Quant Mashup - Sanz Prophet Bitcoin plus Harry Brown’s Permanent Portfolio – A mix in heaven? [Sanz Prophet]What would happen if you took $5,000 out of your $100,000 permanent portfolio and allocated it to Bitcoin? From 3.6% annual to 15% annual returns? Got to love the Permanent Portfolio I have been somewhat obsessed with the simplicity and fundamental thinking behind the permanent portfolio. I have(...) Bitcoin, Ethereum and Altcoins: How to get free daily and intraday Bitcoin historical prices [Sanz Prophet]In order to analyze and build ‘crypto’ based trading strategies we need to get historical data for Bitcoin and other ‘large-cap’ coins such as Ether, Ripple, Dash, Monero, etc. But also for up and coming coins such as Neo, Stratis, IOTA and many more. In this post I will point you to two(...) Day of month effect on Bond Equity portfolio [Sanz Prophet]In this post we will: Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio. Search for what has been the optimal dates in the month to rebalance such a portfolio. Each month we allocate to two ETFs: SPY and TLT. If SPY has outperformed TLT we rebalance to 60% SPY – 40%(...) The end of EOM? - Strategy and Rebalancing [Sanz Prophet]Posted by - Sanz Prophet Historically and up to 2013, equities have exhibited a positive bias during the end of the month. Here is an example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month. Trading is at the same day close. Interviewing the Quants: An Inside Look With “Sanz Prophet” [Sanz Prophet]Interviewing the Quants: An Inside Look With “Sanz Prophet”