Quant Mashup
Visualising Intraday Market Correlation [Ryan Kennedy]
I stumbled across a great post on MKTSTK about visualising volatility and correlations of multiple timeseries with streamgraphs, and it got me thinking about where else a streamgraph might be useful to visualise financial data. Rather than looking at an individual assets, I thought it might be
- 7 years ago, 19 Mar 2017, 05:20pm -
Research Review | 17 March 2017 | Risk Factors [Capital Spectator]
Contrarian Factor Timing is Deceptively Difficult Clifford S. Asness (AQR Capital Management), et al. March 7, 2017 The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors, and fears of imminent mean-reversion and underperformance. In this
- 7 years ago, 17 Mar 2017, 08:03am -
Puts as Protection [Timely Portfolio]
Many asset management firms are happily enjoying record revenue and profits driven not by inorganic growth or skillful portfolio management but by a seemingly endless increase in US equity prices. These firms are effectively commodity producers entirely dependent on the price of an index over which
- 7 years ago, 16 Mar 2017, 05:34pm -
Simulating Correlated Random Walks for the S&P 500 [MKTSTK]
Waaaaaay back in the day, I showed how to simulate correlated random walks using copulas…. I was really thinking about the application to pairs trading back then… which was fine, because one of the limitations was that the method could only simulate two random variables at a time. If you wanted
- 7 years ago, 16 Mar 2017, 05:33pm -
Analysis of Asymmetrical Moving Average for Buy/Sell Signals [Quantpedia]
ost market participants are risk adverse and people tend to close their long positions once they perceive a formation of downturn in the market. Large sudden price drops can always be observed near the end of uptrends. On the other hand, people tend to have their own preferences in deciding the
- 7 years ago, 16 Mar 2017, 05:32pm -
Podcast: Trading the Mean Reversion Curve [Better System Trader]
One of the challenges of Mean Reversion trading is deciding when to get into a trade. How far from the mean should we actually wait before we consider getting into a trade? In a trending environment where the dips are shallow, getting in closer to the mean can bring lots of trading opportunities
- 7 years ago, 16 Mar 2017, 05:32pm -
TAA Strategy Combining Risk Parity & Trend Following [Allocate Smartly]
This is a test of a tactical asset allocation strategy from the excellent paper: The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation (1). The strategy combines two important tools: trend-following (to determine what assets to hold) and risk parity (to
- 7 years ago, 15 Mar 2017, 03:04pm -
Simple ConnorsRSI Strategy on S&P500 Stocks [Alvarez Quant Trading]
A frequently asked question is how I pick which variation from an optimization run to trade. This post will cover a ConnorsRSI strategy on S&P500 stocks. We will use a wide range on the parameters to give us lots choices to be used in the next post. I the next post, I will show how I take the
- 7 years ago, 15 Mar 2017, 02:46pm -
Vix And Fed Rate Decision Announcments [Voodoo Markets]
Since today is Fed day, i thought id take a look at how rate decisions have affected Vix. Vix data starts from early 90’s so we’ll have start from there. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 import quandl import pandas as pd import numpy as np import matplotlib.pyplot as plt import seaborn
- 7 years ago, 15 Mar 2017, 02:45pm -
They Can't All Be That Smart [Investing Research]
Smart Beta is a label applied broadly to all factor-based investment strategies. In a recent WSJ article on Smart Beta, Yves Choueifaty, the CEO of Tobam, said There's a huge range of possibilities in the smart-beta world, and they can't all be that smart. This paper separates the factor
- 7 years ago, 14 Mar 2017, 05:11pm -
Dual Momentum with Stock Selection [Alpha Architect]
Gary Antonacci may not be happy to learn that his "Dual Momentum" label has been pirated by a team of academics (Huang, Zhang, and Zhou)(1)(2) in a new paper that explores the combination of price and fundamental momentum stock-picking strategies. The authors also investigate the common
- 7 years ago, 14 Mar 2017, 05:04pm -
Sector Rotation and the Momentum Factor [Flirting with Models]
Sector rotation is a popular investment strategy whereby managers actively reallocate capital from one investment sector to another based upon changing market conditions. There are many ways to run sector rotation strategy, including: business cycle indicators, macroeconomic indicators, value-based,
- 7 years ago, 13 Mar 2017, 11:28am -
Updated Look At Opex Week Broken Down By Month [Quantifiable Edges]
I’ve noted a number of times that Op-ex week in general is pretty bullish. March, April, October, and December it has been especially so. S&P 500 options began trading in mid-1983. The table below is one I have showed in March each of the last several years. It goes back to 1984 and shows
- 7 years ago, 13 Mar 2017, 11:27am -
Understanding K-Means Clustering [Eran Raviv]
Google “K-means clustering”, and you usually you find ugly explanations and math-heavy sensational formulas*. It is my opinion that you can only understand those explanations if you don’t need them; meaning you are already familiar with the topic. Therefore, this is a more gentle introduction
- 7 years ago, 12 Mar 2017, 07:00pm -
AAII Sentiment At New Spx 21 Week Highs [Voodoo Markets]
Nothing quantitative here, just taking a look at how the AAII setiment has been when Spx is making new 21 week rolling highs. The recent AAII setiment has turned siginificantly negative even as Spx is plowing up and wanted to see when has that happened in the past.
- 7 years ago, 12 Mar 2017, 07:00pm -
Streaming market data from native python IB API [Investment Idiocy]
This the third in a series of posts on using the native python API for interactive brokers. You should read the first, and the second, before this one. It is an updated version of this older post, which used a third party API (swigibpy) which wraps around the C++ API. I've changed the code, but
- 7 years ago, 10 Mar 2017, 01:51pm -
Index Mapping For ETF Proxies [TrendXplorer]
In order to present results as realistic as possible in our PAA-paper, we constructed long-term end-of-month data series for popular ETF proxies, like SPY, GLD and TLT (see paper appendix on SSRN). All data series start December 1969. For the pre-inception history, the proxies are derived from
- 7 years ago, 10 Mar 2017, 03:32am -
A Visual Quantitative Analysis of RSI using Tradestation and Excel [Beyond Backtesting]
The traditional way to treat the RSI is to treat low RSI levels as good buying opportunities while treating high RSI levels as selling opportunities. However, we seek to gain fresh insight into the nature of RSI, with an eye toward discovering possible momentum return, by exploring the RSI using a
- 7 years ago, 10 Mar 2017, 03:31am -
FX Carry Risk Mitigation Papers [Quantpedia]
We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown
- 7 years ago, 10 Mar 2017, 03:31am -
Python for Algo and Crypto-Currency Trading: 2-Day Workshop in London (July 8-9) [Quant at Risk]
Within our unique 2-Day Intensive Workshop in London, UK on Python for Algorithmic and Crypto-Currency Trading we dive into most recent and hot topics in algo-trading. We will cover and analyse a well explored world of classical assets (stocks, FX currencies) extended by trading techniques aimed at
- 7 years ago, 10 Mar 2017, 03:30am -
Forecasting Stock Returns using ARIMA model [Quant Insti]
“Prediction is very difficult, especially about the future”. Many of you must have come across this famous quote by Neils Bohr, a Danish physicist. Prediction is the theme of this blog post. In this post, we will cover the popular ARIMA forecasting model to predict returns on a stock and
- 7 years ago, 9 Mar 2017, 12:31pm -
Playing with Prophet on Financial Time Series [Quant Dare]
Two weeks ago, Facebook launched Prophet, an amazing forecasting tool available in Python and R. Here’s a bit of info from the Facebook research website: “Forecasting is a data science task that is central to many activities within an organization. For instance, large organizations like Facebook
- 7 years ago, 9 Mar 2017, 12:30pm -
What hand traders can learn from system traders, and vice versa w/ @AdamHGrimes [Chat With Traders]
Adam Grimes has been a trader for more than 20-years, he’s traded all major asset classes, across various timeframes. He’s traded independently, with a prop firm, and he’s run other trading businesses also. The main focus of this episode is to explore some of the things which discretionary
- 7 years ago, 9 Mar 2017, 12:30pm -
Historic data from native IB python API [Investment Idiocy]
This is the second in a series of posts on how to use the native python API for interactive brokers. This post is an update of the post I wrote here, which used the 3rd party API swigibpy. Okay so you have managed to run the time telling code in my last post. Now we will do something a bit more
- 7 years ago, 8 Mar 2017, 09:31pm -
Interactive brokers native python API [Investment Idiocy]
Until quite recently interactive brokers didn't offer a python API for their automated trading software. Instead you had to put up with various 3rd party solutions, one of which swigibpy I use myself. Swigibpy wrapped around the C++ implementation. I wrote a series of posts on how to use it,
- 7 years ago, 8 Mar 2017, 01:15pm -
What is Deep Learning? [Quant Start]
Almost a year ago QuantStart discussed deep learning and introduced the Theano library via a logistic regression example. Given the recent results of the QuantStart 2017 Content Survey it was decided that an up to date beginner-friendly article was needed to introduce deep learning from first
- 7 years ago, 8 Mar 2017, 01:15pm -
Firm-Specific Information and Momentum Investing [Alpha Architect]
When it comes to momentum investing, everyone is always looking for a better way to implement a momentum-based stock selection strategy (the same goes for a value strategy). We highlight a few methods in our book, Quantitative Momentum, as well as on our blog. We recently came across a paper from
- 7 years ago, 8 Mar 2017, 01:15pm -
PSA: Your NCAA March Madness Rules are Garbage. Do This Instead. [Invest Resolve]
On the heels of last year’s fun and successful March Madness Bracket Challenge (“WHERE SKILL PREVAILS!”), we are happy to invite any and all to 2017’s version. Feel free to read the post for this year’s rules, but bear in mind this year’s pool is limited to 250 entrants, so don’t wait:
- 7 years ago, 8 Mar 2017, 01:30am -
66 DTE Iron Condor Results Summary [DTR Trading]
This article reviews the backtest results of iron condors (IC) entered at 66 days to expiration (DTE). These tests covered 9 IC variations, with short strike deltas at four locations (8, 12, 16, 20), utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test
- 7 years ago, 8 Mar 2017, 01:30am -
Machine Learning in Python for Finance: 2-Day Workshop in Warsaw, Poland [Quant at Risk]
After wonderful and rewarding 2-day workshop devoted to Python for Algo-Trading on March 4-5, it is my pleasure to announce a new, upcoming, on demand 2-Day Workshop on Machine Learning in Python for Finance (May 20-21, 2017). Since Machine Learning is the latest hottest topic covering different
- 7 years ago, 8 Mar 2017, 01:30am -
Visualizing the Anxiety of Active Strategies [Flirting with Models]
Prospect theory states that the pain of losses exceeds the pleasure of equivalent gains. An oft-quoted ratio for this pain-to-pleasure experience is 2-to-1. Evidence suggests a similar emotional experience is true for relative performance when investors compare their performance to common reference
- 7 years ago, 6 Mar 2017, 11:49am -
Pairs Trading with Copulas [Jonathan Kinlay]
In a previous post, Copulas in Risk Management, I covered in detail the theory and applications of copulas in the area of risk management, pointing out the potential benefits of the approach and how it could be used to improve estimates of Value-at-Risk by incorporating important empirical features
- 7 years ago, 6 Mar 2017, 03:38am -
The No-Short Return Premium [Quantpedia]
Theory predicts that securities with greater limits to arbitrage are more subject to mispricing and thus should command a higher return premium. We test this prediction using the unique regulatory setting from the Hong Kong stock market, in which some stocks can be sold short and others cannot. We
- 7 years ago, 6 Mar 2017, 03:37am -
Strategy Validation with Dave Bergstrom (@DBurgh) [Better System Trader]
With the toolsets we have available to us today it’s really quite easy to create a trading strategy by just mining market data. As we’ve just heard in that opening bit of audio and also from previous podcast guests too, if you try enough combinations you can find something that appears to work
- 7 years ago, 5 Mar 2017, 12:17pm -
More Data or Fewer Predictors: Which is a Better Cure for Overfitting? [EP Chan]
One of the perennial problems in building trading models is the spareness of data and the attendant danger of overfitting. Fortunately, there are systematic methods of dealing with both ends of the problem. These methods are well-known in machine learning, though most traditional machine learning
- 7 years ago, 3 Mar 2017, 12:45pm -
Using Time-Series Momentum to Intentionally Miss the Best Months. Yes, Really. [Invest Resolve]
The buy-and-hold crowd, including many mutual fund companies and a large cross-section of vocal pundits, like to talk about how missing the N best days/months in the market causes a serious impairment to long-term investor returns. What they fail to mention is that, because stock market volatility
- 7 years ago, 3 Mar 2017, 12:44pm -
Evidence-Based Investing? Take that Alpha and Shove It. [Alpha Architect]
Johnny Paycheck has a great country song centered around the following lyric: Take this job and shove it…I ain’t working here no more… Campell Harvey, in the 2017 AFA Presidential Address, elaborates an analogous comment on the current state of the financial economics field: Take this alpha
- 7 years ago, 3 Mar 2017, 12:44pm -
Check Out Our Awesome New Book Library [Quantocracy]
Check out our awesome new book library curated by four of the top rated authors in our community: Investment Idiocy (Rob Carver): General Quantitative Finance, Market History, Hedge Funds, General Programming Quant Start (Michael Halls-Moore): Python, C++, Financial Math, Quant Jobs & Interviews
- 7 years ago, 2 Mar 2017, 09:21pm -
Prices Transformation Cheat Sheet [Quant Dare]
In this entry, we discover the secrets behind prices transformation in financial series. Do you use price series in things such as technical analysis visualisation? Do you use return series in things such as volatility calculations? Do you use equity series in things such as comparing products with
- 7 years ago, 2 Mar 2017, 09:21pm -
The Downside Of Momentum [Larry Swedroe]
Momentum has been found to be a persistent and pervasive factor in the returns not only of equities, but in other asset classes (including bonds, commodities and currencies). With equities (compared to the market, value, size, profitability and quality factors), during the period 1927 through 2015,
- 7 years ago, 2 Mar 2017, 09:21pm -
Tactical Asset Allocation in February [Allocate Smartly]
This is a summary of the recent performance of a number of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies are broadly representative of the
- 7 years ago, 1 Mar 2017, 09:28am -
Active Managers Should Love Passive Investing - It Makes Them Better! [Alpha Architect]
In a recent letter to its investors, Crispin Odey commented as follows:(1) Money managers specializing in picking stocks and bonds are being driven out by mindless passive investing. Odey is a London based hedge fund manager, whose flagship fund lost almost 50% in 2016.(2) Photo courtesy of Wes. All
- 7 years ago, 1 Mar 2017, 09:28am -
Misattributing Bad Behavior [Flirting with Models]
The behavior gap is the difference between the returns on an investment and the returns that an investor realizes in that investment. Behavioral biases ingrained in human nature, such as anchoring, hindsight, and overconfidence drive emotional decisions that can lead to a behavior gap, but
- 7 years ago, 27 Feb 2017, 10:32am -
Introduction to Hidden Markov Models with Python Networkx and Sklearn [Black Arbs]
Who is Andrey Markov? What is the Markov Property? What is a Markov Model? What makes a Markov Model Hidden? A Hidden Markov Model for Regime Detection Conclusion References Who is Andrey Markov? Markov was a Russian mathematician best known for his work on stochastic processes. The focus of his
- 7 years ago, 26 Feb 2017, 08:52am -
The Potential Return-Free Risk of Bonds [EconomPic]
I've read too many posts / articles that outline why a rise in rates is good for long-term bond investors (as that would allow reinvestment at higher rates). While this can be true depending on the duration of bonds owned and/or for nominal returns over an extended period of time, it is
- 7 years ago, 23 Feb 2017, 09:43pm -
How Short Positions Affect Factor Investing? [Quantpedia]
The performances of factor investing rely heavily on short sales, not only for building the initial long-short strategy, but also for regularly rebalancing the positions. Since short selling is subject to both legal restrictions and substantial costs, this paper examines how severely restrictions on
- 7 years ago, 23 Feb 2017, 09:43pm -
Dual Momentum Analysis [Quant Dare]
Why dual momentum? Because strategies based on highest relative momentum show great results in the long run, but can experience deep falls and have little participation in the posterior rebounds after large market falls. To sidestep these drawbacks, here it is laid out a strategy based on Gary
- 7 years ago, 23 Feb 2017, 09:42pm -
Factor Zoo or Unicorn Ranch? [Dual Momentum]
According to Morningstar, as of June 2016, the assets in smart beta exchange traded products totaled $490 billion. BlackRock forecasts smart beta using size, value, quality, momentum, and low-volatility will reach $1 trillion by 2020 and $2.4 trillion by 2025. This annual growth rate of 19% is
- 7 years ago, 22 Feb 2017, 12:00pm -
Country ETF Rotation – Reader’s Suggestions [Alvarez Quant Trading]
My last post on Country ETF Rotation generated several ideas of what to test to improve the results. See the original post for the list ETFs being traded. One important test I left out from the original post was a baseline case. An idea applied to all the tests was trading more ETFS. For all tests,
- 7 years ago, 22 Feb 2017, 12:00pm -
Explaining the Low Risk Effect with @LarrySwedroe [Alpha Architect]
As my co-author, Andrew Berkin, and I(1) explain in our new book, “Your Complete Guide to Factor-Based Investing,”(2) one of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return.
- 7 years ago, 22 Feb 2017, 02:57am -