Quant Mashup
Quant Geek Weekend Finance Homework [Alpha Architect]
An R Tutorial for Microsoft Excel Unsers (Revolutions) Backtesting A Basic ETF Rotation System in Excel (System Trader Success) Regulating CEO Narcissism (Bodt, Bollaert, and etal) Value, Momentum and market Timing (Filippou and Garcia-Ares) Speed of Information Diffusion
- 8 years ago, 22 Feb 2015, 07:00pm -
RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta Continued [DTR Trading]
This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 12 delta short strikes, with different profit and loss exits as a percentage of the initial credit. Recall that these RUT ICs were
- 8 years ago, 22 Feb 2015, 07:00pm -
A Closer Update To David Varadi’s Percentile Channels Strategy [QuantStrat TradeR]
So thanks to seeing Michael Kapler’s implementation of David Varadi’s percentile channels strategy, I was able to get a better understanding of what was going on. It turns out that rather than looking at the channel value only at the ends of months, that the strategy actually keeps track of the
- 8 years ago, 20 Feb 2015, 07:19pm -
Particle Swarm Optimisation [Dekalog Blog]
Having decided that I'm going to use my mfe_mae indicator as a target for my neural net, over the last couple of months I've been doing some research on what would make good features for this target. In the course of this I've also decided that Particle swarm optimization would be a
- 8 years ago, 20 Feb 2015, 07:18pm -
Financial network visualization: clustering by Estimize analyst coverage [MKTSTK]
Estimize is a crowd-sourced network which collects structured financial predictions submitted by its users, many of whom are professional analysts. Users can make predictions ranging from what next month’s unemployment rate will be to what a stock’s next quarterly earnings report will say. There
- 8 years ago, 20 Feb 2015, 07:18pm -
Winning By Not Losing: Bootstrap Quantile Clouds [GestaltU]
Fundamental Rule #1: For most investors, financial risk is singularly defined as the probability of not reaching financial goals. As such, the sole objective of investing is to minimize this risk. If you are an average investor with a typically basic understanding of investing, Rule #1 above will
- 8 years ago, 20 Feb 2015, 03:13pm -
Statistical Arbitrage Using the Kalman Filter [Jonathan Kinlay]
One of the challenges with the cointegration approach to statistical arbitrage which I discussed in my previous post, is that cointegration relationships are seldom static: they change quite frequently and often break down completely. Back in 2009 I began experimenting with a more dynamic approach
- 8 years ago, 20 Feb 2015, 09:53am -
Despite new highs, volatility still elevated $SPY $VIX [@NautilusCap]
Despite new highs, volatility still elevated $SPY $VIX
- 8 years ago, 20 Feb 2015, 08:28am -
Trend Following Wizards: Good January Start [Au Tra Sy]
Good start of the year for the Wizards, who started the year with a collective +5.63% in January. Please see below for full individual results. Organisation / Fund Return YTD * AUM ** Abraham Trading1 4.93% 4.93% $272M Altis Partners2 9.67% 9.67% $335M Aspect Capital3 4.60% 4.60% $5,105M Beach
- 8 years ago, 20 Feb 2015, 06:30am -
Conditional Percentile Channels [CSS Analytics]
Ilya Kipnis at Quantstrat recently posted some R code attempting to replicate the ever-popular Percentile Channel Tactical Strategy. The results are similar but not exactly in line- which may have to do with the percentile function as Ilya has pointed out in the comments. In either case, the general
- 8 years ago, 20 Feb 2015, 02:54am -
The new enhanced Bond Rotation Strategy with adaptive bond allocation [Logical Invest]
On November 2013 I published the first SA article on the Bond Rotation Strategy (BRS) (http://seekingalpha.com/article/1845022-the-sleep-well-bond-rotation-strategy-which-has-returned-15-percent-per-year-since-2008). Now, 15 months later, I am presenting an important update for this strategy. Even
- 8 years ago, 19 Feb 2015, 08:47pm -
The number of Google searches for this term just set a record and investors are noticing [MKTSTK]
Fast food has been on a roll as of late. The rate of Google searches for for the term “hamburger” is at all time highs, and investors in fast food stocks are enjoying tasty returns. Burger chains such as Red Robin (RRGB) and Jack in the Box (JACK) have more than tripled since 2011, with similar
- 8 years ago, 19 Feb 2015, 08:47pm -
DJIA, S&P 500 & NASDAQ performance by Chinese... [Almanac Trader]
Welcome Year of the Sheep (or goat or ram depending on location). Although the Chinese New Year is not a major holiday for North America, it most definitely is for our friends and business associates in China, Hong Kong and elsewhere in the Asia and Chinatowns around the world. Celebrations will
- 8 years ago, 19 Feb 2015, 08:46pm -
Questioning Your Most Dangerous Assumptions: Does Rebalancing Add Value? [Flirting with Models]
In a prior post, I waxed philosophical about the importance of remaining skeptical of the assumptions that underlie portfolio construction. Another commonly accepted assumption is that rebalancing is a value-add activity. The underlying theory here is that assets tend to mean-revert over time, so by
- 8 years ago, 19 Feb 2015, 06:25am -
Software you lose when leaving a university: MATLAB [Walking Randomly]
I’ve been working at The University of Manchester for almost a decade and will be leaving at the end of this week! A huge part of my job was to support a major subset of Manchester’s site licensed application software portfolio so naturally I’ve made use of a lot of it over the years. As of
- 8 years ago, 19 Feb 2015, 06:25am -
Chinese New Year – year of the goat [UK Stock Market Almanac]
Today is the start of the Chinese new year. The following chart plots the average performance of the stock market for each animal year since 1950. For example, Ox years started in 1961, 1973, 1985, 1997, 2009; and the average performance of the market in those (Chinese) years was +14.0%. NB. The
- 8 years ago, 19 Feb 2015, 06:24am -
Predicting a stock’s daily trading volume: Update 1 [MKTSTK]
Last week we presented some evidence that the total daily trading volume for SPY could be predicted from the first minute’s trading volume. We accomplished this using an Archimedean copula, a mathematical construct for modeling multivariate data. Interpreting a copula from an intuitive standpoint
- 8 years ago, 18 Feb 2015, 08:06pm -
Year of the Sheep is bullish for Hang Seng Index [Almanac Trader]
Happy Chinese New Year! May I wish you all a fruitful and prosperous Year of the Sheep in 2015 – especially to my new friends from Hong Kong that I met on my trip there this past December where I gave an evening seminar and a full-day workshop all organized be my colleagues at Earlthorn. In some
- 8 years ago, 18 Feb 2015, 08:06pm -
Industry Group Momentum & Timing Risk [Flirting with Models]
In the Credit Suisse Global Investment Returns Yearbook 2015, there is a section dedicated to industry group analysis. Beyond an interesting history lesson about the rise and fall of certain industries, the piece demonstrated the strength of both momentum- and value-based investing when it came to
- 8 years ago, 18 Feb 2015, 08:54am -
An Attempt At Replicating David Varadi’s Percentile Channels Strategy [QuantStrat TradeR]
This post will detail an attempt at replicating David Varadi’s percentile channels strategy. As I’m only able to obtain data back to mid 2006, the exact statistics will not be identical. However, of the performance I do have, it is similar (but not identical) to the corresponding performance
- 8 years ago, 17 Feb 2015, 07:53pm -
How-To-Guide: DIY Investing Tool [Alpha Architect]
Our DO-IT-YOURSELF Investing Tool is Live! You can build your own stock selection and asset allocation models using our DIY Investing tools. How to Access the Tool? Step 1: Click "Our tools" tab from our main website page.
- 8 years ago, 17 Feb 2015, 07:53pm -
#1 Read of the Year [Meb Faber]
I sent this to The Idea Farm last week – this is always my #1 read of the year, the CSFB Global Investment Returns Yearbook! This is the annual update to my favorite investment book,Triumph of the Optimists. Included this year is a near 100 year backtest on industry rotation based on value and
- 8 years ago, 17 Feb 2015, 07:53pm -
Timing TSLA with Google Trends [MKTSTK]
Historical search volume presents a wealth of information. Recently, we presented a way to use Google Trends to predict stock market directiontsla_real_vol_, looked at the correlation between searches for the term “stock market” to the value of the VIX, and used searches for “farmville” to
- 8 years ago, 17 Feb 2015, 07:52pm -
It “Bean” a Good Time of Year [Jay On The Markets]
In case you were not aware of it, I have a “thing” for seasonal trends. Certain commodities are especially well known for exhibiting “seasonal” – or “cyclical”, if you prefer – trends. I’ve talked a bit recently about crude oil and energies here and here. Another market that fits
- 8 years ago, 17 Feb 2015, 07:52pm -
RUT Iron Condor - Dynamic Exit - 38 DTE - 12 Delta [DTR Trading]
In this post we will look at the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 12 delta short strikes, with different profit and loss exits. For some background on how these results are presented, please review the overview and prior 38 DTE posts at: RUT
- 8 years ago, 17 Feb 2015, 07:52pm -
Percentile Channel Strategy Replication [CSS Analytics]
Michael Kapler of the always excellent Systematic Investor blog has moved his publishing to GitHub to make it easier to post code. This has flown under the radar (even to me), and we are all grateful that he is back to publishing. He was able to reproduce the “Simple Tactical Asset Allocation with
- 8 years ago, 17 Feb 2015, 05:41am -
Questioning Your Most Dangerous Assumptions: Sector Rotation [Flirting with Models]
The term "black swan" has become synonymous with "rare event" – but the original concept proposed by Nassim Taleb was a bit more nuanced. The term came from the latin phrase "rara avis in terris nigroque simillima cygno": a rare bird in the lands and very much like a
- 8 years ago, 17 Feb 2015, 05:41am -
Interviewing the Quants: Marco Simioni and Nightly Patterns [Godel's Market]
Welcome back to Interviewing the Quants. This will be the second interview in the series. Many of you might know our guest from his trading at Nightly Patterns (http://nightlypatterns.wordpress.com). His name is Marco Simioni and he’s agreed to give us greater insight into what he does and who he
- 8 years ago, 17 Feb 2015, 05:40am -
Portfolio Analysis in R: Part III | Adding A Global Strategy [Capital Spectator]
I’ve been analyzing a 60/40 US stock/bond portfolio in R in a series of posts and today’s installment picks up from the previous post by adding a global strategy. The goal is enhancing the 60/40’s return while keeping risk at a comparable if not lesser level. Overly ambitious? Perhaps, but
- 8 years ago, 16 Feb 2015, 07:24pm -
How-To-Guide: Asset Allocation Backtesting Tool [Alpha Architect]
Our Asset Allocation Backtesting Tool is Live! You can build and backest your own allocation portfolio using our "Allocation Architect" tool. How to Access the Tool? Step 1: Click "Our tools" tab from our main website page. 1.1 Click to enlarge. Step 2: If you already have a
- 8 years ago, 16 Feb 2015, 07:24pm -
An R tutorial for Microsoft Excel users [Revolutions]
If you currently use a spreadsheet like Microsoft Excel for data analysis, you might be interested in taking a look at this tutorial on how to transition from Excel to R by Tony Ojeda. The tutorial explains how to use R functions in place of Excel formulas, including tools like =AVERAGE and
- 8 years ago, 16 Feb 2015, 07:23pm -
Value Investing Fund Assessment: The Incorrect Approach [Alpha Architect]
US News laundry lists their top 10 "Value Investing Funds," or Value Investing ETFs, in their recent article: http://money.usnews.com/funds/etfs/rankings/value-funds The criteria (and weighting) for selecting so-called "Value" ETFs are outlined below: Expense Ratio (30%) Tracking
- 8 years ago, 16 Feb 2015, 07:23pm -
Single Indicator Strategy with Sharpe ~1 on SPY [Analytical Accuracy]
We construct a strategy based on a single indicator – percentage of close price within the range of [Past N days Low, Past N days High]. First we calculate the indicator (pBand variable below) require(quantmod) getSymbols('SPY') Lookback=10 HLC=SPY[,c(
- 8 years ago, 16 Feb 2015, 07:22pm -
Pyramid Your Trading Profits Using the Gator [Tradinformed]
In this article I describe the Gator Oscillator and how it can be used as part of a pyramid entry trading system. I show the results of a Gator trading strategy on the S&P500 Index from 2000-2015. Pyramid Entry Systems It is tough to find good trades. In most markets at most times there will
- 8 years ago, 16 Feb 2015, 07:21pm -
Developing Statistical Arbitrage Strategies Using Cointegration [Jonathan Kinlay]
In his latest book (Algorithmic Trading: Winning Strategies and their Rationale, Wiley, 2013) Ernie Chan does an excellent job of setting out the procedures for developing statistical arbitrage strategies using cointegration. In such mean-reverting strategies, long positions are taken in
- 8 years ago, 16 Feb 2015, 07:28am -
Janitor to Multimillionaire? Not In This Market [Philosophical Economics]
Last week, CNBC profiled the inspirational story of Ronald Read, a gas station attendant and janitor from Vermont who amassed an $8MM fortune simply by investing portions of his small salary into high-quality, dividend-paying U.S. equities. Given the sampling of names that Read is reported to have
- 8 years ago, 16 Feb 2015, 07:27am -
Open Source Future of Algorithmic Trading [Quant Connect]
We’re proud to announce, thanks to the support of the community, the LEAN Algorithmic Trading Engine is now 100% open source. You have the freedom to connect any data source, execute through any brokerage and design any algorithm 100% locally. Moment of our Open Sourcing, Jan 12th 2015 It’s an
- 8 years ago, 16 Feb 2015, 07:26am -
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.
- 8 years ago, 14 Feb 2015, 05:39pm -
Predicting a stock’s daily trading volume from the market open [MKTSTK]
Given yesterday’s post showing the link between trading volume and stock valuation, it would seem appropriate to investigate the ways in which we can predict today’s volume. Its all well and good to know that high volume coincides with volatility and falling prices but how do we know we are
- 8 years ago, 14 Feb 2015, 05:22am -
The Quarterly Tactical Strategy (aka QTS) [QuantStrat TradeR]
This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation on the typical dual-momentum strategy that only trades over once a quarter, yet delivers a seemingly solid risk/return profile. The article leaves off a protracted
- 8 years ago, 14 Feb 2015, 05:21am -
A Tactical Asset Allocation Horserace Between Two Thoroughbreds [Alpha Architect]
Executive Summary: Dual Momentum, a concept pioneered by Gary Antonacci, intelligently combines elements of two types of momentum investing strategies -- absolute and relative momentum -- into a comprehensive asset allocation system. His paper shows that the combination of time-series momentum and
- 8 years ago, 14 Feb 2015, 05:21am -
February expiration week up 7 of last 9 [Almanac Trader]
The first day of S&P 500 February expiration week has been up in four of the last five years. This is a respectable streak, but still short of the 12-year winning streak that lasted from 1994 to 2005. Nonetheless, the first trading day of option expiration week is clearly bullish with S&P
- 8 years ago, 14 Feb 2015, 05:21am -
New highs, but with an asterisk? $QQQ [@NautilusCap]
New highs, but with an asterisk? $QQQ
- 8 years ago, 13 Feb 2015, 11:12am -
How The Friday Before Presidents Day Has Changed [Quantifiable Edges]
It is notable is that Friday is the last day before the President’s Day holiday. Historically the Friday before President’s Day has been a poor performer. But more recently the downside edge has not persisted. This can be seen in the curve below.
- 8 years ago, 13 Feb 2015, 09:28am -
Dual momentum: lookback parameter [RRSP Strategy]
A great advantage of dual momentum is the low number of parameters (typically only a lookback length of 12 months is used). This reduces the likelihood that results are curve-fitted or uncovered by data-mining and subsequently useless in real-time trading. … Continue reading U
- 8 years ago, 12 Feb 2015, 11:47pm -
Sentiment Warning Signal Flashing Red - Again [Trader Edge]
Many traders use technical and/or fundamental data, but few traders have discovered the unique benefits of using sentiment data in their investment process. Sentiment data attempts to quantify the emotional mood of investors and traders and can be used as a very effective contra-indicator. When
- 8 years ago, 12 Feb 2015, 10:43pm -
FTSE 100 daily returns heatmap [UK Stock Market Almanac]
This article concerns the daily returns for the FTSE 100 Index from 1984. Average daily returns The following table shows the average return since 1984 of the FTSE 100 Index for each day of the year. For example, over the last 31 years the average daily return for the FTSE 100 Index on 2 January has
- 8 years ago, 12 Feb 2015, 10:43pm -
Presidents’ Day, negative before & after [Almanac Trader]
Page 88 of the Stock Trader’s Almanac 2015, points out that Presidents’ Day is the poorest performing holiday of the eight holidays that are tracked. Unlike the others, the trading day before and the trading day after this three-day holiday weekend are both down on average over the past 34
- 8 years ago, 12 Feb 2015, 10:43pm -
Overnight Momentum vs. Intraday Momentum [Alpha Architect]
We decompose the abnormal profi
ts associated with well-known patterns in the cross-section of expected returns into their overnight and intraday components. We show that, on average, all of the abnormal returns on momentum strategies remarkably occur overnight while the abnormal profi
ts on the
- 8 years ago, 12 Feb 2015, 12:49pm -
The Narrative is Reality [GestaltU]
“I have come to believe that the whole world is an enigma, a harmless enigma that is made terrible by our own mad attempt to interpret it as though it had an underlying truth.” ― Umberto Eco, Foucault’s Pendulum Back in the days when I still thought markets were driven by fundamentals I used
- 8 years ago, 12 Feb 2015, 05:00am -