Quant Mashup
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
- 4 years ago, 14 Feb 2015, 05:21am -
New highs, but with an asterisk? $QQQ [@NautilusCap]
New highs, but with an asterisk? $QQQ
- 4 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.
- 4 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
- 4 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
- 4 years ago, 12 Feb 2015, 10:43pm -
Win Rate Free EasyLanguage Code [System Trader Success]
In the article,Win Rate The Most Important Metric, Michael Harris discusses the importance of Win Rate when it comes to building a profitable trading system. I spent a few minutes creating an EasyLanguage function that can be used during your development process in calculating the Win Rate for you.
- 4 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
- 4 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
- 4 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
- 4 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
- 4 years ago, 12 Feb 2015, 05:00am -
New Channel Concepts: Volatility-Adjusted Time Series [CSS Analytics]
In the last several posts, I introduced some different methods for channel strategies including Percentile Channels. A simple way to potentially improve (or at least take a different approach) to a donchian channel strategy is to use a different price input to generate trading signals. As stated in
- 4 years ago, 12 Feb 2015, 01:46am -
Small Trader Pessimism bodes well for stocks $SPY [@NautilusCap]
Small Trader Pessimism bodes well for stocks $SPY
- 4 years ago, 12 Feb 2015, 01:46am -
The VIX® – A Rear-View Mirror Or Crystal Ball [Trading the Odds]
Most recently there has been a lot of chatter and discussion in the financial blogosphere regarding the CBOE Volatility Index (VIX®) soaring higher since December 5, 2014 when the index closed at its preliminary low of 11.82 (the index closed at 22.39 on January 15, 2015), despite the fact that the
- 4 years ago, 11 Feb 2015, 12:20pm -
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 Strategy for
- 4 years ago, 11 Feb 2015, 12:20pm -
Silver’s seasonal slump underway [Almanac Trader]
Over the years silver has peaked in February, most notably so in 1980 when the Hunt Brothers’ plot to corner the silver market was foiled. Our seasonal analysis shows that going short on or about February 20 and holding until about April 25 has worked 32 times in the last 42 years for a win
- 4 years ago, 11 Feb 2015, 12:19pm -
What I am reading: Feb 11, 2015 [Alvarez Quant Trading]
Recent articles that I found interesting and made me think. S&P 500 Snapshot: Check out the ‘A Perspective on Drawdowns’ to see how shallow drawdowns have been overall since 2009. This Is The Best Illustration Of History’s Bull And Bear Markets We’ve Seen Yet – A longer term look at
- 4 years ago, 11 Feb 2015, 10:56am -
Rob Hanna Giving Free Webinar About Trading On & Around Fed Days (Wed 5:30pm EST) [Quantifiable Edges]
As part of the Festival of Traders I will be presenting a webinar on Wednesday at 5:30pm EST with much of my Fed Day research in focus.
Click here for more information and to register for the event.
- 4 years ago, 11 Feb 2015, 01:32am -
The Very Cheapest Stocks (Price/Book) Do Very Badly [Millennial Invest]
Book to price is a bad value factor. It is a decent stock selection factor overall, but relative to the other ways of measuring value (earnings to price, cash flow to price, EBITDA/EV, etc) it is sub par. I've been interested lately in very concentrated value portfolios, and found it
- 4 years ago, 10 Feb 2015, 09:00pm -
Bitcoin L3 Feeds: Status [Tr8dr]
I have implemented 4 bitcoin exchange interfaces now that produce a live L3 stream of orderbook updates + trades of the form: Screen Shot 2015-02-10 at 6.33.12 PM Given the above, can reconstitute the orderbook as it moves through time, and can likewise be used to creat
- 4 years ago, 10 Feb 2015, 09:00pm -
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias? [Alpha Architect]
The primary driver of long-horizon wealth is expected returns. Why would you invest in anything but stocks? Why isn’t your portfolio 100% stocks? Do you believe stocks are going to have the highest return? By the way, stocks have averaged 10% a year for a long period of time. Bonds have averaged
- 4 years ago, 10 Feb 2015, 08:59pm -
Transports Slipping $IYT [@NautilusCap]
Transports Slipping $IYT
- 4 years ago, 10 Feb 2015, 08:58pm -
Volatility and "Crashing Up" [Flirting with Models]
A frequent point of conversation that we have at Newfound – both internally and with advisors – is the role of volatility as a measure of risk. On the one hand, from a statistical point of view, higher volatility implies a greater potential magnitude of loss. On the other hand, investors are
- 4 years ago, 10 Feb 2015, 03:59am -
Modelling Asset Returns with Brownian Motion [Quanttech]
The geometric Brownian motion model allows you to generate a series of prices for an asset. It is a type of stochastic process that follows a Brownian motion path with a drift. Stochastic processes are a concept from probability theory which are used to model the change in a seemingly random process
- 4 years ago, 9 Feb 2015, 09:40pm -
Utilities relative strength top? $XLU [@NautilusCap]
Utilities relative strength top? $XLU
- 4 years ago, 9 Feb 2015, 09:39pm -
RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued [DTR Trading]
This post is a continuation of the prior post. I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 8 delta short strikes, with different profit and loss exits as a percentage of the initial credit. For some background on how these results are
- 4 years ago, 9 Feb 2015, 09:39pm -
PELTing a Competing Changepoint Algorithm [QuantStrat TradeR]
This post will demonstrate the PELT algorithm from the changepoint package–a competing algorithm to the twitter package’s breakout detection algorithm. While neither of these algorithms produce satisfactory results, one change point location approximation algorithm that makes no distributional
- 4 years ago, 9 Feb 2015, 12:33pm -
Win Rate: The Most Important Performance Measure [System Trader Success]
Shortly after my post on Kelly maximization I received a number of emails from traders who are developing systems but are, understandably so in my opinion, a bit confused about which performance criterion or criteria to use when evaluating them. I understand why those traders are confused, or to be
- 4 years ago, 9 Feb 2015, 12:33pm -
The Impact of Cash Flow on Asset Allocation Decisions [Alpha Architect]
nvestors trying to make decisions on how to invest their savings face many complications that are frequently ignored in research papers on asset allocation. Often, it is assumed that a fixed lump sum of money is invested. But this is rarely the case in real world investing for the individual
- 4 years ago, 9 Feb 2015, 12:33pm -
Exploring social media analytics [Behavioural Quant]
I’ve previously touched on the use of social media analytics as one useful measure of investor sentiment. It does occur to me that it might be interesting to explore a particular source of such analytics. This could be of service by making the concepts more tangible and by illustrating the growth
- 4 years ago, 9 Feb 2015, 10:06am -
Monthly seasonality of oil [UK Stock Market Almanac]
This article looks at the monthly seasonality in the price of crude oil (West Texas Intermediate, WTI). From 1986 The following chart shows the average price change by month of WTI for the period 1986-2014. For example, since 1986 the price of WTI has increased on average 0.5% in January.
- 4 years ago, 9 Feb 2015, 10:06am -
Monte Carlo K-Means Clustering of Countries with Python (Part 2/3) [Stuart Gordon Reid]
In the first part of this three-part series, What Drives Real GDP Growth?, I identified four themes which drive real GDP growth. These themes are based on 19 socioeconomic indicators whose average Spearman and Pearson correlations to real GDP growth were statistically significant and greater than
- 4 years ago, 9 Feb 2015, 10:05am -
A “Simple” Tactical Asset Allocation Portfolio with Percentile Channels (for Dummies) [CSS Analytics]
I actually received a large volume of what could best be chararcterized as “hate mail” for one of the previous posts on percentile channels. In reading these comments I was reminded of Jimmy Kimmel’s funny segments where celebrities read mean tweets about themselves. While I did not publish
- 4 years ago, 9 Feb 2015, 01:14am -
Constructing an Alpha Portfolio with Factor Tilts [Alphaism]
In this post I’d like to show an example of constructing a monthly-rebalanced long-short portfolio to exploit alpha signals while controlling for factor exposures. This example covers the time period between March 2005 and 2014. I use 477 stocks from S&P500 universe (data source: Quandl) and
- 4 years ago, 8 Feb 2015, 08:14pm -
Simple Monte Carlo With Thrust [Quant Trader]
We have already shown before how to set up CUDA in both Windows and Linux environment and how to create a simple project. Today we will demonstrate how easy it is to perform a simple Monte Carlo simulation using Thrust library. We will do so by estimating π with random numbers. From the
- 4 years ago, 8 Feb 2015, 08:13pm -
For an Auditor, Intuition Might Matter! [Alpha Architect]
Based on psychology theory, we propose that intuition can be a key element stimulating auditor skepticism, whereas overreliance on analytical processing can overwhelm auditors’ intuition thereby reducing skepticism. We test our expectations with an experiment containing responses from 85 senior
- 4 years ago, 6 Feb 2015, 09:04pm -
Time to consider Materials Leadership? $XLB [@NautilusCap]
Time to consider Materials Leadership? $XLB
- 4 years ago, 6 Feb 2015, 04:04pm -
26% a Year in 3 Easy Trades? [Jay On The Markets]
Some trading strategies make intuitive sense. Other trading strategies do not. With some trading strategies it is possible to articulate some logical reason or reasons regarding why they might be expected to work well over time. With others trading strategies, well, not so much.
- 4 years ago, 6 Feb 2015, 04:03pm -
The UK Stock Market in General Election Years [UK Stock Market Almanac]
In July 1945, two months after Germany surrendered, Winston Churchill was in Potsdam at the first meeting of the heads of government of the UK, US and Russia to decide Europe’s future. On the 25th of July Churchill flew back to London to await the results of the general election that had been held
- 4 years ago, 6 Feb 2015, 04:03pm -
CAGR Confidence Intervals and Consistency [Quantlab.co.za]
Last year Rowan spoke about the importance of consistency in portfolio construction and today I'd like to expand on the concept a little. There are a number of reasons why consistency is important: 1) our performance pegged pricing structure is based on consistency 2) it's psychologically
- 4 years ago, 6 Feb 2015, 04:03pm -
Doom and the Stock Market [CXO Advisory]
Is proximity to doom good or bad for the stock market? To measure proximity to doom, we use the “Doomsday Clock” “Minutes-to-Midnight” metric, revised occasionally via the Bulletin of the Atomic Scientists, which “conveys how close we are to destroying our civilization with dangerous
- 4 years ago, 6 Feb 2015, 06:00am -
Dual momentum: real portfolios and current status [RRSP Strategy]
Dual momentum with Value and Momentum factor portfolios was tested back to 1950 with 16% annual returns: What is the tracking error of real ETFs to those portfolios? Vanguard Small-Value (VBR) launched in 2004 and can underperform Value near market peaks … Continue reading
- 4 years ago, 5 Feb 2015, 03:16pm -
Trading Google Trends with logistic regression [MKTSTK]
Recently we have highlighted the value of using social data in your analysis of the market. Earlier we showed how you could have used Google Trends to price ZNGA after its IPO. We also showed how you can monitor risk with the Twitter stream. Today we will expand upon an example where we showed how
- 4 years ago, 5 Feb 2015, 02:49pm -
Another Wall Street Scheme: "Juicers" [Alpha Architect]
Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call "juicing." Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common
- 4 years ago, 5 Feb 2015, 07:04am -
S&P500 Thursday - Win Rate [Stockdotnu]
Win rate for Thursday, data from 2014-01-09 until February 2015-01-29, total of 53 days in 5 min interval. First graph from every 5 min start to end, impossible to follow a specific line. Second graph from start and Europe close, third graph starts from every hour.
- 4 years ago, 5 Feb 2015, 07:04am -
Portfolio Analysis in R: Part II | Analyzing A 60/40 Strategy [Capital Spectator]
In a previous post I reviewed the basics of using the PerformanceAnalytics package in R for evaluating a simple 60/40 US stock/bond portfolio based on a pair of ETFs. Let’s round out that preliminary review by exploring a few additional applications before moving on to a deeper level of analysis
- 4 years ago, 4 Feb 2015, 07:06am -
State of Trend Following in January [Au Tra Sy]
The year is starting as it ended for trend following: Very strong. The index posted a first good month (over +6%). Trend Following keeps on trending up! Please check below for more details. Detailed Results The figures for the month are: January return: +6.62% Below is the chart displaying
- 4 years ago, 4 Feb 2015, 05:55am -
Your Alpha is My Beta [GestaltU]
A couple of weeks ago, I had the pleasure of a short correspondence with Lars Kestner, a well known quant and derivatives trader, and creator of the thoughtful K-ratio as a measure of risk adjusted performance. We connected on the definition of alpha, and how the term has been so abused in media and
- 4 years ago, 4 Feb 2015, 05:00am -
Forex Trading Diary #2 - Adding a Portfolio to the OANDA Automated Trading System [Quant Start]
In the last Forex Trading Diary Entry (#1) I described how to build an automated trading system that hooks into the OANDA forex brokerage API. I also mentioned that the next steps included constructing a portfolio and risk management overlay for all suggested signals generated by the Strategy
- 4 years ago, 4 Feb 2015, 03:29am -
RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta [DTR Trading]
Starting with this post, and spanning the next seven or eight posts, I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with different delta short strikes. In this post I wills show the results for the 8 delta short strike 38 DTE versions. For some
- 4 years ago, 4 Feb 2015, 03:29am -
A fourth consecutive up close for oil today would be a notable shift in trading patterns $USO [@NautilusCap]
A fourth consecutive up close for oil today would be a notable shift in trading patterns $USO
- 4 years ago, 4 Feb 2015, 03:28am -