Quant Mashup - Quantlab.co.za

Trend Following vs Countertrend Trading Strategies [QuantLab.co.za]

Introduction A blog series to contrast the key distinctions between trend following and countertrend strategies during building, testing and trading. In this post we examine the effects of data integrity and simulated trade sample size on backtested performance. Price Data Integrity One of the major(...)

Selecting an Appropriate Benchmark [Quantlab.co.za]

Introduction I have the privilege of working with two of the sharpest minds in the industry. Last week I had a discussion with them via email about selecting a suitable benchmark for the strategies I run. I was specifically questioning them on the use of cash returns as a benchmark. This is a(...)

A Backtesting Framework [QuantLab.co.za]

In the May edition of "Technically Speaking" released by the Market Technicians association there was an interesting reprint of a blog post written by Tucker Balch entitled "9 Mistakes Quants Make the Cause Backtests to Lie". The post is clear and concise and provides an(...)

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(...)

Is there an optimal time of the month to invest? [Quantlab.co.za]

Introduction Last week we explored the "best-day-of-the-week" theory and found no significant evidence to suggest that there is an optimal day of the week to trade. This week I'm going to test the theory that there is an optimal time of month to trade, and as you shall soon learn,(...)

Is there a best day of the week to trade? [Quantlab.co.za]

I've seen studies in the past that suggest that there's an optimal day of the week to trade. One well know trader in particular, Larry Williams (famous for trading $10K to $1.1 mill in a single year with real funds in a global trading competition) , discusses(...)

CAGR Confidence Intervals and Consistency [Quantlab.co.za]

Last year Rowan spoke about the importance of consistency in portfolio construction and today I'd like to expand on the concept a little. There are a number of reasons why consistency is important: 1) our performance pegged pricing structure is based on consistency 2) it's psychologically(...)

Synthetic Volatility Index Quantified [Quantlab.co.za]

In part 1 and 2 of our volatility series I discussed a technique that I've developed to monitor broad market volatility with a Synthetic Volatility Index. Today I'm going to quantify our index by applying it to a liquid universe of equities as a simple entry filter. If volatility indeed(...)

Engineering a Synthetic Volatility Index – Part 2 [Quantlab.co.za]

In last week's post I discussed two basic requirements for our proposed synthetic index: 1) it must accept price as its sole input for its calculation and 2) it must exhibit a high correlation with the VIX when applied to the S&P 500. An indicator that satisfies both of these requirements(...)