Quant Mashup
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 -
Average market behaviour in February (2015) [UK Stock Market Almanac]
The following chart plots the average performance of the FTSE 100 Index during February since 1984. Average month chart - February (2015) As can be seen, historically the market tends to rise for the first two-and-a-half weeks and then drifts lower for the rest of the month. January 2015 The
- 4 years ago, 4 Feb 2015, 03:28am -
Quantitative Momentum Research: Price and Earnings Momentum [Alpha Architect]
We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk,
- 4 years ago, 3 Feb 2015, 07:30am -
How to Hedge Your Business [Meb Faber]
Note: I’m holding a cover design contest for my new book out next week, feel free to enter! This is normally something I would send to The Idea Farm, but since we started the conversation here I wanted to follow up. One of the best parts of writing is getting feedback. I posted an article the
- 4 years ago, 3 Feb 2015, 07:29am -
State of Trend Following: Momentum Still Strong in 2015 [Wisdom Trading]
January started the year as strong — if not stronger — than last year for trend following. Keeping the momentum going, and profiting from a continuation in a few big trends (US Dollar Index, Energies or Swiss Bonds for instance), the index opens the year with a double-digit positive monthly
- 4 years ago, 3 Feb 2015, 03:43am -
Error-Adjusted Momentum Redux [CSS Analytics]
James Picerno of Capital Spectator recently did a good review of Error-Adjusted Momentum in his post “A Momentum-Based Trading Signal with Strategic Value“. The Capital Spectator blog is rich with great content covering a diverse range of subjects from economics to asset allocation and
- 4 years ago, 2 Feb 2015, 06:33pm -
Are Breakeven Stops with the effort? [System Trader Success]
One favorite “gotta have” of many traders is a breakeven stop. By not letting a winning trade become a loser, the psychological lure of breakeven stops is strong. This is especially true for discretionary traders, where the winning percentage can play an important mental (not necessarily
- 4 years ago, 2 Feb 2015, 06:33pm -
S&P500 Tuesday - Win Rate [Stockdotnu]
in rate for Tuesday, data from 2014-01-07 until February 2015-01-27, total of 55 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, 2 Feb 2015, 06:33pm -
Largest monthly SPX loss in over a year $SPY [@NautilusCap]
Largest monthly SPX loss in over a year $SPY
- 4 years ago, 2 Feb 2015, 06:32pm -
January Barometer, fwiw $SPY [@NautilusCap]
January Barometer, fwiw $SPY
- 4 years ago, 2 Feb 2015, 06:32pm -
Fundamental Investors Following Insider Filings--Beware! [Alpha Architect]
We use a large recent sample of Form 4 insider trading filings to provide evidence on the process through which SEC filings are disseminated via EDGAR. We find that while the delay from a filing’s acceptance by EDGAR to its initial public availability on the SEC website is relatively short, with a
- 4 years ago, 2 Feb 2015, 02:13pm -
S&P500 – Statistics – February [Stockdotnu]
Monthly statistics for the S&P500 based on the closing price between year 1950-1958 and 2014 or 1995 to 2014. In pictures, mean, median, win rate per trading day, sum %, profit factor, avg. trade %, quartiles and percentiles. Quartiles and Percentiles on monthly development, graph at top is the
- 4 years ago, 2 Feb 2015, 02:13pm -
Is It Time to Buy Energies? [Jay On The Markets]
A quick glance at Figure 1 is enough to scare the daylights out of most sane investors.fsenx 1 Figure 1 – SPDR Energy (ticker XLE) (Courtesy AIQ TradingExpert) Thanks primarily to Saudi Arabia’s desire to “boost market share” by putting a lot of oil producers around the globe “out of
- 4 years ago, 2 Feb 2015, 06:50am -
VIX Trading Strategies in January [Volatility Made Simple]
We’ve tested 22 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I can’t speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies we’ve tested are broadly representative of how the vast
- 4 years ago, 2 Feb 2015, 06:49am -
The Stock Market in February [UK Stock Market Almanac]
February is the third strongest month of the year; but it hasn’t always been so strong, just six years ago it was ranked ninth of all months. In fact the market has only fallen five times in February in the last 20 years – and, of those five down years, only twice (2001 and 2009) were the falls
- 4 years ago, 2 Feb 2015, 06:49am -
Software you lose when leaving a university: Mathematica [Walking Randomly]
I’ve been working at The University of Manchester for almost a decade and will be leaving in just less than 3 weeks time! 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.
- 4 years ago, 2 Feb 2015, 06:49am -
Rob Hanna Will Be On TimingResearch’s Weekly Webshow – 1pm EST on Monday [Quantifiable Edges]
I have been asked to join a live discussion panel being put on by TimingResearch. Each week, TimingResearch surveys a large group of traders to get their thoughts about current market conditions. TimingResearch then produces a report based on the survey.
- 4 years ago, 2 Feb 2015, 06:30am -
Hidden Markov Models – Trend Following – Sharpe Ratio 3.1 – Part 4 of 4 [Gekko Quant]
Part 3 of this series demonstrated how to train a HMM on a toy model, this post will focus on how to actually go about modelling real life data. A trend following strategy will be developed for trading the S&P 500. In most machine learning classification problems you need a set of training data
- 4 years ago, 2 Feb 2015, 01:21am -
A Look At The January Barometer [Quantifiable Edges]
The January Barometer is a fairly famous study from the Stock Traders Almanac. It says that “as goes January, so goes the year”. In other words, a positive January will typically lead to a positive year, while a negative January can be a warning. Let’s look at how the SPX has done for the
- 4 years ago, 2 Feb 2015, 12:15am -
Ivy Portfolio February Update [Scott's Investments]
Scott’s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that
- 4 years ago, 1 Feb 2015, 09:10pm -
January’s false start marks return to normal for stocks [MktStk]
We have been thinking a lot about winning streaks lately. Looking at charts of the S&P 500 index it is hard not to be impressed by how many positive monthly returns we have had since the “resolution” of the last full-blown Euro crisis in mid-2012. We wanted to gain some historical
- 4 years ago, 31 Jan 2015, 04:01pm -
Comparing Flexible and Elastic Asset Allocation [QuantStrat TradeR]
So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset Allocation as an incomplete algorithm — namely that although it was an excellent method for selecting securities, that there had to have been a better way to
- 4 years ago, 30 Jan 2015, 04:57pm -
Everything Old is New Again [Meb Faber]
Reading old investment books is somewhat of a hobby of mine (I know probably need a better hobby). Glancing up on my bookshelf there are titles most have never heard of such as Once in Golconda, The Zurich Axioms, and Supermoney. I was flipping through another book new to me that I found when
- 4 years ago, 30 Jan 2015, 04:56pm -
Manliness implies Misreporting? [Alpha Architect]
We examine the relation between a measure of male CEOs’ facial masculinity and financial misreporting. Facial masculinity is associated with a complex of masculine behaviors (including aggression, egocentrism, risk-seeking, and maintenance of social status) in males. One possible mechanism for
- 4 years ago, 30 Jan 2015, 04:56pm -
Off to Bad Start. Down Januaries after 3 or more up years $SPY [@NautilusCap]
Off to Bad Start. Down Januaries after 3 or more up years $SPY
- 4 years ago, 30 Jan 2015, 04:55pm -
End of Month down 1 pct triggered 1/30/2015 [Gambulator]
See this (In Dec, it did not actually get triggered because it was down a little less than 1 pct) End of Month down 1 pct (ish) triggered 12/31/2014
- 4 years ago, 30 Jan 2015, 04:55pm -
Correction to Momentum Strategy Winners [CXO Advisory]
We have corrected the Momentum Strategy winners list for January 2015 (to be held during February 2015). The third place winner was incorrect due to omission of a dividend.
- 4 years ago, 30 Jan 2015, 12:56pm -
A Look At Struggling “1st Of The Month” Bullishness [Quantifiable Edges]
Friday is the last trading day of January. The first day of the month is well known for having a seasonal bullish tendency. Interestingly, I have noted this tendency has not been prevalent over the last few years. This can be seen in the equity curve below.
- 4 years ago, 30 Jan 2015, 09:39am -
Energy idiosyncratic volatility [Eran Raviv]
Recently, volatility has been on the up. Generally, we associate rising volatility with a bear regime, but we also know there is a percolating oil shock. Is the volatility we see in the stock market broad-based, or is it the effect brought about by sharp the drop in oil prices (so related to the
- 4 years ago, 29 Jan 2015, 03:03pm -
Help on an Academic Research Project... [Alpha Architect]
Readers, I need your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader for Alpha Architect. That said, I still conduct "serious" academic research with various colleagues in my
- 4 years ago, 29 Jan 2015, 03:02pm -
RUT Iron Condor - Dynamic Exit Overview - 66 DTE [DTR Trading]
In this post, we will continue the work from the last post, RUT Iron Condor - Dynamic Exit Overview - 80 DTE, but this time we will look at the performance of several dynamic exits for the 66 days-to-expiration (DTE) RUT Iron Condors (IC). We are going to backtest dynamic exits on three basic IC
- 4 years ago, 29 Jan 2015, 03:02pm -
Synthetic Volatility Index Quantified [Quantlab.co.za]
In part 1 and 2 of our volatility series I discussed a technique that I've developed to monitor broad market volatility with a Synthetic Volatility Index. Today I'm going to quantify our index by applying it to a liquid universe of equities as a simple entry filter. If volatility indeed
- 4 years ago, 29 Jan 2015, 02:56am -
Small-caps hanging in there $IWM [@NautilusCap]
Small-caps hanging in there $IWM
- 4 years ago, 29 Jan 2015, 02:55am -
Dual momentum with Value and Momentum factor portfolios [RRSP Strategy]
Dual Momentum is a robust portfolio allocation tool. Relative 12 month returns are used to rank assets. Shelter is sought in a safe asset when 12 month absolute returns fall below a threshold. Gary Antonacci describes Global Equities Momentum using US …
- 4 years ago, 28 Jan 2015, 11:58pm -
Predict Stock Returns Using the TREND of Profitability [Alpha Architect]
This study shows that the recent trajectory of a firm’s profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is incremental beyond that provided by the profit level, and it is not subsumed by other well-known determinants of
- 4 years ago, 28 Jan 2015, 01:45pm -
Machine Learning in Finance Workshop [Only VIX]
The Data Science Institute at Columbia University and Bloomberg are holding a workshop on Machine Learning in Finance. The presentations look interesting and the price is right - just $30 if you have a valid student ID, or $100 if you don't. Some research articles are already available for
- 4 years ago, 28 Jan 2015, 01:45pm -
Trading stock splits [Alvarez Quant Trading]
Trading stock splits is something that I have read about for long time but never researched. This article, A simple way to beat the market with stock splits, caught my eye and gave me the push to investigate the topic. This falls into the category of a topic I have heard a lot about that …
- 4 years ago, 28 Jan 2015, 09:28am -
A Revelation For Small-Cap Investing Strategies [Capital Spectator]
Suddenly business as usual for small-cap investing is in need of a makeover, thanks to a new research paper (a landmark study for asset pricing) that revisits, reinterprets and ultimately revives the case for owning these shares — after controlling for quality, i.e., “junk”. Cliff Asness of
- 4 years ago, 28 Jan 2015, 05:40am -
Fed Days After 1% Drops [Quantifiable Edges]
Selloffs as strong as we saw on Tuesday have been fairly rare just ahead of a Fed Day. In fact it was the 1st time since October 2012 that SPY closed down over 1% on the day before a Fed Day. Below are results of all instances since SPY’s inception in 1993.
- 4 years ago, 28 Jan 2015, 04:28am -