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Quantocracy’s Daily Wrap for 10/08/2017

This is a summary of links featured on Quantocracy on Sunday, 10/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Analyzing A South African Financial News Twitter Corpus using a Topic Model [Top of The Bell Curve]

    Over the past decade there has been an increase in the amount of digital information that is available. In particular, there is now vasts amount of data that is available on social media platform such as twitter and Facebook that can be analysed to gain further insight and to establish sentiment about a particular topic. This information can then be used as additional input into a portfolio

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 10/06/2017

This is a summary of links featured on Quantocracy on Friday, 10/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Reconciling Individual Stock Returns and Factor Portfolio Returns [Alpha Architect]

    Those in the financial media have recently been writing multiple stories on a fascinating working paper, Do Stocks Outperform Treasury Bills? by Hendrik Bessembinder. We originally highlighted the paper on our blog in January. However, recent stories by those at the New York Times (here and here), Bloomberg (here and here), and ETF.com (here) have brought the paper back into the spotlight.
  • getSymbols and Alpha Vantage [Foss Trading]

    Thanks to Paul Teetor, getSymbols() can now import data from Alpha Vantage! This feature is part of the quantmod 0.4-11 release, and provides another another data source to avoid any Yahoo Finance API changes*. Alpha Vantage is a free web service that provides real-time and historical equity data. They provide daily, weekly, and monthly history for both domestic and international markets, with up
  • Volume Filters (Part 2) | Trading Strategy (Entry & Exit) [Oxford Capital]

    Developer: Joseph Granville (On-Balance Volume); R. D. Donchian (Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by OBV (On-Balance Volume) filters. Research Question: Can volume filters improve price breakouts? Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Entry Setup: High[i] > EntryUpPriceChannel[i 1]. Short Entry Setup: Low[i]

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 10/05/2017

This is a summary of links featured on Quantocracy on Thursday, 10/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Comparing Supervised Learning Methods for Hang Seng Futures Long/Short Strategy [Golden Compass]

    Trend prediction in financial markets is a very complex task, due to the fact that prices are inherently noisy, non-stationary, and deterministically chaotic. In recent years, studies have leveraged various machine learning algorithms to tackle this task. Leung, Chen, and Daouk (2001) used a Probabilistic Neural Network to forecast the trend of index return on the Taiwan Stock Exchange Index, and
  • Strong down performance for trend following in September [Wisdom Trading]

    September 2017 Trend Following: DOWN -5.31% / YTD: -21.01% The Wisdom State of Trend Following index had a rough September, unfortunately following the trend of the last 18 months and going through the -20% mark for the year so far. With only 3 months to go, 2017 is shaping up to be a strong negative one for the strategy, like last year. Below is the full State of Trend Following report as of last

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 10/04/2017

This is a summary of links featured on Quantocracy on Wednesday, 10/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Indicator Comparison: Ehler My Stochastic Indicator, RSI and ConnorsRSI [Alvarez Quant Trading]

    Like all traders, I am always on the lookout for any new indicators better than the ones I am using. I have been using and promoting RSI2 since 2004 for mean reversion trading. I created the ConnorsRSI in 2012. Am I married to these indicators? No. If I find something better I will drop them. I came across this article Battle of the oscillators, I had to try it out. One thing to understand,

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 10/03/2017

This is a summary of links featured on Quantocracy on Tuesday, 10/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hiking Mountains, Gladly, To Honor The Fallen [Alpha Architect]

    Landon Thomas Jr. recently wrote an article in the New York Times regarding our participation in the recent March for the Fallen Event. Landons article was well-written and provided a compelling narrative. However, much of the attention of the article was focused on Alpha Architect and my personal story, which we genuinely appreciate. But I was one of many There were 500+ alongside us on the
  • Capital Raising for Early Stage Quant Fund Managers – Part I [Quant Start]

    This is the first in a two part series of articles written by Frank Smietana, an expert guest contributor to QuantStart. In this article Frank takes a look at how early-stage quantitative hedge fund managers can go about looking to secure their first institutional allocation of capital. Please be aware that since this article discusses capital allocation, the article (and any information accessed
  • Suggestion of a New Currency Factor Model [Quantpedia]

    We examine the ability of existing and new factor models to explain the comovements of G10-currency changes. Extant currency factors include the carry, volatility, value, and momentum factors. Using a new clustering technique, we find a clear two-block structure in currency comovements with the first block containing mostly the dollar currencies, and the other the European currencies. A factor

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 10/02/2017

This is a summary of links featured on Quantocracy on Monday, 10/02/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Factor Olympics: Q3 2017 [Factor Research]

    2017 is on track for a good year for factor exposure as most factors are positive Quality, Growth, and Momentum are headed for the winners podium Value is negative across regions, giving up all of last years gains INTRODUCTION We present the performance of six well-known factors on an annual basis for the last 10 years and the first three quarters of 2017. Its worth mentioning that not all
  • TAA vs buy and hold in overvalued markets (CAPE > 30 edition) [Investing For A Living]

    Personal note: Sorry for the long delay from posting. I had a death in the family this summer, a big overseas family wedding, and Ive been working on getting my newsletter released, which Ill announce in a later post. Now, Im back. I was thinking this morning that with the increasing talk of market valuation, bubbles, etc. it would be a good time to revisit my post on TAA vs buy and hold
  • Analyzing the FDIC Dataset [Jonathan Kinlay]

  • The Frustrating Law of Active Management [Flirting with Models]

    In an ideal world, all investors would outperform their benchmarks. In reality, outperformance is a zero-sum game: for one investor to outperform, another must underperform. If achieving outperformance with a certain strategy is perceived as being easy, enough investors will pursue that strategy such that its edge is driven towards zero. Rather, for a strategy to outperform in the long run,
  • When Months Finish At A High [Quantifiable Edges]

    urn of the month will often trigger some seasonal studies. The study below looks at performance after times that SPY has closed a month at the highest closing price of the month. 2017-10-02 image1 The numbers across the board are fairly compelling. Trades may want to keep this in mind as we enter October.
  • Academic Research Insight: Volatility Wisdom of Social Media Crowds [Alpha Architect]

    Title: VOLATILITY WISDOM OF SOCIAL MEDIA CROWDS Authors: Ahmet K. Karagozoglu and Frank J. Fabozzi Publication: Journal of Portfolio Management, Winter 2017 (version here) What are the research questions? Using raw tweets from Twitter and StockTwits (Trader Mood Data from PsychSignal) a minute-by-minute social media sentiment signal is constructed for numerous financial instruments and used

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 10/01/2017

This is a summary of links featured on Quantocracy on Sunday, 10/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation in September (Now Adjusted for Timing Luck) [Allocate Smartly]

    This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what we do or let AllocateSmartly help you follow these strategies in
  • Smart Portfolios from @InvestingIdiocy [Reading the Markets]

    Robert Carver, author of Systematic Trading, has turned his attention to the thorny problem of portfolio construction. In Smart Portfolios: A Practical Guide to Building and Maintaining Intelligent Investment Portfolios (Harriman House, 2017) he deals with such topics as how to blend assets with different levels of risk, the reasons that forecasting returns is so difficult, and how to calculate

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/30/2017

This is a summary of links featured on Quantocracy on Saturday, 09/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Calibrating Financial Models using a Non-Parametric Technique [Top of The Bell Curve]

    Traditionally, asset returns have been modeled using diffusion processes. Diffusion processes assume that the sample path of the process being modeled is continuous. However, empirical evidence suggests that there are jumps that occur in asset returns, such as those that occurred during the financial crisis of 2008. The presence of jumps has implications in derivative pricing and asset allocations

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/29/2017

This is a summary of links featured on Quantocracy on Friday, 09/29/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Kelly Criterion Does It Work? [QuantStrat TradeR]

    This post will be about implementing and investigating the running Kelly Criterion that is, a constantly adjusted Kelly Criterion that changes as a strategy realizes returns. For those not familiar with the Kelly Criterion, its the idea of adjusting a bet size to maximize a strategys long term growth rate. Both https://en.wikipedia.org/wiki/Kelly_criterionWikipedia and Investopedia have

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/28/2017

This is a summary of links featured on Quantocracy on Thursday, 09/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • VIX and Trend-Following, the Killer Combo? [Alpha Architect]

    Some things in life are naturally made for each other. Some examples include the following: Peanut Butter and Jelly Starsky & Hutch Value and Momentum So my ears perked up when the idea of combining VIX levels and Trend Following started making the rounds on finance twitter. Like any geek, I was eager to start testing the idea, knowing ahead of time that there is a major overfitting hurdle to
  • Are Short Out-of-the-Money Put Options Risky? Part 2: Dynamic Case [Relative Value Arbitrage]

    This post is the continuation of the previous one on the riskiness of OTM vs. ATM short put options and the effect of leverage on the risk measures. In this installment were going to perform similar studies with the only exception that from inception until maturity the short options are dynamically hedged. The simulation methodology and parameters are the same as in the previous study. As a
  • Craftsmanship Alpha [Quantpedia]

    Successful investing requires translating sound investment concepts into actual trading strategies. We study many of the implementation details that portfolio managers need to pay attention to; such choices range from portfolio construction to execution. While these kinds of decisions apply to any type of investment strategy, they are particularly important in the context of style investing.
  • What Kind of Asset Is Bitcoin? [CXO Advisory]

    Does Bitcoin behave like some other asset class? To investigate, we calculate daily and monthly return correlations between Bitcoin and each of 34 exchange-traded products encompassing eight used in Simple Asset Class ETF Momentum Strategy (SACEMS), 24 considered in SACEMS Portfolio-Asset Addition Testing plus SPDR Bloomberg Barclays 1-3 Month T-Bill (BIL) and Powershares DB US Dollar

Filed Under: Daily Wraps

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