Quant Mashup
RUT Iron Condor - Dynamic Exit - 66 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 the 66 days-to-expiration (DTE) Iron Condor (IC), with 12 delta short strikes, with different profit and loss exits as a percentage of the initial credit. Recall that these RUT ICs
- 5 years ago, 24 Apr 2015, 12:27pm -
The Worst Investment Strategy Ever [Irrelevant Investor]
Sarcasm Do you make bad decisions when your portfolio goes down? What if there was a way to automate the decision so that your emotions wouldn’t get in the way. Good news, I found a way! Here is the strategy, every time stocks drop five percent, you sell and wait for “clarity.” Why would you
- 5 years ago, 24 Apr 2015, 12:22pm -
How to Find Company Name given Stock Ticker [Quant at Risk]
Quandl.com offers an easy solution to that task. Their WIKI database contains 3339 major stock tickers and corresponding company names. They can be fetched via secwiki_tickers.csv file. For a plain file of portfolio.lst storing the list of your tickers, for example: AAPL IBM JNJ MSFT TXN you can
- 5 years ago, 24 Apr 2015, 02:31am -
Carry & Trend Effects Up Close [Larry Swedroe]
Two of the most well-known phenomena in investing are the carry effect and the trend effect. Trend is related to momentum. While carry is typically used in the context of currency markets (currencies with higher yields tend to produce higher returns than currencies with lower yields), it can also be
- 5 years ago, 24 Apr 2015, 01:21am -
Discretionary Spent ? $XLY [@NautilusCap]
Discretionary Spent ? $XLY
- 5 years ago, 24 Apr 2015, 01:19am -
The Most Important Decision When Selecting a Value Investing Fund [Alpha Architect]
We are huge believers in value investing. I personally started off as a fundamental value guy, spending twenty-plus years trying to pick stocks. I eventually ran into Wes, who convinced me that a systematic approach to value investing was the way to go. Wes, as many of you are probably aware,
- 5 years ago, 23 Apr 2015, 12:19pm -
About those Best Days in Bonds…. [Jay On The Markets]
I have written a couple of articles recently about “Good Days in Bonds.” One period of note is the last 5 tradng days of the month. In the articles I brushed with a broad stroke – to avoid exceeding a certain level of curve-fitting – including all 12 months. For the record though, FYI, not
- 5 years ago, 23 Apr 2015, 12:18pm -
RUT Iron Condor - Dynamic Exit - 66 DTE - 12 Delta [DTR Trading]
In this post we will look at the backtest results for dynamic exits of the 66 days-to-expiration (DTE) Iron Condor (IC) options strategy, with 12 delta short strikes, with different profit and loss exits. This is a non-directional options trading strategy that seeks to profit from a market that
- 5 years ago, 23 Apr 2015, 12:18pm -
A Simple Visual Test of CRBM Performance [Dekalog Blog]
Following on from the successful C++ .oct coding of the Gaussian and Binary units, I thought I would conduct a simple visual test of the conditional restricted boltzmann machine, both as a test of the algorithm itself and of my coding of the .oct functions. For this I selected a
- 5 years ago, 23 Apr 2015, 12:18pm -
New Research Paper: Minimizing Timing Luck with Portfolio Tranching [Flirting with Models]
Frequent readers of this blog know that I am somewhat obsessed with the concept of timing luck and portfolio tranching, with the ultimate goal of reducing the variance of active returns. For those less familiar with the topic, you can read our introductory white paper here. I recently wrote a more
- 5 years ago, 23 Apr 2015, 09:16am -
Smart Money Options Indicator Now 'Off The Charts' Bearish [Dana Lyons]
We have mentioned the put/call ratio of open interest on S&P 100 (OEX) options a handful of times over the past 6 months or so. The reason is that this historically “smart money” indicator has been flashing warning signs off and on during that period. On March 3, we posted our most recent
- 5 years ago, 23 Apr 2015, 09:15am -
The Thursday Hot Streak [Quantifiable Edges]
On an open to close basis, Thursdays have been on real hot streak over the last 6 months. This can be seen in the stats table below. The numbers here are all impressive. Traders could be looking at some intraday strength on Thursday based on this. Of course we are looking at a pretty narrow period
- 5 years ago, 23 Apr 2015, 08:56am -
Momentum Investing: A Simple Bond Momentum Strategy [Alpha Architect]
Quick Summary For a bond momentum strategy, it makes sense to select the top 3 or top 6 funds. The starting universe matters. One must consider the taxes and transaction costs associated with the strategy, which can be significant. Background Proponents of the momentum investing philosophy suggest
- 5 years ago, 22 Apr 2015, 12:21pm -
Financials relative strength at multi-year lows... $XLF $SPY [@NautilusCap]
Financials relative strength at multi-year lows... $XLF $SPY
- 5 years ago, 22 Apr 2015, 12:21pm -
RUT Iron Condor - Dynamic Exit - 66 DTE - 8 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 the 66 days-to-expiration (DTE) Iron Condor (IC), with 8 delta short strikes, with different profit and loss exits as a percentage of the initial credit. Recall that these RUT ICs
- 5 years ago, 22 Apr 2015, 12:20pm -
The Genesis of an Order Type by Daniel Aisen [Quantopian]
On March 14th, I gave a presentation called The Genesis of an Order Type at QuantCon 2015. This post recaps that material and goes a bit deeper on the subject of adverse selection in dark pools. IEX is currently one of about 40 active ATSs, most of which would be considered dark pools. Collectively,
- 5 years ago, 22 Apr 2015, 11:06am -
[Podcast] Interview with Gary Antonacci [The ETF Store]
Gary Antonacci, author of the award-winning book Dual Momentum Investing, explains the merits of a momentum-based approach to investing and also discusses the importance of indexing and investment costs.
- 5 years ago, 22 Apr 2015, 10:59am -
Forex Trading Diary #5 - Trading Multiple Currency Pairs [Quant Start]
Yesterday I published some important changes to the QSForex software. These changes have increased the usefulness of the system significantly to the point where it is nearly ready for multi-day tick-data backtesting over a range of currency pairs. The following changes have been posted to Github:
- 5 years ago, 22 Apr 2015, 10:59am -
ETF Bid/Ask Spread: Timing is Everything [Flirting with Models]
In the ETF world, average bid/ask spread is one of the most widely quoted metrics for liquidity. And average bid/ask spread is indeed important when evaluating ETFs. The chart below shows the average bid/ask spread (in bps of closing price) for each of the sixteen ETFs that we use in our Multi-Asset
- 5 years ago, 22 Apr 2015, 10:58am -
Lazy Backtesting Video [John Orford]
Here's an overview of my new Lazy Backtesting tool. Yes I have the flu, but no, that's not too far away from how I usually talk. Still a few missing features, but it's not a bad return for a few hours work. Let me know what you think, john.orford@gmail.com.
- 5 years ago, 22 Apr 2015, 05:46am -
Trend Following Wizards in March: UP [Au Tra Sy]
A couple of late reporting funds this month, but here is the update for March’s Wizards performance. A fairly positive month to increase the yearly gains. Organisation / Fund Return YTD * AUM ** Abraham Trading1 1.26% 5.00% $275M Altis Partners2 5.95% 10.42% $325M Aspect Capital3 3.70% 7.99%
- 5 years ago, 22 Apr 2015, 02:34am -
U.S. Stocks Still Spinning Their Wheels [Dana Lyons]
We have spent quite a bit of ink in this blog recently covering various aspects, and potential implications of the ongoing range in the U.S. stock market. As students of the market, we attempt to observe, identify and (hopefully) accurately interpret what is happening in the markets. And currently
- 5 years ago, 21 Apr 2015, 09:34pm -
Looking Back at the Risk Parity Golden Age [EconomPic]
My initial goal of this post was to share why risk parity was less likely to be a free lunch on a forward basis using data going back to the 1950's (the last time we saw rates at current levels), but it became more of a risk parity 101 piece. I'll save much of those comments for another
- 5 years ago, 21 Apr 2015, 09:34pm -
Crowd-Sourced Stock Sentiment Using StockTwits [Quantopian]
Hey Quantopians, Pierce here, I work at StockTwits, a platform focused on real time trader and investor idea exchange. Collaborating with Seong Lee of Quantopian, we’ve taken a sample of over 150,000 individual StockTwits messages for three highly followed stocks ($AAPL, $TSLA, and $FB), and one
- 5 years ago, 21 Apr 2015, 09:33pm -
RUT Iron Condor - Dynamic Exit - 66 DTE - 8 Delta [DTR Trading]
In this post we will look at the backtest results for dynamic exits of the 66 days-to-expiration (DTE) Iron Condor (IC) options strategy, with 8 delta short strikes, with different profit and loss exits. This is a non-directional options trading strategy that seeks to profit from a market that stays
- 5 years ago, 21 Apr 2015, 09:33pm -
[Podcast] Interview with Alvarez Quant Trading [Better System Trader]
Cesar Alvarez spent nine years as a professional market researcher for Connors Research and TradingMarkets.com. He has been at the forefront of stock market research, having developed a number of successful trading systems now used by numerous investors and fund managers in the United States and
- 5 years ago, 21 Apr 2015, 01:13pm -
Are Value Investing and Momentum Investing Robust Anomalies? [Alpha Architect]
At this stage in our lives we’ve essentially memorized the CRSP/Compustat database. Name an anomaly and we can probably tell you the stats on it fairly quickly. Legitimate anomalies can usually be described via a behavioral finance lens: Can we identify poor psychology in the market? (Why do
- 5 years ago, 21 Apr 2015, 11:59am -
Daily Academic Alpha: Out-of-Sample Testing [Alpha Architect]
The objective of this thesis is to develop and back-test an investment strategy created by professors Wesley R. Gray and Tobias E. Carlisle in their book Quantitative Value, published in 2013. Gray and Carlisle construct a quantitative strategy based on Warren Buffet’s investment philosophy and
- 5 years ago, 21 Apr 2015, 10:19am -
More Good Days for Bonds [Jay On The Markets]
Back in March I wrote an article called “Good Days for T-Bonds” that basically highlighted the fact that the last five trading days of the month have historically been the best time to be long t-bonds. And so of course, Murphy immediately invoked his pesky rule and the last five days of March
- 5 years ago, 21 Apr 2015, 10:18am -
Newfound Takes 2nd & 3rd in 2015 NAAIM Wagner Award Competition [Flirting with Models]
We are proud to announce that Nathan Faber and Andrew Gogerty – both members of Newfound Research's Investment Strategies team – placed 2nd and 3rd, respectively, in the 2015 National Association of Active Investment Managers (NAAIM) Wagner Award Competition.The NAAIM Wagner Award is
- 5 years ago, 21 Apr 2015, 10:18am -
Weekly Commentary – On Equal-Weight Sectors [Flirting with Models]
Special Announcement Newfound’s first quarter commentary is now available on our website and can be accessed here. Market Thoughts Those familiar with our Risk Managed Sector series (U.S. large-cap, U.S. small-cap, and global large-cap) know that we utilize an equal-weighting methodology among the
- 5 years ago, 21 Apr 2015, 03:57am -
$100,000 awarded to latest Quantopian Open winner [Automated Trader]
Quantopian Open winner Simon Thornington's stock trading algorithm will manage $100,000 for six months, then he takes home all the profits. The winning algorithm secured victory with a strong two-and-a-half month paper trading track record. "Simon's stable, low-beta strategy is a
- 5 years ago, 21 Apr 2015, 03:56am -
Extreme Events, Statistics & Risk Mgmt [John Orford]
Singapore has some nice perks. One of them is the variety of books about Indonesia to browse in the library (I am an Indophile). While spending an afternoon reading about the minutiae of Sumatran history in the 19th century, I read a curious first hand account from a Dutchman in North Sumatra. I
- 5 years ago, 21 Apr 2015, 03:56am -
The JP Morgan SCTO strategy [QuantStrat TradeR]
This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns with a momentum equity strategy. It’s nothing spectacular, but if a large bank markets it, it’s worth looking at. Recently, one of my readers, a managing
- 5 years ago, 20 Apr 2015, 09:33pm -
Calculating Realistic Strategy Returns [Quanttech]
In researching different trading strategies, you will come across simplified reference implementations, whereby your position in an asset is simply the price at a given point in time. Price returns can then be calculated based these prices, which can then be fed into a further calculation such as
- 5 years ago, 20 Apr 2015, 09:32pm -
plot.xts RFC [FOSS Trading]
We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC. This new engine improves the functionality, modularity, and
- 5 years ago, 20 Apr 2015, 09:32pm -
Online Backtesting Framework [John Orford]
I have combined my recent interests in backtesting and lazy data structures into the "Lazy Backtesting" web app. Pull data straight from Quandl; have it cleaned auto-magically; and code up your strategy's trading rules. It's clean and simple.
- 5 years ago, 20 Apr 2015, 01:27pm -
Asset returns after cuts in China Bank Reserve Ratio [@NautilusCap]
Asset returns after cuts in China Bank Reserve Ratio
- 5 years ago, 20 Apr 2015, 01:27pm -
Attention Value Investors: How to Predict Accounting Trickery [Alpha Architect]
We examine 2,190 SEC Accounting and Auditing Enforcement Releases (AAERs) issued between 1982 and 2005. We obtain a comprehensive sample of firms that are alleged to have misstated their financial statements. We examine the characteristics of misstating firms along five dimensions: accrual quality,
- 5 years ago, 20 Apr 2015, 12:17pm -
Quantpedia's Master lists - Historical Data and Backtesting Software [Quantpedia]
Dear visitors, We have launched a new subpage on Quantpedia.com which will contain master lists of tools for quantitative traders. We have started with a comprehensive lists of backtesting software and historical data sources: http://quantpedia.com/Links/Backtesters
- 5 years ago, 20 Apr 2015, 09:50am -
Skew Strategy with Changing Sentiments [John Orford]
[Part of a series on timing the S&P 500 by using the implied skew index, begin here] Over the previous days, the skew strategy has had improving, but alas, abominable Sharpe ratios. I have finally stumbled upon a recipe which beats the S&P 500 Sharpe over the last quarter of a century (and a
- 5 years ago, 20 Apr 2015, 02:15am -
What The 1st 5-day Low In A While Has Led To Historically [Quantifiable Edges]
Friday was the 1st time SPY has closed at even a 5-day low since 3/26. The study below is one I have shown before. It examines other times when the SPY closed at a 5-day low for the 1st time in over 2 weeks. All stats are updated. Results here suggest a moderate upside edge. The lesson with this
- 5 years ago, 19 Apr 2015, 11:24pm -
Does The Iron Condor Options Strategy Really Work? [DTR Trading]
This was my question before I started posting backtest results of the Iron Condor options strategy at the beginning of 2014: "does the iron condor options strategy really work". At that time, I had been trading a hedged, unbalanced, iron condor variation with specific adjustment rules. We
- 5 years ago, 19 Apr 2015, 11:24am -
Skew Strategy with a Sliding Scale [John Orford]
Check out the previous post in this blog for a blow by blow account of building strategy around skewness (part 1). Up until now the strategy knowed back and forth between buying and selling 100% as the skew became more or less favourable. Now, we add a little nuance. The implied skew index is a
- 5 years ago, 19 Apr 2015, 07:45am -
Academic Finance Research [Alpha Architect]
Understanding Dual, Relative, and Absolute Momentum (Gary Antonacci) Long-short Strategy Simulation based on Front-Page Articles in the WSJ (Matthies and Liu) Am I My Peer’s Keeper? Social Responsibility in Financial Decision Making (Fulbrunn and Luhan) Employees Will Work Harder Under Loss
- 5 years ago, 17 Apr 2015, 10:08pm -
Bond/Utility Divergence a Warning Sign...for the S&P 500? [Dana Lyons]
Given their relatively high yields, utility stocks have long been thought of as proxies, or at least competition, for bonds. And while that relationship is often overplayed (utility stocks are first and foremost, stocks), there is some credence to the notion. Since 1970, there is a 26% positive
- 5 years ago, 17 Apr 2015, 10:08pm -
If US Stocks Are Expensive, How Do I Protect Myself? [Meb Faber]
There is a lot of talk about stocks being expensive, but also a lot of people not really doing anything about it. Many simply don’t know how to tackle the problem, and others don’t want to think about it at all. Below, for some perspective, are historical returns to stocks since 1970 and the 10
- 5 years ago, 17 Apr 2015, 10:07pm -
Logical Invest at the Silicon Valley chapter of the AAII & upcoming Webinars [Logical Invest]
Logical Invest at the Silicon Valley chapter of the AAII & upcoming Webinars What an audience and what an experience! Thanks AAII Silicon Valley! As announced some weeks ago, on April 11 we hosted our first conference at the Silicon Valley chapter of the AAII (American Association of Individual
- 5 years ago, 17 Apr 2015, 10:06pm -
New related paper to #5 - FX Carry Trade [Quantpedia]
Investors based in different countries earn different returns on same strategies because the same risks covary differently with countries' stochastic discount factors (SDFs). We document that investors in low-interest-rate countries earn more than those in high-interest-rate countries on
- 5 years ago, 17 Apr 2015, 10:06pm -
1292 Days and Counting Since Last 10% Correction [Almanac Trader]
Alright, so the S&P 500 declined 1.1% today. That is the worst daily decline since March 25, 2015 when it fell 1.46%. Within this context, today’s loss seems far less worrisome than you probably heard today. But, with the current bull market well above average duration and performance since
- 5 years ago, 17 Apr 2015, 10:03pm -