Quantocracy

Quant Blog Mashup

ST
  • Quant Mashup
  • About
    • About Quantocracy
    • FAQs
    • Contact Us
  • ST
Quant Mashup - Alvarez Quant Trading
Biotech: My love-hate relationship [Alvarez Quant Trading]
The two charts above are from recent trades I have taken. Charts created in AmiBroker. On July 20, 2015 IBB, iShares Nasdaq Biotechnology ETF, made a closing high of 398. About three months later it closed at 289 for 27% loss. A very common thing I hear from traders is that they “don’t trade
- 6 years ago, 21 Oct 2015, 11:53am -
Stop Losses and Profit Targets. Plus Happy Birthday Excel! [Alvarez Quant Trading]
In the post, Maximum Loss Stops: Do you really need them?, we looked at how maximum loss stops changed the results of a mean reversion strategy. At the end of the post I asked the readers to vote for what to try next. Let us see how these are ideas turn out. The rules from the original post Setup
- 6 years ago, 30 Sep 2015, 08:06pm -
The Health of Stock Mean Reversion: Reader’s Ideas [Alvarez Quant Trading]
My previous post The Health of Stock Mean Reversion: Dead, Dying or Doing Just Fine generated good reader’s suggestions on other ways to check on mean reversion health. Let us see what these tests tell us. The Base Test Date Range: 1/1/1995 to 6/30/2015. Entry: Stock is part of the Russell 1000
- 6 years ago, 16 Sep 2015, 10:28am -
The Health of Stock Mean Reversion: Dead, Dying or Doing Just Fine [Alvarez Quant Trading]
My second post on this blog was a look at mean reversion, Is mean reversion dead? Given I am using a new data provider(Premium Data), it has been almost two years since that post and there have been other articles on this recently, I figured it was time to check again. The research will focus on
- 6 years ago, 19 Aug 2015, 11:57am -
Maximum Loss Stops: Do you really need them? [Alvarez Quant Trading]
We hear it all the time. “You must use stops.” And most of us use them. But do you know how they change your strategy results? Are they improving your results by giving you higher CAR or lower maximum drawdown? Recently I was speaking with a reader about this topic and he insisted that it you
- 6 years ago, 5 Aug 2015, 09:43pm -
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
- 6 years ago, 22 Jul 2015, 11:12pm -
XIV a heart attack waiting to happen [Alvarez Quant Trading]
A research friend recently sent me a link to The #1 Stock In The World. Besides being a blatant title to get one’s attention (and it worked on me), I found the idea interesting along with my research friends. I have been trying to add either XIV or VXX to my trading in some small way. The article
- 6 years ago, 8 Jul 2015, 11:51am -
Mutual Fund Sector Rotation – Ideas from readers [Alvarez Quant Trading]
he post ETF Sector Rotation generated good ideas on what to try differently. This post will research two ideas using Fidelity sector mutual funds. The previous post focused on two ideas on the Select Sector SPDR ETFs. Mutual Fund Universe These tests will use the Fidelity Sector Mutual Funds. The
- 7 years ago, 24 Jun 2015, 12:51pm -
ETF Sector Rotation – Ideas from readers [Alvarez Quant Trading]
The post ETF Sector Rotation generated some good ideas on what to try differently. This post will focus on two ideas on the Select Sector SPDR ETFs. The next post will look at two ideas using Fidelity sector mutual funds. ETF Universe These tests will use the Select Sector SPDR ETFs. The list is
- 7 years ago, 27 May 2015, 01:23pm -
ATAA Conference Trip Report [Alvarez Quant Trading]
I am back from the Australian Technical Analysis Association meeting in the Gold Coast, Australia. I had a great time meeting readers of the blog and other traders. Lots of good presentations. My favorites include those by Alan Clement and Andrew Gibbs, which provided me with new research ideas.
- 7 years ago, 23 May 2015, 06:14am -
How good is Smart Beta? [Alvarez Quant Trading]
How good is Smart Beta? A popular topic lately has been “Smart beta” ETFs. What is smart beta? It is using different ways to weight an index and the ETF that tracks it. For example, the S&P500 index is a capitalization weighted index. Bigger companies have a larger portion of the index. If
- 7 years ago, 6 May 2015, 01:09pm -
Interviewed on Better System Trader [Alvarez Quant Trading]
I was recently interviewed on Better System Trader. Go here to listen to it. He also has some other good interviews with Jake Bernstein and Brent Penfold which I listened to. I need to get around to the Nick Radge interview because I am meeting him next month at the 2015 Australian Technical
- 7 years ago, 29 Apr 2015, 04:05pm -
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
- 7 years ago, 15 Apr 2015, 01:35pm -
What I am reading: April 1, 2015 [Alvarez Quant Trading]
Recent articles that I found interesting and made me think. 99 Problems But A Backtest Ain’t One- “The first time one can actually realize how good (bad) his chosen backtesting solution is when the strategy is traded live. However I am always amazed how little some traders pay attention to how
- 7 years ago, 1 Apr 2015, 11:31am -
Speaking at the 2015 ATAA conference [Alvarez Quant Trading]
I will be speaking at the 2015 Australian Technical Analysts Association on May 15 to 17, 2015. My topics are “The development of an S&P500 stock weekly rotation strategy” and “From Internet Article to Trading Strategy: An ETF Monthly Rotation Strategy.” For more information about the
- 7 years ago, 25 Mar 2015, 10:43am -
ETF Sector Rotation [Alvarez Quant Trading]
My recent research has been in ETFs which I have not explored in several years. ETF sector rotation has always intrigued me. The idea seems so simple that it should work. Always be in the sector that has been doing the best. I like simple but does it work? If not, can we make it … C
- 7 years ago, 18 Mar 2015, 11:20am -
Developing Leveraged ETF Strategies [Alvarez Quant Trading]
How should one develop a strategy for leveraged ETFs? Do you develop the strategy on the unleveraged ETF and then apply the rules to the leveraged ETF? Or do you develop the strategy on the leveraged ETF directly? Or do you develop the strategy on the unleveraged ETF then use signals on that to
- 7 years ago, 4 Mar 2015, 11:38am -
What I am reading: Feb 11, 2015 [Alvarez Quant Trading]
Recent articles that I found interesting and made me think. S&P 500 Snapshot: Check out the ‘A Perspective on Drawdowns’ to see how shallow drawdowns have been overall since 2009. This Is The Best Illustration Of History’s Bull And Bear Markets We’ve Seen Yet – A longer term look at
- 7 years ago, 11 Feb 2015, 10:56am -
Trading stock splits [Alvarez Quant Trading]
Trading stock splits is something that I have read about for long time but never researched. This article, A simple way to beat the market with stock splits, caught my eye and gave me the push to investigate the topic. This falls into the category of a topic I have heard a lot about that …
- 7 years ago, 28 Jan 2015, 09:28am -
Using 52-week highs in a S&P500 monthly rotation strategy [Alvarez Quant Trading]
One area of recent interest for me is trading rotational strategies on a monthly timeframe using S&P500 stocks and ETFs. Areas of exploration include Momentum and Dual Momentum. Recently I came across The Secret to Momentum is the 52-Week High??? on Alpha Architect, a blog I highly recommend on
- 7 years ago, 14 Jan 2015, 05:07pm -
Day of month pattern or luck for a monthly ETF rotation strategy? [Alvarez Quant Trading]
From my post on Heikin-Ashi Charts, another researcher wrote Luck: The Difference Between Hired or Fired about how luck of the draw could account for the difference in returns depending on the starting date. This is a completely valid question. Are three better returns for a strategy in a particular
- 7 years ago, 17 Dec 2014, 10:14am -
  • Page
  • 1
  • 2
  • 3

Welcome to Quantocracy

This is a curated mashup of quantitative trading links. Keep up with all this quant goodness with our daily summary RSS or Email, or by following us on Twitter, Facebook or StockTwits. Read on readers!

Sources included on mashup:

Top Ranked by Readers


Allocate Smartly
EconomPic
Financial Hacker
Flirting with Models
Hudson and Thames
Investment Idiocy
Quant Start
QuantStrat TradeR
Robot Wealth
Turing Finance

 

Other Great Sources


Alex Chinco
Alpaca
Alpha Architect
Alpha Scientist
Alvarez Quant Trading
Artur Sepp
Asm Quant
Auquan
Better Buy And Hold
Better System Trader
Black Arbs
Blue Owl Press
Blue Sky AM
Build Alpha
Capital Spectator
CSS Analytics
Cuemacro
Dekalog Blog
DileQuante
DTR Trading
Dual Momentum
ENNlightenment
EP Chan
Eran Raviv
Factor Investor
Factor Research
Following the Trend
Foss Trading
Gekko Quant
Geodesic Edge
GestaltU
Invest Resolve
Investing for a Living
Jonathan Kinlay
Kid Quant
KKB Research
Koppian Adventures
Light Finance
Machine Factor Tech
Mark Best
Markov Processes
Mathematical Investor
Meb Faber
Only VIX
Open Source Quant
OSM
Oxford Capital
Patrick Aschermayr
Patrick David
Philipp Kahler
Philosophical Economics
Portfolio Optimizer
Propfolio Management
Python For Finance
Quant at Risk
Quant Connect
Quant Fiction
Quant For Hire
Quant Insti
Quant Journey
Quant Rocket
Quantifiable Edges
Quantpedia
Quants Portal
Quantum Financier
Quintuitive
R Trader
Ran Aroussi
Relative Value Arbitrage
Reproducible Finance
Return and Risk
Scalable Capital
Scott's Investments
Six Figure Investing
Sober Quant
SR SV
Sutherland Research
System Trader Show
Systematic Edge
Thiago Marzagao
Throwing Good Money
Timely Portfolio
Todo Trader
Top of the Bell Curve
Tr8dr
Trade with Science
Trading with Python
TrendXplorer
Two Centuries Investments
Voodoo Markets
Wisdom Trading

 

Other Great Aggregators


Abnormal Returns
Academic Quant News
Carl Carrie
PyQuant News
Quant Conferences
R-Bloggers

Copyright © 2015-2022 · Site Design by: The Dynamic Duo