup

Editor's Pick: Quantpedia's Master lists - Historical Data and Backtesting Software [Quantpedia]
Dear visitors, We have launched a new subpage on Quantpedia.com which will contain master lists of tools for quantitative traders. We have started with a comprehensive lists of backtesting software and historical data sources: http://quantpedia.com/Links/Backtesters
- 11 hours ago, 20 Apr 2015, 09:50am -
Online Backtesting Framework [John Orford]
I have combined my recent interests in backtesting and lazy data structures into the "Lazy Backtesting" web app. Pull data straight from Quandl; have it cleaned auto-magically; and code up your strategy's trading rules. It's clean and simple.
- 7 hours ago, 20 Apr 2015, 01:27pm -
Asset returns after cuts in China Bank Reserve Ratio [@NautilusCap]
Asset returns after cuts in China Bank Reserve Ratio
- 7 hours ago, 20 Apr 2015, 01:27pm -
Attention Value Investors: How to Predict Accounting Trickery [Alpha Architect]
We examine 2,190 SEC Accounting and Auditing Enforcement Releases (AAERs) issued between 1982 and 2005. We obtain a comprehensive sample of firms that are alleged to have misstated their financial statements. We examine the characteristics of misstating firms along five dimensions: accrual quality,
- 9 hours ago, 20 Apr 2015, 12:17pm -
[Academic Paper] Predicting Material Accounting Misstatements [@Quantivity]
Predicting Material Accounting Misstatements
- 9 hours ago, 20 Apr 2015, 11:47am -
[Academic Paper] Fact, Fiction, and Value Investing [@Quantivity]
Fact, Fiction, and Value Investing
- 9 hours ago, 20 Apr 2015, 11:44am -
Skew Strategy with Changing Sentiments [John Orford]
[Part of a series on timing the S&P 500 by using the implied skew index, begin here] Over the previous days, the skew strategy has had improving, but alas, abominable Sharpe ratios. I have finally stumbled upon a recipe which beats the S&P 500 Sharpe over the last quarter of a century (and a
- 19 hours ago, 20 Apr 2015, 02:15am -
What The 1st 5-day Low In A While Has Led To Historically [Quantifiable Edges]
Friday was the 1st time SPY has closed at even a 5-day low since 3/26. The study below is one I have shown before. It examines other times when the SPY closed at a 5-day low for the 1st time in over 2 weeks. All stats are updated. Results here suggest a moderate upside edge. The lesson with this
- 21 hours ago, 19 Apr 2015, 11:24pm -
Does The Iron Condor Options Strategy Really Work? [DTR Trading]
This was my question before I started posting backtest results of the Iron Condor options strategy at the beginning of 2014: "does the iron condor options strategy really work". At that time, I had been trading a hedged, unbalanced, iron condor variation with specific adjustment rules. We
- 1 day ago, 19 Apr 2015, 11:24am -
[Academic Paper] Modeling Covariance Breakdowns in Multivariate GARCH [@Quantivity]
Modeling Covariance Breakdowns in Multivariate GARCH
- 1 day ago, 19 Apr 2015, 08:57am -
[Academic Paper] Downside Volatility Timing [@Quantivity]
Downside Volatility Timing
- 1 day ago, 19 Apr 2015, 08:06am -
[Academic Paper] Portfolio Insurance with Adaptive Protection [@Quantivity]
Portfolio Insurance with Adaptive Protection
- 1 day ago, 19 Apr 2015, 07:59am -
How Some Signal Providers Overstate Performance [Price Action Lab]
In most cases it is not fraud but a result of incompetence. However, it is a fact that some signal providers do overstate performance with unrealistic calculations while others do not report it at all. In the blogosphere there are many services that provide signals to traders, free or for a fee, in
- 1 day ago, 19 Apr 2015, 07:45am -
Skew Strategy with a Sliding Scale [John Orford]
Check out the previous post in this blog for a blow by blow account of building strategy around skewness (part 1). Up until now the strategy knowed back and forth between buying and selling 100% as the skew became more or less favourable. Now, we add a little nuance. The implied skew index is a
- 1 day ago, 19 Apr 2015, 07:45am -
[Academic Paper] Equity Portfolio Management Using Option Price Information [@Quantivity]
Equity Portfolio Management Using Option Price Information
- 2 days ago, 18 Apr 2015, 12:18am -
Academic Finance Research [Alpha Architect]
Understanding Dual, Relative, and Absolute Momentum (Gary Antonacci) Long-short Strategy Simulation based on Front-Page Articles in the WSJ (Matthies and Liu) Am I My Peer’s Keeper? Social Responsibility in Financial Decision Making (Fulbrunn and Luhan) Employees Will Work Harder Under Loss
- 2 days ago, 17 Apr 2015, 10:08pm -
Bond/Utility Divergence a Warning Sign...for the S&P 500? [Dana Lyons]
Given their relatively high yields, utility stocks have long been thought of as proxies, or at least competition, for bonds. And while that relationship is often overplayed (utility stocks are first and foremost, stocks), there is some credence to the notion. Since 1970, there is a 26% positive
- 2 days ago, 17 Apr 2015, 10:08pm -
If US Stocks Are Expensive, How Do I Protect Myself? [Meb Faber]
There is a lot of talk about stocks being expensive, but also a lot of people not really doing anything about it. Many simply don’t know how to tackle the problem, and others don’t want to think about it at all. Below, for some perspective, are historical returns to stocks since 1970 and the 10
- 2 days ago, 17 Apr 2015, 10:07pm -
Logical Invest at the Silicon Valley chapter of the AAII & upcoming Webinars [Logical Invest]
Logical Invest at the Silicon Valley chapter of the AAII & upcoming Webinars What an audience and what an experience! Thanks AAII Silicon Valley! As announced some weeks ago, on April 11 we hosted our first conference at the Silicon Valley chapter of the AAII (American Association of Individual
- 2 days ago, 17 Apr 2015, 10:06pm -
New related paper to #5 - FX Carry Trade [Quantpedia]
Investors based in different countries earn different returns on same strategies because the same risks covary differently with countries' stochastic discount factors (SDFs). We document that investors in low-interest-rate countries earn more than those in high-interest-rate countries on
- 2 days ago, 17 Apr 2015, 10:06pm -
1292 Days and Counting Since Last 10% Correction [Almanac Trader]
Alright, so the S&P 500 declined 1.1% today. That is the worst daily decline since March 25, 2015 when it fell 1.46%. Within this context, today’s loss seems far less worrisome than you probably heard today. But, with the current bull market well above average duration and performance since
- 2 days ago, 17 Apr 2015, 10:03pm -
Forex Trading Diary #4 - Adding a Backtesting Capability [Quant Start]
I've been busy working on the open-source QSForex system over the past week. I've made some useful improvements and I thought I'd share them with you in this forex trading diary update. In particular, I've made the following changes, which will be discussed at length in this
- 3 days ago, 17 Apr 2015, 10:51am -
Implied Skew Strategy [John Orford]
Previously, I checked whether historical skewness was a good indicator to buy and sell the S&P 500. My backtesting framework can now use the implied skew index as an indicator to buy or sell. Now, the strategy buys the S&P 500 if the implied skew index has dropped day over day and vice
- 3 days ago, 17 Apr 2015, 10:51am -
Part 2: Using a Self-Similarity Metric with Intraday Data to Define Market Regimes [CSS Analytics]
The Self-Similarity metric has been a popular series. Recently the original post was shared on Jeff Swanson’s popular site System Trader Success which covers a wide variety of thought provoking articles on trading system development and is worth reading. Jeff has also posted some TradeStation code
- 3 days ago, 17 Apr 2015, 02:16am -
Graham Value Portfolio Update [Scott's Investments]
In January 2012 I announced a new portfolio, a Benjamin Graham “inspired” value stock portfolio. The Graham portfolio is an attempt to add a value strategy to Scott’s Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks returns
- 3 days ago, 17 Apr 2015, 01:25am -
Does This VIX Signal Indicate Trouble Ahead? [Adam Warner]
Time for investors to go to the mattresses (again)? This, from CNBC: "Most investors have never heard of the three-month volatility index, which is known as the VXV. But the relationship between the CBOE three-month volatility index and the options exchange's more familiar 30-day
- 3 days ago, 17 Apr 2015, 01:25am -
Optimised CRBM Code for Gaussian Units [Dekalog Blog]
Over the last few weeks I have been working on optimising the conditional restricted boltzmann machine code, with a view to speeding it up via a C++ .oct file, and in the code box below is this .oct code for the gaussian_crbm.m code in my previous post. This gaussian_crbm.m function, plus the
- 3 days ago, 16 Apr 2015, 10:16pm -
Fed needs to walk a thin tightrope ahead of 2016... [Almanac Trader]
One clear headwind that exists for the market is the first Fed funds rate increase since June 2006. That 0.25% rate hike nudged the target rate to 5.25% and marked the last move in a major tightening cycle that began in June 2004. Including this cycle, there have been five major Fed cycles (up and
- 3 days ago, 16 Apr 2015, 10:14pm -
Social data research links: oil prices, real estate, and power laws [MKTSTK]
Oil price volatility and oil-related events: An Internet concern study perspective [ResearchGate] This paper investigates the effects of four types of oil-related events on world oil prices, using an event study methodology and an AR-GARCH model. The Internet information concerning these events,
- 4 days ago, 16 Apr 2015, 01:30pm -
The Relationship Between CAPE and Returns [EconomPic]
As I outlined in my previous post The Relationship Between Stocks and Bonds, the S&P 500 yields 3.7% at the current 27 CAPE (cyclically adjusted P/E), attractive from a relative basis to the sub 2% yield of the ten-year treasury. That said, a 3.7% yield is quite low by historical standards.
- 4 days ago, 16 Apr 2015, 01:30pm -
Nikkei 225 daily returns heatmap [UK Stock Market Almanac]
This article concerns the daily returns for the Nikkei 225 from 1984. Average daily returns The following table shows the average return since 1984 of the Nikkei 225 Index for each day of the year. For example, over the last 30 years the average daily return for the Nikkei 225 on 4 January has been
- 4 days ago, 16 Apr 2015, 01:29pm -
When VIX traders bet on a rise in volatility $SPY $VXX [@NautilusCap]
When VIX traders bet on a rise in volatility $SPY $VXX
- 4 days ago, 16 Apr 2015, 11:35am -
Some Seasonal Strength Could Help Today [Quantifiable Edges]
While most people are not fond of tax day in the US, it has historically seen strong inflows into IRA’s and hence the stock market. This has set up the day after tax day as a strong day for the market. Below is a look at how SPX has done since 1981 on tax day. The numbers are all impressive. They
- 4 days ago, 16 Apr 2015, 08:54am -
A Tutorial in R on Using A Hidden Markov Model (HMM) [Inovance]
Knowing how different market conditions affect the performance of your strategy can have a huge impact on your returns. Certain strategies will perform well in highly volatile, choppy markets while others need a strong, smooth trend or they risk long periods of drawdown. Figuring out when you should
- 4 days ago, 16 Apr 2015, 05:36am -
Re-balancing: Is it worth the time and effort? [Alvarez Quant Trading]
David Weilmuenster is today’s guest author. David and I worked together at Connors Research for eight years and is one great researcher and AmiBroker programmer. Brochures for professionally managed investments and academic white papers on long term investing almost always praise the benefits of
- 5 days ago, 15 Apr 2015, 01:35pm -
9 Mistakes Quants Make that Cause Backtests to Lie by Tucker Balch, Ph.D. [Quantopian]
Below is a follow-up article on Dr. Balch's talk he gave at Quantcon 2015. He will also present a live webinar on this topic on April 24, 2015 at 11AM EST. Click here to register. "I’ve never seen a bad backtest” -- Dimitris Melas, head of research at MSCI. A backtest is a simulation
- 5 days ago, 15 Apr 2015, 01:28pm -
Effective Strategies for Month End Seasonality [QuantLab.co.za]
Before we discuss methods to exploit the tendency for the stock market to rise during month end, I wanted to share the performance of simply implementing the strategy in its raw form against its inverse. The results are rather impressive. EOM Strategy vs EOM Inverse Strategy Performance For the test
- 5 days ago, 15 Apr 2015, 01:28pm -
Sports Analytics: Remember, Statistics aren't Perfect! [Alpha Architect]
We came across an interesting article in the Wharton Magazine blog titled “The Dangerous Data Fetishes of Sports Analytics” by Ian Cooper. The main point of the article is that some sports statistics do not add value. The main example Ian cites is the “PDO” variable which is used in hockey.
- 5 days ago, 15 Apr 2015, 01:28pm -
EM Surge leading oil? $USO [@NautilusCap]
EM Surge leading oil? $USO
- 5 days ago, 15 Apr 2015, 01:27pm -
Oil recovery reaches critical threshold $USO [@NautilusCap]
Oil recovery reaches critical threshold $USO
- 5 days ago, 15 Apr 2015, 01:27pm -
RUT Iron Condor - Dynamic Exit - 52 DTE Results Summary [DTR Trading]
Over the last eight posts we reviewed the backtest results for Iron Condors initiated at 52 days to expiration (DTE) on the Russell 2000 Index (RUT). To be consistent with all of the earlier backtests posted on this blog, we looked at 52 DTE Iron Condors initiated with short strikes at four
- 5 days ago, 15 Apr 2015, 01:27pm -
Tactical Asset Allocation with Market Valuations: Magic or Myth? [Alpha Architect]
Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as an effective way to manage risk and to time markets. As John Adams said many years ago, "Facts are stubborn things." However, our
- 6 days ago, 14 Apr 2015, 12:34pm -
Performance in Stable and Chaotic Markets Based on the CSSA Regime Indicator [Price Action Lab]
The CSSA Regime Indicator was recently disclosed by David Varadi in his blog. This is an interesting indicator that appears to have performed exceptionally well in a few major stock indexes. In this blog, the ability of this indicator in identifying stable and chaotic regimes is analyzed in the case
- 6 days ago, 14 Apr 2015, 12:33pm -
MATLAB Computational Finance Conference 2015 [Only VIX]
MATLAB Computational Finance Conference was a great event that I attended last year. There is a lot to learn for average Matlab user, and anyone working in finance. The agenda looks especially exciting this year. Ping me if you want to meet during the event.
- 6 days ago, 14 Apr 2015, 12:31pm -
New Book from Adam Grimes: Quantitative Analysis of Market Data [Amazon]
Traders who understand the statistics and probabilities behind the movements of financial markets have to tools to find an enduring trading edge. This book is written to be accessible to the trader without a heavy mathematical background, and works toward a deep, intuitive understanding of
- 6 days ago, 14 Apr 2015, 11:37am -
A Few Notes on Irrational Exuberance [CXO Advisory]
In the preface to the 2015 Third Edition of Irrational Exuberance, author Robert Shiller states: “…evidence of bubbles has accelerated since the [2007-2009 world financial] crisis. Valuations in the stock and bond markets have reached high levels in the United States and some other countries,
- 6 days ago, 14 Apr 2015, 06:00am -
Tax Day Rally Trading odds for $SPY $QQQ $IWM $XLU $XLF $XLE $XLI $IYR $XLP $XLK [Paststat]
Tax Day Rally Trading odds below the trading odds for various ETF’s with high volume , from the close of the Tax day ( i’e 15th Apr 2015 close , in this year’s close) till next 1/2/3/4/5 trading days , since the respective ETF’s inception 1) $SPY trading odds from Tax day’s close (SPDR
- 6 days ago, 14 Apr 2015, 04:10am -
Short-Term Trading: Friday Momentum with Weekday Filter [Oxford Capital]
Developer: Joe Krutsinger: “One Night Stand” Trading System. Concept: Short-term trading strategy based on a weekday filter and price momentum. Source: Freeburg, N. F. (Sep. 1994). Formula Research, Quantitative Treatment of the Financial Markets. Memphis, TN: Formula Research, Inc. Research
- 1 week ago, 13 Apr 2015, 07:46pm -
The Relationship Between Stocks and Bonds [EconomPic]
A Wealth of Common Sense has a recent post 'Stock Market Losses with Low Interest Rates' that outlines: Just because interest rates are low doesn’t mean stocks can’t or won’t fall. Interest rates are a very important factor in the markets but they’re not everything. Stocks are
- 1 week ago, 13 Apr 2015, 07:43pm -
New related paper to #21 - Momentum Effect in Commodities and #22 - Term Structure Effect in Commodities [Quantpedia]
The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term
- 1 week ago, 13 Apr 2015, 07:42pm -
Tactical Asset Allocation and Low Volatility Stocks [Alpha Architect]
Investing in strategies that exploit the low volatility anomaly have grown in popularity in recent years. While low volatility based strategies may or may not beat the return of a market cap weighted index, by construction, they will likely deliver significantly reduced volatility. This reduction in
- 1 week ago, 13 Apr 2015, 12:01pm -