This is a summary of links featured on Quantocracy on Wednesday, 09/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
SVM Trend Strategy on Nikkei 225 Mini Futures [Golden Compass]Motivation Support Vector Machines (SVM) are among the most popular Supervised Learning techniques for classification and regression, due to their ease in usage to find non-linear patterns. They work by separating data by finding an optimal threshold known as a decision boundary or hyperplane, to classify observations. When new data is presented to the SVM, it can distinguish which side of the
Evidence Based Investing is Dead. Long Live Evidence Based Investing! Part 1 [Invest Resolve]Michael Edesses article, The Trend that is Ruining Finance Research makes the case that financial research is flawed. In this two-part article series, we will examine the points that Michael raises in some detail. We find his arguments have some merit. Importantly however, his article fails to undermine the value of finance research in general. Rather, his points serve to highlight that
ETF Sector Trading: The effect of daily, weekly and monthly timeframes [Alvarez Quant Trading]I recently gave a presentation on Sector trading using the 200-day moving average at the Northwest Traders and Technical Analysts. Some questions asked were: What if we only trade this monthly? What if we used weekly bars to trade only weekly? Wat if we used weekly bars to trade monthly? The reason for these questions was to reduce the frequency of having to check signals and the total number of