This is a summary of links featured on Quantocracy on Monday, 10/15/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Carry-Trend-Hedge Approach to Duration Timing [Flirting with Models]In this paper we discuss simple rules for timing exposure to 10-year U.S. Treasuries. We explore signals based upon the slope of the yield curve (carry), prior returns (trend), and prior equity returns (hedge). We implement long/short implementations of each strategy covering the time period of 1962-2018. We find that all three methods improve both total and risk-adjusted returns
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Improving the Odds of Value [Factor Research]Value investors earn a premium for holding undesirable stocks Market skewness may identify periods where the premium is more attractive The returns from the Value factor since 1926 were zero when market skewness was negative INTRODUCTION Although buying cheap stocks is intuitively appealing, holding them is highly unappealing for most investors. Value stocks tend to be companies that lack growth,
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Price Movement Prediction [Eran Raviv]Just finished reading the paper Stock Markets Price Movement Prediction With LSTM Neural Networks. The abstract attractively reads: The results that were obtained are promising, getting up to an average of 55.9% of accuracy when predicting if the price of a particular stock is going to go up or not in the near future., I took the bait. You shouldnt. In short, the authors use over 170
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Reversal Patterns: Part 2 | Trading Strategy (Exits) [Oxford Capital]Developer: Richard Wyckoff; Toby Crabel; Gerald Appel. Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc.; Appel, G. (2005). Technical Analysis. NJ: Pearson Education, Inc. Concept: Trading strategy based on reversal patterns confirmed by a price-momentum divergence. Research Goal: Performance verification of reversal
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A Look At How Fridays Create The Most Reliable Bounces [Quantifiable Edges]Friday is generally not terribly reliable in being a day where the market bounces from a low. It is one of the least popular days for this to occur (along with Wednesday). But a potential positive about a Friday bounce is that when they do occur, they tend to be the most reliable moving forward. The below tables look at performance following a bounce from a 50-day low. The 1st table looks at