Quant Mashup
What is social data? [MKTSTK]
In the lead up to the release of our first book, Intro to Social Data for Traders, we have been highlighting the ways that social data and stock prices are related. But what is social data, exactly? Social data is term which encompasses multiple sources of information such as search queries, social
- 4 years ago, 24 Feb 2015, 07:15pm -
Top 5 Geeky, Yet Funny, Economic Paper Titles [Alpha Architect]
As many are aware, economists aren't the funniest group in the crowd. Here are some sample jokes from the funniest economists out there--Yoram Bauman. Here is a sample economist joke: When Yorum told his dad that he wanted to use his Ph.D. in economics as the basis for a comedy career, his dad
- 4 years ago, 24 Feb 2015, 07:14pm -
Bullish price momentum globally [@NautilusCap]
Bullish price momentum globally
- 4 years ago, 24 Feb 2015, 07:14pm -
RUT Iron Condor - Dynamic Exit - 38 DTE - 16 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 16 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
- 4 years ago, 24 Feb 2015, 07:14pm -
Bullish price momentum in broad US market [@NautilusCap]
Bullish price momentum in broad US market
- 4 years ago, 24 Feb 2015, 07:13pm -
Do the Right Thing [Dual Momentum]
I used to always cut my round fruits and vegies in the wrong directions. I finally got around this problem by turning them in the opposite direction to the way I initially wanted to cut them. Similarly, many investors and investment managers are making investment decisions the wrong way and need to
- 4 years ago, 24 Feb 2015, 11:08am -
A Comparison of Programming Languages [Jonathan Kinlay]
Towards the end of last year I wrote a post (see here) about the advent of modern programming languages, including the JIT compiled Julia and visual programming language ADL from Trading Technologies. My conclusion (based on a not very scientific sample) was that we appear to be at the tipping
- 4 years ago, 24 Feb 2015, 11:08am -
Let’s Keep This Cornfidential [Jay On The Markets]
A short while back I wrote about the seasonal tendency for soybeans to advance in price between early February and mid-June. Well I hate to anger the commodity gods by something stupid like “So far, so good” but, well, oops, I just did. As you can see in Figure 1, well, so far so good (now
- 4 years ago, 24 Feb 2015, 11:07am -
A Big Move Up Followed By Narrow Range on Light Volume [Quantifiable Edges]
I’ve been seeing mixed evidence over the last few days. In yesterday’s blog I showed a study that suggested short-term bullish inclinations. This morning’s study makes a case for the bears. It suggests that big intraday rallies like we saw on Friday that have been followed by tight
- 4 years ago, 24 Feb 2015, 09:21am -
Tomorrow: Don’t Miss Free Webinar “Portfolio Construction, Concentration, and Diversification for Value Investors” [Greenback
Tomorrow I’m hosting the live webinar “Portfolio Construction, Concentration, and Diversification for Value Investors.” There are only a few spots available in the room. The webinar will focus on portfolio construction and position sizing for value investors, including the philosophy of
- 4 years ago, 23 Feb 2015, 09:15pm -
The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT [QuantStrat TradeR]
I’m sure we’ve all heard about diversified stock and bond portfolios. In its simplest, most diluted form, it can be comprised of the SPY and TLT etfs. The concept introduced by Logical Invest, in a Seeking Alpha article written by Frank Grossman (also see link here), essentially uses a
- 4 years ago, 23 Feb 2015, 05:48pm -
Can you Predict Stock Market Returns with Short Interest? [Alpha Architect]
We show that aggregate short interest is one of the strongest known predictors of the equity risk premium. High aggregate short interest predicts lower future equity returns at monthly, quarterly, semi-annual, and annual horizons. In addition, aggregate short interest outperforms a host of popular
- 4 years ago, 23 Feb 2015, 05:48pm -
ETF Pairs Trading with the Kalman Filter [Jonathan Kinlay]
I was asked by a reader if I could illustrate the application of the Kalman Filter technique described in my previous post with an example. Let’s take the ETF pair AGG IEF, using daily data from Jan 2006 to Feb 2015 to estimate the model. As you can see from the chart in Fig. 1, the pair have been
- 4 years ago, 23 Feb 2015, 05:48pm -
Improving the Simple ETF Rotational Trading Model [System Trader Success]
In last week’s article called, “Backtesting A Basic ETF Rotation System in Excel – Free Download“, Dan presented a simple rotational trading model which anyone could implement given a little knowledge in Excel. What I love about trading models like this is the simplicity. So often simplicity
- 4 years ago, 23 Feb 2015, 05:48pm -
Years with Weak Earnings Growth but Strong Stock Performance [Avondale AM]
According to Factset, S&P earnings growth for the calendar year 2015 is now expected to be just 2.9% (vs. 8.2% expected growth on Jan 1). Still, most people seem to believe that the S&P 500 will have a decent year. How frequently does it happen that earnings growth is weak but performance is
- 4 years ago, 23 Feb 2015, 05:48pm -
Double Outside Days for SPY [Quantifiable Edges]
Notable about Friday’s market action is that it marked the 2nd day in a row that SPY posted an outside day. (An outside day is a day where the security or index makes both a higher high and a lower low than the day before.) Back-to-back are fairly rare. I last discussed this setup in the 1/10/2014
- 4 years ago, 23 Feb 2015, 08:32am -
UK stock market average returns by calendar day [UK Stock Market Almanac]
The following chart plots the average daily returns for the 31 calendar days in a month for the FTSE 100 index over the period 1984-2015. For example, since 1984, the FTSE 100 index has on average increased 0.27% on the 1st day of each month.
- 4 years ago, 23 Feb 2015, 06:52am -
Mojena Market Timing Model [CXO Advisory]
The Mojena Market Timing strategy (Mojena), developed and maintained by professor Richard Mojena, is a method for timing the broad U.S. stock market based on a combination of 11 monetary, fundamental, technical and sentiment indicators to predict changes in intermediate-term and long-term market
- 4 years ago, 23 Feb 2015, 06:00am -
Moving Average [Systematic Investor]
To install Systematic Investor Toolbox (SIT) please visit About page. The Quantitative Approach To Tactical Asset Allocation Strategy(QATAA) by Mebane T. Faber model is using 10 month moving average as a filter to switch strategy to cash. If at the month end the asset’s price is above the moving
- 4 years ago, 22 Feb 2015, 11:11pm -
Automated Trading System – Internal Order Matching [Systematic Edge]
Most automated trading systems (ATS) are built such that there are little to no interactions between component models. This is limiting. Here I am referring to a trading system as the overarching architecture that houses multiple individual models. Without interactions, each model is operating
- 4 years ago, 22 Feb 2015, 08:31pm -
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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 years ago, 20 Feb 2015, 09:53am -
Despite new highs, volatility still elevated $SPY $VIX [@NautilusCap]
Despite new highs, volatility still elevated $SPY $VIX
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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.
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 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
- 4 years ago, 16 Feb 2015, 07:24pm -