Quantocracy

Quant Blog Mashup

ST
  • Quant Mashup
  • About
    • About Quantocracy
    • FAQs
    • Contact Us
  • ST
Quant Mashup
New related paper to #237 - Dispersion Trading [Quantpedia]
#237 - Dispersion Trading Authors: Deng Title: Volatility Dispersion Trading Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1156620 Abstract: This papers studies an options trading strategy known as dispersion strategy to investigate the apparent risk premium for bearing correlation risk
- 9 years ago, 21 May 2015, 05:51pm -
Mini Mashup: Changes Afoot in VIX Trading [Quantocracy]
There are some changes afoot in the VIX trading space with the launch of the VIX ETFs VXUP and VXDN. Even if you don’t trade those specific products, they might be having a knock-on effect on VIX futures, which would impact all other VIX ETF/ETNs like VXX and XIV. There is a subset of our
- 9 years ago, 21 May 2015, 02:14pm -
The Risks of Owning an Individual Stock [Alpha Architect]
How risky is it to buy an individual stock? This is a question investors should ask themselves when deciding to buy a single stock. However, many investors tend to get caught up in the story about why company XYZ is going to double over the next year. As an educated investor, it makes sense to know
- 9 years ago, 21 May 2015, 02:07pm -
Will Natural Gas Soar With the Wind in June? [Jay On The Markets]
See Jay’s recent post: One More Plunge for Crude Oil? OK, my last article (Will Natural Gas Break Wind in June?) did sound a little apocalyptic regarding the prospects for natural gas in June. But maybe that did not present the full picture. While that previous article did detail a bearish
- 9 years ago, 21 May 2015, 12:09pm -
Put/Call ratios pretty low... $SPX $SPY [@NautilusCap]
Put/Call ratios pretty low... $SPX $SPY
- 9 years ago, 21 May 2015, 12:09pm -
SPX Iron Condor - High Loss Threshold - 52 DTE [DTR Trading]
This post looks at a standard (STD) one-lot iron condor on the S&P 500 Index (SPX), initiated at 52 days-to-expiration (DTE). The results in this post were derived from approximately 3200 individual trades entered by the backtester. For background on the setup for the backtests, as well as the
- 9 years ago, 21 May 2015, 12:09pm -
Intermarket Analysis: The Pathfinder | Trading Strategy (Filter) [Oxford Capital]
I. Trading Strategy Developer: Nelson F. Freeburg. Concept: The currency trading strategy based on the intermarket analysis. Source: Freeburg, N. F. (Dec. 1993). Formula Research, Quantitative Treatment of the Financial Markets. Memphis, TN: Formula Research, Inc. Research Goal: Performance
- 9 years ago, 20 May 2015, 10:06pm -
An Unfolding Finite Difference Algorithm in Javascript [John Orford]
very model's assumptions get thrown out the window as soon as things get really rocky. Every model is short vol. Even those for which getting volatility right is crucial! Take the binomial tree approach to pricing options for example. See my previous post here. From 'Paul Wilmott
- 9 years ago, 20 May 2015, 10:06pm -
The Europe Catch-Up Trade... $FEZ [@NautilusCap]
The Europe Catch-Up Trade... $FEZ
- 9 years ago, 20 May 2015, 07:39pm -
New Paper from GestaltU and QuantStrat TradeR: Momentum and Markowitz: A Golden Combination (PDF)
Mean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote
- 9 years ago, 20 May 2015, 06:52am -
A Few Notes on Invest with the Fed [CXO Advisory]
In the introduction to their 2015 book entitled Invest with the Fed: Maximizing Portfolio Performance by Following Federal Reserve Policy, authors Robert Johnson, Gerald Jensen and Luis Garcia-Feijoo state: “Our purpose in writing this book is to provide a general overview of the Fed’s role in
- 9 years ago, 20 May 2015, 06:00am -
Why We've Done Away with Down Voting [Quantocracy]
After a few days of living with our (pretty awesome) new voting feature at Quantocracy, we’ve opted to do away with down voting. Readers can now choose to either vote up or not vote at all on each link. We try to keep things friendly around these parts, and the down voting just began to feel a
- 9 years ago, 20 May 2015, 05:51am -
A Magical Metric That Isn’t [Larry Swedroe]
I was recently asked to comment on an article that appears in the April 2015 issue of the American Association of Individual Investors Journal. The article is based on the paper “Mutual Fund’s R2 as Predictor of Performance,” which was published in the March 2013 issue of The Review of
- 9 years ago, 20 May 2015, 04:23am -
Dow Divergences Part 2: Utilities [Dana Lyons]
This is part 2 of our series (or mini-series…TBD) on divergences. As we stated yesterday, divergences (in which one index achieves a new high whereas another does not) are generally over-cited as red flags. The problem is that the timing of their repercussions on the market - if any actually
- 9 years ago, 20 May 2015, 04:23am -
Will Natural Gas Break Wind in June? [Jay On The Markets]
See Jay’s recent post: One More Plunge for Crude Oil? If you are an ardent believer in the phrase “if something looks too good to be true it probably is”, then you’d better brace yourself. Because a “sure-fire, can’t miss, you can’t lose” thing is on the horizon in natural gas. Well
- 9 years ago, 20 May 2015, 04:22am -
Tactical Asset Allocation: Beware of Geeks Bearing Formulas [Alpha Architect]
How Should I Tactically Allocate my Assets? A lot of investors ask this question as their wealth grows and the number of financial products grows exponentially. In order to generate a response, investors pay money to professional finance geeks who often present complex formulas as a solution to the
- 9 years ago, 19 May 2015, 01:00pm -
Dow Divergences Part 1: Transports [Dana Lyons]
Divergences are one of the most oft-cited arguments in calling tops. They are also perhaps the least accurate. That’s because divergences (whereby one index reaches a new high while another fails to do so) both A) occur frequently and B) can persist for lengthy periods of time. For those reasons,
- 9 years ago, 19 May 2015, 01:00pm -
Bayesian Inference of a Binomial Proportion - The Analytical Approach [Quant Start]
In the previous article on Bayesian statistics we examined Bayes' rule and considered how it allowed us to rationally update beliefs about uncertainty as new evidence came to light. We mentioned briefly that such techniques are becoming extremely important in the fields of data science and
- 9 years ago, 19 May 2015, 12:21pm -
Daily Academic Alpha: Which Trend is Your Friend? [Alpha Architect]
Which Trend Is Your Friend? Managed-futures funds (sometimes called CTAs) trade predominantly on trends. There are several ways of identifying trends, either using heuristics or statistical measures often called "filters." Two important statistical measures of price trends are time series
- 9 years ago, 19 May 2015, 12:18pm -
Stock Returns Around Memorial Day [CXO Advisory]
Does the Memorial Day holiday signal any unusual return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday
- 9 years ago, 19 May 2015, 12:00pm -
Is your glide path too risky? [Flirting with Models]
The theory behind the glide path is easily distilled: as we grow older and approach retirement, we transition from an primary objective of growth to one of capital preservation. Our allocation profile, therefore, should follow this transition. Close to retirement, when capital preservation is
- 9 years ago, 19 May 2015, 11:28am -
SPX Iron Condor - High Loss Threshold - 38 DTE [DTR Trading]
This is the first article in a series where we will look at the performance of the iron condor options strategy, where the loss exits will be greater than the profit exits. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the
- 9 years ago, 19 May 2015, 11:28am -
What Drives the S&P 500 Equal-Weight Return Premium? [Alpha Architect]
A recent academic paper, Equal or Value Weighting? Implications for Asset-Pricing Tests, highlights two methods of weighting: Equal-weight and Value weight. As the paper states: With monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of total mean
- 9 years ago, 18 May 2015, 02:34pm -
A Basic Logical Invest Global Market Rotation Strategy [QuantStrat TradeR]
This may be one of the simplest strategies I've ever presented on this blog, but nevertheless, it works, for some definition of "works". Here's the strategy: take five global market ETFs (MDY, ILF, FEZ, EEM, and EPP), along with a treasury ETF (TLT), and every month, fully invest
- 9 years ago, 18 May 2015, 02:33pm -
Systems building - futures rolling [Investment Idiocy]
Trading futures has one fairly substantial complication compared to many other assets. You can't just buy 'the CME Gold future'. There is no such thing. You need to select which delivery date future you are trading. Do you want to trade June 2015, July, August....? Once you've
- 9 years ago, 18 May 2015, 02:33pm -
Truths about stop-losses that nobody wants to believe [Quant Investing]
If you're a long-term reader of my articles, or a subscriber to the newsletter, you will know that I am not a great supporter of a stop-loss system. This is mainly been because some testing we did came to the conclusion that a stop-loss strategy leads to lower returns even though it did reduce
- 9 years ago, 18 May 2015, 02:32pm -
Iron Condor Series - Higher Loss Thresholds [DTR Trading]
During my series on dynamic exits of iron condors, I received several requests for an expansion of these backtests. Specifically, people asked if I could run the tests with larger loss thresholds. I thought this was a good idea. I've decided to postpone the series on the Strangle options
- 9 years ago, 18 May 2015, 02:32pm -
Making Comparisons in Finance [John Orford]
There was a period not so long ago on a planet not so far when I lost all concept of value. I had lived in many countries in as many months and lost track of what anything was worth. Euros, USD, SGD, IDR and AUD became indistinguishable units of exchange, a means to an end, I handed over a fist of
- 9 years ago, 18 May 2015, 02:31pm -
Most narrow SPX run to new highs since 2007 top $SPY [@NautilusCap]
Most narrow SPX run to new highs since 2007 top $SPY
- 9 years ago, 18 May 2015, 12:23pm -
Why Friday’s Quiet OpEx Could Mean Trouble This Week [Quantifiable Edges]
Despite the options expiration, SPY volume came in at the lowest level of the week. When combined with the fact that the VIX also closed at a recent low it brought about a bearish study from the Quantifinder. Results below are all updated. The low VIX typically suggests complacency. It also
- 9 years ago, 18 May 2015, 08:59am -
Interview with Rob Hanna [Better System Trader]
Rob Hanna has been a full-time market professional since 2001. He first began publishing his market views and research in 2003. From 2003 to 2007 his column “Rob Hanna’s Putting It All Together” could be found twice a week on TradingMarkets.com. In 2008 Rob began Quantifiable Edges and in 2012
- 9 years ago, 17 May 2015, 12:22pm -
Shorting extremes in a bear market [Better System Trader]
In Episode 7 of the podcast Rob Hanna provides an idea for shorting extremes in a bear market: I got one in bear markets that shows all right, what happens if… you sold short every 20 day high below the 200 day moving average or something like that and exited when it got back below the 20 day
- 9 years ago, 17 May 2015, 12:21pm -
Quant Geek Weekend Homework: Academic Finance Research [Alpha Architect]
Post-discovery Performance: Will Anomalies Fade Away After Discovery? (Qu, Lu, Sun and Yan) The Search for Crisis Alpha: Weathering the Storm Using Relative Momentum (Newfound Research) Are Your Backtest Results fooling you? Try Monte Carlo Analysis (Better System trader) Buffett’s Alpha
- 9 years ago, 16 May 2015, 01:31pm -
Quasi-Maximum Likelihood [Eran Raviv]
Beauty.. really? well, beauty is in the eye of the beholder. One of the most striking features of using Maximum Likelihood (ML) method is that by merely applying the method, conveniently provides you with the asymptotic distribution of the estimators. It can’t get more general than that. The
- 9 years ago, 16 May 2015, 01:30pm -
Singular Value Diversification Strategy [John Orford]
Being a loser is an art. I am not interested in being a good loser, but in knowing when to quit. The art of quitting can be acquired after a little numerical analysis. (Not necessarily due to all the confusing linear algebra!) In the world of numerical solutions there is no correct answer. Knowing
- 9 years ago, 15 May 2015, 11:57pm -
New related paper to #5 - FX Carry Trade [Quantpedia]
The paper gives evidence of a novel pricing factor for the cross-section of carry trade returns based on trade relations between countries. In particular, we apply network theory on countries' bilateral trade to construct a measure for countries' exposure to a global trade risk. A higher
- 9 years ago, 15 May 2015, 01:52pm -
Another commodity hits bull market threshold $UNG [@NautilusCap]
Another commodity hits bull market threshold $UNG
- 9 years ago, 15 May 2015, 01:51pm -
Live Trading with Interactive Brokers [Quant Connect]
We're very proud to announce our public release of live trading with Interactive Brokers! Now you can seamlessly design and trade your algorithm within QuantConnect. Automated live trading is one of the most challenging engineering problems in financial technology. It involves controlling large
- 9 years ago, 15 May 2015, 03:53am -
Getting Started with Open Source for Quantitative Finance [Quants Portal]
Connect with Jacques on LinkedIn During my senior year, at a university that promised to teach me things, I found myself staring at financial statements wondering to myself "what is it the Quants see that I don't?" and so began my journey into quantitative finance. Throughout my
- 9 years ago, 15 May 2015, 03:51am -
Lazy Backtest IDE Update [John Orford]
Another week another Lazy Backtest IDE update. Now you can incorporate yield data into your strategies, oh, and also use it in your Sharpe ratio calculations. Also - no one likes little black boxes, right? No one! So, I included a link to download a CSV file of results. Meaning you can understand
- 9 years ago, 15 May 2015, 03:50am -
Why tactical fixed-income is different [Flirting with Models]
As a tactical asset management firm, we seek to offer a full range of downside risk managed investment strategies, covering all parts of an investor's portfolio. We believe that controlling drawdown and smoothing volatility is a critical objective, as periods of capital loss often coincide with
- 9 years ago, 14 May 2015, 03:07pm -
With Banks At New Highs, Are Stocks Out Of The Woods? [Dana Lyons]
With the major indexes again pushing up near new highs, it is a good reminder that despite all of the ancillary concerns about the market (many of them voiced by us), the trump card ultimately is price. And while there have been some potential cracks recently on that front, by and large, the trend
- 9 years ago, 14 May 2015, 03:07pm -
Building an algorithmic trading strategy [Inovance]
Building a fully automated, algorithmic trading strategy can seem like a daunting task but can actually be broken down into a series of simple steps. In this post, we'll go through the three steps to building an algorithmic strategy: Idea, Test, and Trade, and break down what you need to know
- 9 years ago, 14 May 2015, 12:50pm -
Off the Rails. Transports diverge from SPX $IYT $SPY [@NautilusCap]
Off the Rails. Transports diverge from SPX $IYT $SPY
- 9 years ago, 14 May 2015, 12:50pm -
An Update/Clarification to a ‘Simple Pattern’ for Trading [Jay On The Markets]
It’s been (alas, correctly) brought to my attention that my description of the “Simple Pattern” I wrote about was, um, not so simple. To wit, the author writes: “Not every Day 1 signal generates an entry signal. If the 2nd trading day after the “close below previous low” (Day 3) does not
- 9 years ago, 14 May 2015, 12:29pm -
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
- 9 years ago, 14 May 2015, 06:06am -
O’Doul’s Part 2 [Investor's Field Guide]
I posted the other day about fundamental indexation being the O’Doul’s of value investing, because it is just the first step away from a market cap weighted index and towards a more differentiated value portfolio. I received lots of emails about the post, so figured I would spend more than 20
- 9 years ago, 13 May 2015, 04:33pm -
Currency Investing Research: Good Carry, Bad Carry [Alpha Architect]
Abstract: We distinguish between “good” and “bad” carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and slightly negative or even positive skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and skewness.
- 9 years ago, 13 May 2015, 01:43pm -
Which Iron Condor Options Strategy Is Best? [DTR Trading]
Over the last four months of blog posts we've looked at 7 different approaches for exiting iron condors. These exits included: Exit at 8 DTE ML40% - exit when the loss is equivalent to 40% of the margin for the position OR 8 DTE BSP - exit when the market is below the strike of the short put
- 9 years ago, 13 May 2015, 01:42pm -
Advertising a Few Systematic ETFs (Strictly Of My Own Volition) [QuantStrat TradeR]
This post will introduce several ETFs from Alpha Architect and Cambria Funds (run by Meb Faber) that I think readers should be aware of (if not so already) in order to capitalize on systematic investing without needing to lose a good portion of the return due to taxes and transaction costs. So, as
- 9 years ago, 13 May 2015, 01:42pm -
  • Page
  • 1
  • ...
  • 128
  • 129
  • 130
  • ...
  • 143

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, StockTwits, Mastodon, Threads and Bluesky. 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
Black Arbs
Blue Owl Press
Blue Sky AM
Build Alpha
Capital Spectator
CSS Analytics
Dekalog Blog
DileQuante
DTR Trading
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
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
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
R Trader
Ran Aroussi
Relative Value Arbitrage
Reproducible Finance
Return and Risk
Scalable Capital
Scott's Investments
Six Figure Investing
Sober Quant
SR SV
System Trader Show
Systematic Edge
Thiago Marzagao
Throwing Good Money
Timely Portfolio
Todo Trader
Top of the Bell Curve
Tr8dr
Trading with Python
TrendXplorer
Two Centuries Investments
Voodoo Markets
Wisdom Trading

 

Other Great Aggregators


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

Copyright © 2015-2025 · Site Design by: The Dynamic Duo