Quant Mashup

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

- 5 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

- 5 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

- 5 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

- 5 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

- 5 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

- 5 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

- 5 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.

- 5 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

- 5 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

- 5 years ago, 13 May 2015, 01:42pm -

A ‘Simple Pattern’ for Trading [Jay On The Markets]

As I admitted in my last post, I am a something of a trading “systemaholic”. And yes, on many occasions I have started out with a simple idea and by the time I was done I had 600 lines of code and only a vague recollection of what that original simple idea was. So take it from me: While

- 5 years ago, 13 May 2015, 01:41pm -

Skew & Inverse Vol Strategies Combined [John Orford]

I never plan long term. As I grow older my horizon has become shorter and shorter. This vexes my girlfriend. Naturally, I retort, my days on the planet reduce with every day lived. Our holidays are spent jumping from one town to another in Indonesia or China, nothing's booked more than a day or

- 5 years ago, 13 May 2015, 03:38am -

Anomalies Can Mean Alpha [Larry Swedroe]

Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented several hundred “anomalies” that generate a significant positive alpha. There are now so many that professor John Cochrane referred to them as the “factor zoo.” There are

- 5 years ago, 13 May 2015, 03:37am -

The Top 5 UK Universities For Becoming A Quant [Quant Start]

In a previous article I outlined the best degree courses to take in order to help you get a job as a quant. I also mentioned that to discuss the best UK universities was an article in itself. This is that article! Coincidentally, the QS World University Rankings for 2014/15 have just been released

- 5 years ago, 12 May 2015, 04:27pm -

Stock Indicator Suggests Big Move (Lower?) Coming [Dana Lyons]

We don’t talk too often (because we don’t use them) about traditional technical analysis indicators. We have nothing against them; it’s just that we have our own methodologies and processes that work for us. One indicator we do like to keep an eye on is the ADX, or Average Directional Index.

- 5 years ago, 12 May 2015, 04:26pm -

Material improvement $XLB [@NautilusCap]

Material improvement $XLB

- 5 years ago, 12 May 2015, 04:26pm -

One of My Favorite Websites for Trading Systems and Ideas [Jay On The Markets]

A while back I got over my addiction to Elliott Wave analysis. I finally realized I needed help and joined a five wave, er, step program. But some obsessions still linger. As an admitted "systemaholic" ("Hi, my name is Jay") I am always on the lookout for new ways to make money

- 5 years ago, 12 May 2015, 02:30pm -

Be Careful How You Play Rising Rates [Flirting with Models]

Many recent articles discuss rising rates with a focus on how to weather them along with some predictions of when they will occur and how much they will rise. Duration is a common theme among the articles since it quantifies how much a particular bond is likely to lose when rates rise. We've

- 5 years ago, 12 May 2015, 02:29pm -

The Case Against High Yield [EconomPic]

Following up on my post The Relationship Between Stocks and Bonds, which outlined why it is probable that stocks will outperform Treasury Bonds over the next 10 years, let's take a look at what appears to be another expensive area of the bond universe... high yield U.S. corporate bonds. High

- 5 years ago, 12 May 2015, 02:26pm -

Q&A with Wes Gray on value and momentum – part two [Abnormal Returns]

A recent paper by Cam Harvey and his co-authors on the statistical validity of many so-called finance anomalies has attracted a great deal of attention in quantitative finance crowd. It seemed worthwhile to discuss the implications of the paper with one of our favorite quants, Wes Gray of Alpha

- 5 years ago, 12 May 2015, 01:14pm -

New Backtesting Platform: Quantler

Quantler is an online trading system development and analysis platform, that uses templates to (co-)create new algorithms. You can develop your own templates or reuse existing ones. With Quantler, you can test your ideas quick and easy. Entry Entry templates tell us when, where and how we enter the

- 5 years ago, 12 May 2015, 06:20am -

[PDF] Illegitimate Science: Why Most Empirical Discoveries in Finance Are Likely Wrong (h/t Salil Mehta)

The proliferation of false discoveries is a pressing issue in Financial research. For a large enough number of trials on a given dataset, it is guaranteed that a model specification will be found to deliver sufficiently low p-values, even if the dataset is random. Most academic papers and investment

- 5 years ago, 12 May 2015, 06:20am -

Equity Ranking Backtest with Python/Pandas [Shifting Sands]

I have been look at equities a bit of late, I am particularly interested in ranking a universe of equities for “low frequency” manual trading on a weekly or monthly basis. Every period I would rank each name on a bunch of different factors, then invest in the highest ranked ones for that month.

- 5 years ago, 12 May 2015, 06:20am -

Quantifying Technical Analysis [John Orford]

I have disavowed myself from technical analysis. Life's too short. Similar to Saruman however, the lure of more power is drawing me perilously close to an ancient and dark evil. To paraphrase Nietzsche, When you take a long gaze into the financial blogosphere, the blogosphere also gazes back

- 5 years ago, 12 May 2015, 01:14am -

Dual Momentum May 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

- 5 years ago, 12 May 2015, 01:13am -

Q&A with Wes Gray on value and momentum – part one [Abnormal Returns]

- 5 years ago, 11 May 2015, 06:21pm -

Momentum Investing: Skewness-enhanced Momentum Yields Double Alpha [Alpha Architect]

Jacobs, Regele and Weber A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: Motivated by the time-series insights of Daniel and Moskowitz (2014), we investigate the link between expected skewness and

- 5 years ago, 11 May 2015, 05:02pm -

Weekly Commentary - Sectors vs. Factors or Factors in Your Sectors [Flirting with Models]

Warren Buffet famously said to "never invest in a business you can't understand." The same advice should undoubtedly be applied to pooled investment vehicles. The advent and rapid growth of the ETF has made it easier than ever for investors to know what they own. Take the Financial

- 5 years ago, 11 May 2015, 05:02pm -

A Curious Spike In Inverse ETF Volume [Dana Lyons]

One of our favorite new short-term sentiment gauges in recent years has been relative inverse ETF volume. This indicator measures the amount of volume traded in “inverse ETF’s” (those that are designed to move in the opposite direction from the market) relative to the total stock volume traded

- 5 years ago, 11 May 2015, 05:02pm -

What’s wrong with Data Science and how can Probabilistic Programming help? [Quantopian]

Data Science is about learning from data, often using Machine Learning and statistics. To do so, we can build statistical models that provide answers to our questions or make predictions based on data we have collected. Ideally, we build the model that most accurately describes our data, makes the

- 5 years ago, 11 May 2015, 03:14pm -

#3 - Sector Momentum - Rotational System Authors: Du Plessis, Hallerbach Title: Volatility Weighting Applied to Momentum Strategies Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2599635 Abstract: We consider two forms of volatility weighting (own volatility and underlying volatility)

- 5 years ago, 11 May 2015, 02:49pm -

After China cuts rates $FXI $SPY $EEM [@NautilusCap]

After China cuts rates $FXI $SPY $EEM

- 5 years ago, 11 May 2015, 02:48pm -

When NYSE advance/decline ratio is > 4... $SPY [@NautilusCap]

When NYSE advance/decline ratio is > 4... $SPY

- 5 years ago, 11 May 2015, 02:48pm -

What Friday’s Big VXO Drop Could Mean For Monday [Quantifiable Edges]

The VIX, which is a measure of options pricing and is often referred to as a “fear index” saw a 15% drop on Friday. Meanwhile, the VXO, which is the old measure of the VIX, declined nearly 22%. Such big declines often suggest short-term over-optimism on the part of traders and are followed by a

- 5 years ago, 11 May 2015, 09:14am -

When Do Complex Portfolios Win Out? (h/t @AbnormalReturns) [Bason Asset]

I’m a big believer in well-diversified portfolios. Just how you define a well-diversified portfolio is a matter of opinion. You could own practically every stock in the global public markets and a pretty robust portfolio of bonds with three funds and investment expenses of about 0.15%. If you’re

- 5 years ago, 11 May 2015, 03:06am -

Comparison Between Low and Steady Vol Strategies [John Orford]

Dan Davies likened the Steady Vol strategy to a minimum volatility strategy, which came as a surprise, as perhaps even more surprising - it never occurred to me beforehand! For those not in the know, Steady Vol tries to keep volatility stable by inversely weighting the index over time by implied

- 5 years ago, 11 May 2015, 03:05am -

RUT Iron Condor - Dynamic Exit - 80 DTE Results Summary [DTR Trading]

Over the last several posts we reviewed the backtest results for Iron Condors initiated at 80 days to expiration (DTE) on the Russell 2000 Index (RUT). To be consistent with all of the earlier backtests posted on this blog, we looked at 80 DTE Iron Condors initiated with short strikes at four

- 5 years ago, 11 May 2015, 03:04am -

Interview with Dr Howard Bandy [Better System Trader]

Dr Howard Bandy has university degrees in mathematics, physics, engineering and computer science, completing graduate studies and research in modelling and simulation, statistics and some of the early work in artificial intelligence. He has over 50 years experience in research and applications of

- 5 years ago, 10 May 2015, 01:12pm -

Cornish Fisher Strategy Discussion [John Orford]

A reader got in touch with me asking for more details on Peter Urbani's Cornish Fisher strategy. It's a pull-all-your-money-of-the-table strategy designed to avoid catastrophic losses and keep returns compounding smoothly over time. How do we think about potential catastrophic returns? By

- 5 years ago, 10 May 2015, 05:58am -

Quant Geek Weekend Homework: Academic Finance Research [Alpha Architect]

The Five-Factor Fama-French Model: International Evidence (Nusret Cakici) Doubt on Five-Factor Fama-French Model: Is it Just in Essence a Noise? (Hou, Xue and Zhang) Stocks with Negative Analyst Forecast Skewness tend to be undervalued? (Cai Zhu) Covering-Up When the Tide Goes Out? Momentum

- 5 years ago, 9 May 2015, 02:15pm -

Real Momentum: A Longer-Term Backtest [CSS Analytics]

In the last post I introduced the concept of “real momentum” which is a trend following signal based on real returns. In the post I used both expected inflation and risk-free returns to net out from the S&P500 to create a real excess return. This was done to make the hurdle for buy positions

- 5 years ago, 9 May 2015, 04:01am -

Steady Volatility Strategy [John Orford]

The art and skulduggery of finance is infused with uncertainty. So, how about we try to smooth volatility a little and see the consequences? The VIX predicts the volatility of the S&P 500 for the next thirty days. Our Steady Vol strategy takes the inverse of the current VIX and weighs our

- 5 years ago, 9 May 2015, 04:00am -

Will Equities Follow Drop In Corporate Bonds? [Dana Lyons]

One of the Wall Street platitudes often repeated is that the bond space is the “smart” market, particularly when in conflict with equities. That is, when bonds and stocks seem to be telling opposite stories, it is the bond market that typically ends up being correct. At least that is what the

- 5 years ago, 8 May 2015, 08:42pm -

Boom and bust research links: superexponential growth and crashes [MKTSTK]

Given the rapidity of today’s gap higher in the S&P 500, it would seem to be an appropriate time to repost some research related to the boom and bust cycle. Certainly it would seem we are near a phase transition of sorts in the stock market. For most of 2015 the market has been range-bound,

- 5 years ago, 8 May 2015, 07:18pm -

Daily Academic Alpha: Dude, Where's my Alpha? [Alpha Architect]

Seeking Alpha? It’s a Bad Guideline for Portfolio Optimization Alpha is the most popular measure for evaluating the performance of both individual assets and funds. The alpha of an asset with respect to a given benchmark portfolio measures the change in the portfolio’s Sharpe ratio driven by a

- 5 years ago, 8 May 2015, 12:42pm -

Looking For Alpha Usually Leads Back To Beta [Capital Spectator]

Every time someone comes up with a “new and improved” way to invest or predict which active managers will shine, it seems that subsequent research finds that it’s really just about focusing on different betas. The latest example is a new study (“Deactivating Active Share”) from AQR, a

- 5 years ago, 8 May 2015, 12:42pm -

Reproducing the S&P500 by clustering [Quant Dare]

Let’s begin with a simple question, Can we use the movement of the main stocks in the S&P500 to predict the index movement?. But… Who are the main stocks ? That’s a good question, maybe the bigger ones, maybe the more bullish of them… so how should we decide who are the most

- 5 years ago, 8 May 2015, 12:41pm -

RUT Iron Condor - Dynamic Exit - 80 DTE - 20 Delta [DTR Trading]

We're just a few short posts from completing the dynamic exit series. Thanks for hanging in there through this four month process chronicled here: Dynamic Exit Iron Condor Articles! In this post we will look at the backtest results for dynamic exits of the 80 days-to-expiration (DTE) Iron

- 5 years ago, 8 May 2015, 12:41pm -

Employment Day Action [Quantifiable Edges]

One factor that will likely have a substantial impact on market movement on Friday is the reaction to the Employment Report. Employment days have done fairly well over the last few years but most of the gains are thanks to the overnight session. This can be seen in the 2 profit curves below. As you

- 5 years ago, 8 May 2015, 09:11am -

Financial Domain Specific Language [John Orford]

I once dated a poet. A published poet. She knew the nuances of language like few others. Then and since I wondered whether I could experience things, that I could never verbalise, as well as her. If you can dictate your inner life onto a page; into black and white; does it become a little clearer?

- 5 years ago, 8 May 2015, 03:22am -

Page
1
...
91
92
93
...
106