Quant Mashup
Sort by:  
  
5
Editor's Pick: Quantocracy's Best Links in July [Quantocracy]
The best links for the month of July, as voted by our readers: P/E “Attention” Strategies Earn Monthly Excess Return of 1% [Alpha Architect] Back to Fundamentals [Dual Momentum] New Paper from Markowitz: Introducing the Gerber Statistic [Flirting with Models] Video: James Simons – Numberphile
- 1 day ago, 1 Aug 2015, 10:47pm -
3
VIX Trading Strategies in July [Volatility Made Simple]
We’ve tested 23 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I can’t speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies we’ve tested are broadly representative of how the vast
- 1 hour ago, 3 Aug 2015, 03:31am -
1
The Carry Trade Defies Theory [Larry Swedroe]
The success of the carry trade strategy has led to its widespread proliferation, despite the fact that it contradicts economic theory. In short, this strategy involves borrowing (going short) a currency with a relatively low interest rate and using the proceeds to purchase (going long) a currency
- 1 hour ago, 3 Aug 2015, 03:31am -
4
Interview with Scott Andrews [Better System Trader]
Scott Andrews is the CEO and Co-Founder of InvestiQuant. Scott has been trading full time since 2004, finding great success trading the opening gap and launching MasterTheGap.com in 2008. Scott has published over 1,500 daily gap analysis videos and his exact gap trading plan prior to the market open
- 6 hours ago, 2 Aug 2015, 09:57pm -
0
Ivy Portfolio August Update [Scott's Investments]
The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term
- 6 hours ago, 2 Aug 2015, 09:57pm -
3
Betting Against Days to Cover [Alpha Architect]
Abstract: The short ratio — shares shorted to shares outstanding — is an oft-used measure of arbitrageurs’ opinion about a stock’s over-valuation. We show that days-to-cover (DTC), which divides a stock’s short ratio by its average daily share turnover, is a more theoretically
- 3 days ago, 30 Jul 2015, 11:06pm -
0
SPX Strangle - High Loss Threshold - 80 DTE [DTR Trading]
SPX Strangle - High Loss Threshold - 80 DTE This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 80 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. Other 80 DTE variations
- 3 days ago, 30 Jul 2015, 11:05pm -
7
Momentum is Price Breakout [Price Action Lab]
Lately, there is a tendency to associate momentum, relative strength or cross-sectional, to quantitative analysis and label absolute momentum as technical analysis. Nothing can be further from the truth. Momentum is a trivial concept that is based on breakouts above a past price. At the same time,
- 3 days ago, 30 Jul 2015, 10:14am -
8
Political Contributions and Stock Returns [Factor Wave]
We are now about a year and a half away from the next presidential election. This means that the campaigning has been underway for over a month. Quite why the electioneering needs to last for a third of a presidential term is beyond me, but that might just be because I am a closet communist
- 3 days ago, 30 Jul 2015, 10:14am -
2
Algorithm Aversion - Why people don't follow the model! [Alpha Architect]
There are many studies showing that models beat experts, including the meta-study “Clinical versus mechanical prediction: A meta-analysis” by Grove et al. (2000). However, given this knowledge that models beat experts, forecasters still prefer to use the human (expert) prediction as opposed to
- 4 days ago, 29 Jul 2015, 11:03pm -
5
Synchronicity [MKTSTK]
Recently we read an excellent article on investing from Alpha Architect entitled One way to beat the market? Be different! In the article, the author shows how thinking differently from the pack can provide better performance for your investment portfolio. As often happens with lateral thinking,
- 4 days ago, 29 Jul 2015, 01:14pm -
6
Trading the VIX over the Fed Announcement [Factor Wave]
"Buy the rumor, sell the fact" is an over-used phrase traders say to describe the way the equity markets get excited by future events then lose steam when the event actually happens. Because the VIX is strongly negatively correlated with the equity markets, this could be changed to
- 4 days ago, 29 Jul 2015, 01:14pm -
3
Simple volatility rebalancing strategy [Volatility Fighter]
In my posts, I often mention a volatility rebalancing strategy. Originally, this strategy supposed to rebalance a portfolio daily to local volatility measured by standard deviation. I strongly suspect, that a common retail investor will stop trying to understand this strategy right after words
- 4 days ago, 29 Jul 2015, 01:14pm -
2
Dynamic Markowitz Efficient Frontier [Quant Dare]
Markowitz Model is a famous method allocated in the Portfolio Investment Theory. This model provides efficient portfolios, i.e. portfolios with the highest rentability and lowest risk possible through mathematical programming. The set of portfolios composes the efficient frontier. The strategy is
- 4 days ago, 29 Jul 2015, 11:03am -
3
The Information from Insiders [Factor Wave]
One of the things that “everyone knows to be true” is that the trades of company insiders convey valuable information. But is this really true? And are some types of trades more informative than others? If you can get hold of the relevant data, this is the sort of question that is very amenable
- 4 days ago, 29 Jul 2015, 11:03am -
4
Australia All Ords Steady Vol Strategy [John Orford]
In a round about way from New York to Singapore, I landed in Oz in 2012. It was like walking into a pre '08 New York or Ireland with funnier accents. They call '08 the 'GFC' or the 'Global Financial Crisis' and talk about it in a sort of detached way - because that
- 4 days ago, 29 Jul 2015, 11:03am -
6
Momentum Crashes [Quants Portal]
Seminal work by Jegadeesh and Titman (1993) found that past winners outperform past losers over a horizon of 3-12 months. Investors thus take a long position on winner stocks and a short position on loser stocks in order to realise anomalous profits. This strategy is widely adopted and appears to be
- 5 days ago, 28 Jul 2015, 09:38am -
1
Sports Betting used to explain Value and Momentum Effects [Quantpedia]
I use sports betting markets as a laboratory to test behavioral theories of cross-sectional asset pricing anomalies. Two unique features of these markets provide a distinguishing test of behavioral theories: 1) the bets are completely idiosyncratic and therefore not confounded by rational theories;
- 5 days ago, 28 Jul 2015, 09:38am -
0
Liquidity Premium Diminishing [Larry Swedroe]
Liquidity can be described as the ability to trade a large number of investments quickly, at low costs and when you want to. Because it is a priced risk, liquidity and its associated price effects are an important aspect of financial markets. In illiquid markets, such as the private equity market,
- 5 days ago, 28 Jul 2015, 09:37am -
0
[Academic Paper] Risk Premia in Option Markets [@Quantivity]
Risk Premia in Option Markets
- 5 days ago, 28 Jul 2015, 07:19am -
0
[Academic Paper] Risk Premia in Option Markets  [@Quantivity]
Risk Premia in Option Markets
- 5 days ago, 28 Jul 2015, 07:19am -
4
Momentum vs Moving Averages [Flirting with Models]
Summary Trend-following is one of the oldest investment methods Labeled as technical analysis, trend-following went largely un-researched by academics Research of cross-sectional momentum exploded after Narasimhan Jegadeesh and Sheridan Titman published their seminal 1992 study, but time-series
- 6 days ago, 28 Jul 2015, 12:06am -
3
Low Vol vs High Beta Premium [John Orford]
Low volatility stocks are better than those with high betas, right? Wrong! Completely and utterly wrong. High betas are costlier because as not-very-many point out - convexity or gamma is important! When the S&P is doing well the high beta index has a beta of 1.84 and when it's doing badly,
- 6 days ago, 28 Jul 2015, 12:06am -
9
One way to beat the market? Be different! [Alpha Architect]
This study was inspired by Ben Carlson’s blog post a few months ago. Ben highlights Robert Hagstrom’s book “The Warren Buffett Portfolio.” The high level question is the following: How can one beat the market? Answer: To beat the market, you have to be different than the market. One simple
- 6 days ago, 27 Jul 2015, 12:01pm -
8
Improve the Simple Gap Strategy Part 4 [System Trader Success]
In the last article of this series, Improving The Simple Gap Strategy Part 3, I tested a price-based filter on the in-sample data. This filter was based upon the price action of the previous trading day. During this test we discovered that if the previous trading day was a down-day we could open a
- 6 days ago, 27 Jul 2015, 11:43am -
5
The Media and Stock Returns [Factor Wave]
I recently had a disagreement with a trader friend. He said CNBC has become a waste of time to have on. I said it has always been a waste of time to have on. His point was that there are times when has been able to give him ideas about what stocks to follow. He thought it was self-evident that
- 6 days ago, 27 Jul 2015, 11:43am -
0
SPX Strangle - High Loss Threshold - 73 DTE [DTR Trading]
This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 73 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. Other 73 DTE variations will be posted on my Twitter feed,
- 6 days ago, 27 Jul 2015, 11:43am -
4
An Ominous Random Pattern [Price Action Lab]
I show in the blog that the candlestick pattern known as bearish engulfing is no more than a random formation even when it occurs near 52-week highs. Although this and a host of other related patterns are useless for making trading/investing decisions, the financial news industry continues to frame
- 1 week ago, 25 Jul 2015, 09:04pm -
3
Finding Stock Splits and Ex-Dividends Using R [Godel's Market]
The following post shows you how to check for any stock splits and ex-dividends happening. It'll spit out a list of symbols. These can be used as alerts or piped into another script for updating your database as needed. I want to thank pcavatore for suggesting this topic! Comments and
- 1 week ago, 25 Jul 2015, 09:04pm -
2
Chapter 13 – Summary [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- I would classify both my mother and grandmother as traditional Southern cooks. Their style was very much of the “finger”
- 1 week ago, 24 Jul 2015, 06:57pm -
1
Generalising the Mojito Strategy [John Orford]
The Mojito uses a step function to switch up allocations between the VXX and VXZ ETFs over time. A bunch of rules which says... If the spot VIX to VXV (3 month VIX future) ratio ('IVTS') is lower than 0.91 then short the VXX (short term VIX future ETF) and weight by -0.7, while long the
- 1 week ago, 24 Jul 2015, 06:57pm -
4
The Mechanics and Dynamics of a Short Squeeze [Factor Wave]
In a recent post I discussed how the short borrow rate could be used as a predictor of future stock returns. This prompted a reader to ask if the analysis had taken short squeezes into account. This is a good point. Because of the mechanics of short selling it is sometimes not possible to hold short
- 1 week ago, 24 Jul 2015, 06:56pm -
0
Margin Debt – Bad or Beautiful? [Jay On The Markets]
Well here I go again breaking one of my own cardinal rules again – i.e., being critical of someone else’s writing. Must be getting cranky in my old age. Anyway, I recently read an article calling margin debt “an indicator that predicts nothing.” No the writer is actually technically correct
- 1 week ago, 24 Jul 2015, 06:56pm -
10
P/E “Attention” Strategies Earn Monthly Excess Return of 1% [Alpha Architect]
Active investors with limited attention and capital constraints use fundamental metrics to screen and sort potential investments. Price-earnings (P/E) ratios are extremely popular, and are typically calculated using four trailing quarters of net income. Changes in the rankings of published P/E
- 1 week ago, 23 Jul 2015, 10:45pm -
1
Carry: An Investing Framework [Factor Wave]
People generally compartmentalize their knowledge. They try to think of things in terms of categories and frameworks rather than remember a bunch of disconnected facts. For example, chemists think of the world in terms of interactions between elements, astrologists (a.k.a stupid people) think of the
- 1 week ago, 23 Jul 2015, 10:44pm -
0
SPX Strangle - High Loss Threshold - 66 DTE [DTR Trading]
This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 66 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. For background on the setup for the backtests, as well as the
- 1 week ago, 23 Jul 2015, 10:44pm -
0
Add Junk Bonds To The Growing Pile Of Concerns [Dana Lyons]
This week’s Charts Of The Day and blog posts have had a heavy bearish bent to them. That isn’t by design. We just go where the data leads us and much of the data, in our view, is skewing to the bearish side for equities. Included in the concerning assortment of data are many examples of
- 1 week ago, 23 Jul 2015, 10:43pm -
0
[Academic Paper] Carry and Trend Following Returns in Foreign Exchange Market [@Quantivity]
Carry and Trend Following Returns in Foreign Exchange Market
- 1 week ago, 23 Jul 2015, 07:19am -
0
[Academic Paper] Carry and Trend Following Returns in Foreign Exchange Market  [@Quantivity]
Carry and Trend Following Returns in Foreign Exchange Market
- 1 week ago, 23 Jul 2015, 07:19am -
4
Multiple Time Frames for Scoring ETF Rotational Strategies [Alvarez Quant Trading]
Today we have a guest post from David Weilmuenster who I worked with while at Connors Research. A widely applied technique for scoring assets in rotational systems is to rank those assets by their price momentum, or return, over a given historical window and to rotate into the assets with higher
- 1 week ago, 22 Jul 2015, 11:12pm -
3
Market timing with Value and Momentum [Alpha Architect]
Yesterday we wrote a post showing a potential way to time the market using valuation-based signals. In the past we have also examined how to use momentum-based signals (moving average rules and time-series momentum) to time the market. A natural question is what happens when we combine the
- 1 week ago, 22 Jul 2015, 11:12pm -
6
White Noise and Random Walks in Time Series Analysis [Quant Start]
In the last article of the Time Series Analysis series we discussed the importance of serial correlation and why it is extremely useful in the context of quantitative trading. In this article we will make full use of serial correlation by discussing our first time series models, including some
- 1 week ago, 22 Jul 2015, 11:11pm -
3
New Academic Research: ECB predicts stock market using social data [MKTSTK]
The European Central Bank just released a research report that might be of some interest to readers of this blog. It turns out that Social Data can be useful in predicting the stock market (go figure!): Quantifying the effects of online bullishness on international financial markets [ECB] …In our
- 1 week ago, 22 Jul 2015, 11:11pm -
4
Fractal mathematics used to explain #14 - Momentum Effect in stocks [Quantpedia]
Mandelbrot has significantly contributed in many ways to the area of finance. He was one of the first who criticized the oversimplifications centered around the early stochastic process models of Bachelier utilizing normal distribution. In his view, markets were fractal and much wilder than
- 1 week ago, 22 Jul 2015, 11:11pm -
9
Eureka! A Valuation-Based Asset Allocation Strategy that Might Work [Alpha Architect]
We’ve had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up in disappointment… Can market Valuations Be Effective Market-Timing Signals? Dissecting Goldman’s 99 Percentile Market-Timing Signal
- 1 week ago, 21 Jul 2015, 09:24pm -
0
[Academic Paper] Night Trading: Lower Risk but Higher Returns? [@Quantivity]
Night Trading: Lower Risk but Higher Returns?
- 1 week ago, 21 Jul 2015, 07:58pm -
0
[Academic Paper] Night Trading: Lower Risk but Higher Returns?  [@Quantivity]
Night Trading: Lower Risk but Higher Returns?
- 1 week ago, 21 Jul 2015, 07:58pm -
5
Systems building - execution [Investment Idiocy]
People often get systematic and automated trading mixed up. The latter is a subset of the first. You can't have a system which is fully automated if it relies on discretionary input, no matter how small. But you can have a system which needs a human to make it run, even though there is no
- 1 week ago, 21 Jul 2015, 10:04am -
2
Short Rates as a Predictor of Stock Returns [Factor Wave]
In order to sell a stock short you first need to borrow it from someone else. The way that this typically happens is that your broker takes it from another clients account and loans it to you. You can then sell it to someone else. Although this means you end up with cash in your account, individuals
- 1 week ago, 21 Jul 2015, 10:03am -
10
Back to Fundamentals [Dual Momentum]
After winning two consecutive national championships, the Green Bay Packers lost a game due to sloppy play. Coach Lombardi called a meeting the very next day to get his team back to fundamentals. When all the players were assembled, Lombardi held a football high up in the air and declared,
- 1 week ago, 20 Jul 2015, 10:02pm -