Quantocracy

Quant Blog Mashup

Quant Mashup
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(...)
- 10 years ago, 14 Jan 2015, 05:07pm -
Quantitative Momentum Research: Short-Term Return Reversal [Alpha Architect]
Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and stock price "overreaction." These explanations can be distinguished by examining returns over short time intervals since systematic changes in fundamental(...)
- 10 years ago, 14 Jan 2015, 03:30pm -
RUT Iron Condor Equity Curve Comparison - 80 DTE [DTR Trading]
In this post we will look at the equity curves for the three versions of the RUT "no touch" Iron Condor (IC) trades at 80 days to expiration (DTE). The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5(...)
- 10 years ago, 14 Jan 2015, 03:29pm -
Most popular posts - 2014 [Eran Raviv]
Well.. better late than never: The solid winner this year is: R vs MATLAB (Round 3) Followed by a far second Mom, are we bear yet? (2) and third: Detecting bubbles in real time And my own personal favorite for the year:
- 10 years ago, 13 Jan 2015, 03:49pm -
Crude Oil Usually Posts Major Seasonal Low Soon $CL_F $USO [Stock Trader's Almanac]
Crude oil has a tendency to bottom in mid-February and then rally through July (highlighted in yellow in second chart below). It is that early February low that can give traders an edge by buying ahead of a seasonally strong period. Going long crude oil’s July contract on or about February 13 and(...)
- 10 years ago, 13 Jan 2015, 03:49pm -
Sneak Peek: Python for Quants. Volume I [Quant at Risk]
The first professional book on Python programming is coming up very soon! Designed around Quants, Risk Analysts, and Algorithmic Traders in mind, Volume I of Python for Quants will deliver all what is essential to start coding in Python straight away! For more details and sneak peek click here:
- 10 years ago, 13 Jan 2015, 07:14am -
Non-linear Twists in Stock & Bond Correlation [Alphaism]
Stocks and bonds are negatively correlated. Translation: they must move against each other most of the time. Because intuitively, stocks bear higher risk than bonds so investors go to stocks when they want to take more risks and flee to bonds when they feel a storm is coming. Plus the numbers tell(...)
- 10 years ago, 12 Jan 2015, 03:24pm -
The Most (Not) Hated Bull Market [Meb Faber]

I look forward to reading Leuthold’s Green Book every month and the most recent one was great. I asked permission to share the following study as I thought it was revealing. They looked at sentiment levels as published by Investor’s Intelligence – specifically they averaged(...)
- 10 years ago, 12 Jan 2015, 03:24pm -
The One Factor To Save Them All--Leverage [Alpha Architect]
Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities(...)
- 10 years ago, 12 Jan 2015, 06:20am -
Dual Momentum Portfolio Update [Scott's Investments]
Scott’s Investments provides a free “Dual ETF Momentum” spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative(...)
- 10 years ago, 11 Jan 2015, 09:17pm -
SPX Iron Condor Comparisons [DTR Trading]
In this post we will look at the backtest results (summary statistics) for the three versions of the SPX "no touch" Iron Condor (IC) trades. The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5 to 10(...)
- 10 years ago, 11 Jan 2015, 04:02pm -
Supervised Learning for Document Classification with Scikit-Learn [Quant Start]
This is the first article in what will become a set of tutorials on how to carry out natural language document classification, for the purposes of sentiment analysis and, ultimately, automated trade filter or signal generation. This particular article will make use of Support Vector Machines (SVM)(...)
- 10 years ago, 10 Jan 2015, 12:35am -
Volatility of Average [Only VIX]
Different commodity including some volatility and bitcoin futures settle to an average value. For example VSTOXX settles to 1 minute sampled average value of the index in the last half hour of trading, Bitmex XBT/USD futures settle to 1 minute sampled average value of the last two hours of trading,(...)
- 10 years ago, 10 Jan 2015, 12:35am -
Adding a Risk-Free Rate To Your Analyses [QuantStrat TradeR]
First off, before beginning this post, I’d like to make my readers aware of the release of a book that I contributed almost an entire chapter for. Quantitative Trading With R is a primer on quantitative trading in R written by Harry Georgakopoulos, one of Chicago’s better quants. I(...)
- 10 years ago, 9 Jan 2015, 08:05am -
Quantitative Momentum Research: Long-Term Return Reversal [Alpha Architect]
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact” to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP(...)
- 10 years ago, 9 Jan 2015, 08:05am -
Crash-Protecting Your Portfolio With CrashMetrics [Jonathan Kinlay]
In a post on LinkedIn I referred to the concept of CrashMetrics and how it can be used for portfolio protection. It’s a simple approach to the management of extreme risk that works rather well. It can be summarized as “CAPM for crashes”. Here’s how it works. Let’s(...)
- 10 years ago, 9 Jan 2015, 08:04am -
S&P500 Year Cycle [Stockdotnu]
ear cycle for S&P500 and the top graph shows mean and median for year 1957 to 2014, the second graph is from 2000 to 2014. The graph is marked with year trading days from 1 to 249.
- 10 years ago, 9 Jan 2015, 03:27am -
Employment Report Overnight Futures Returns Since August 2012 [Overnight Edges]
I have shown the study below a several times in the last year or so, but not since September, and the employment night hot streak remains strong. The overnight futures market has been loving the Employment Report since the summer of 2012. The Employment Report is released at 8:30 AM Eastern(...)
- 10 years ago, 8 Jan 2015, 03:44pm -
Monthly ETF Rotation System Rules & Results - $SCHH, $IYR, $TLO, $SPY [Theta Trend]
As some of you know, I recently began trading two monthly ETF Rotation Systems. One is a Basic ETF Rotation system that trades a diverse group of markets and the other covers similar markets using Schwab Commission Free ETF’s. The Basic System is intended to take the place of the ETF Portion(...)
- 10 years ago, 8 Jan 2015, 05:19am -
Dow 20,000: Is 2015 the Year? [GestaltU]
It’s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what’s going to happen in 2015, and how to position portfolios to profit. Esteemed Wharton professor, Jeremy Siegel, author of the permabull bible, Stocks for the(...)
- 10 years ago, 8 Jan 2015, 05:00am -
Trading with Estimize and I/B/E/S earnings estimates data [EP Chan]
By Yang GaoEstimize is an online-community utilizing 'wisdom of crowds' to offer intelligence about market. It contains a wide range of crowd-sourced estimates from over 4,500 buy-side, sell-side and individual analysts. Studies (from Deustche Bank and Rice University among others) show(...)
- 10 years ago, 8 Jan 2015, 04:06am -
A Century of Generalized Momentum [GestaltU]
We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas. Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and ongoing research.
- 10 years ago, 6 Jan 2015, 04:54pm -
‘Twas 3 Nights Before Christmas – NASDAQ version [Quantifiable Edges]
I’ve been posting and updating the “Twas 3 Nights Before Christmas” study on the blog here since 2008. The study will kick in at today’s close. This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the
- 10 years ago, 22 Dec 2014, 09:45am -
Measuring Tactical Alpha, Part 2 [GestaltU]
When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures – particularly Sharpe ratio, alpha and information ratio. Without further adieu:
- 10 years ago, 12 Dec 2014, 05:00am -