Quant Mashup - Grzegorz Link
Spearman's rank correlation of technical indicators [Grzegorz Link]
RSI, MACD, Stochastic, ROC, CCI, %b - technical indicators come in many shapes and sizes.[1] Their names suggest something very technical at play. Maybe even scientific. Yet, they are a polarizing tool. They generate strong, opposing opinions. Some traders value them with near religious zeal, while
- 3 months ago, 19 Dec 2023, 12:15am -
A Couple of New Interesting Developments Concerning the Global Growth Cycle Strategy [Grzegorz Link]
A couple of new and interesting developments concerning the Global Growth Cycle strategy are available: - first of all, what I've called an important test of the strategy from 2021/22 apparently went well. The ensuing bear market of 2022 has been largely avoided by positioning per the GGC. The
- 1 year ago, 29 Jan 2023, 08:54pm -
The Yield Game [Grzegorz Link]
Asset managers are often fixated on predicting the best performing asset in the near future – be that a month ahead, six months, a year or two. Of course, it would be great to know what will appreciate in price the most (and subsequently – what to invest in right now), but all we can do is
- 1 year ago, 28 Jun 2022, 10:00pm -
An Important Test for the Global Growth Cycle [Grzegorz Link]
Whatever kind of strategy you're employing as an investor, an invaluable tool for determining it's usefulness is testing. Not simply backtesting on historical data or stress testing on synthetic data – that's the easy part. The fun and playful part. A much more important test comes
- 2 years ago, 13 Dec 2021, 09:37am -
Global Growth Cycle: Identifying Economic Turning Points, a Market Timing Strategy [Grzegorz Link]
Fluctuations of economic growth are observed throughout multiple measures of business activity and among countries. Due to their synchronized manner, they are often referred to as business cycles.[1] The problem with this designation is a lack of strict periodicity – as we'll see below, the
- 2 years ago, 1 Aug 2021, 10:54pm -
A Decade of Cryptocurrencies [Grzegorz Link]
It has been almost 11 years since the first official Bitcoin trades in July of 2010. It's price has experienced quite a run. Although controversial, cryptocurrencies have firmly taken hold of the current investing landscape, won hearts and minds of groups of investors, suggesting they are here
- 2 years ago, 12 May 2021, 10:54am -
A Comparison of Stock Market Performance Among Countries [Grzegorz Link]
The performance of stock market indices varies between different countries. Market-to-market and stock-to-stock correlations tend to get high during downturns[5], but differ considerably during other, more peaceful market environments. MSCI, a financial market data company, offers great quality data
- 3 years ago, 21 Oct 2020, 10:33am -
Sentiment analysis: ifo business climate data [Grzegorz Link]
Sentiment analysis is one of the investing tools I'm most fond of. There are multiple ways of measuring sentiment: from basic investor surveys to advanced text mining techniques, but one of the most robust and long-term datasets is ifo Institute's business climate sentiment polls.[4]
- 3 years ago, 6 May 2020, 10:44pm -