Quantocracy

Quant Blog Mashup

Quantocracy’s Daily Wrap for 05/20/2017

This is a summary of links featured on Quantocracy on Saturday, 05/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Scrape and Parse 600 ETF Options in 10 mins with Python and Asyncio [Black Arbs]

    This is Part 1 of a new series I'm doing in semi real-time to build a functional options data dashboard using Python. There are many underlying motivations to attempt this, and several challenges to implementing a tool like this from scratch. Where to get the data? Is it affordable? Easily accessible? API? How to parse the results? How to aggregate and organize the data for analysis? How to
  • Solved: Errors Downloading Stock Price Data from Yahoo Finance [Robot Wealth]

    Recently, Yahoo Finance a popular source of free end-of-day price data made some changes to their server which wreaked a little havoc on anyone relying on it for their algos or simulations. Specifically, Yahoo Finance switched from HTTP to HTTPS and changed the data download URLs. No doubt this is a huge source of frustration, as many backtesting and trading scripts that relied on such
  • Yahoo is dead, long live Yahoo! [Trading with Python]

    On 18 May 2017 the ichart data api of yahoo finance went down, without any notice. And it does not seem like it is coming back. This has left many (including me) with broken code and without a descent free end-of-day data source. Something needs to be done. Now. Apparently Yahoo! does not want us to download free data automatically, but it is still possible to download it by hand, clicking the
  • An Example of Trading Model Design by Richard Olsen (Founder of @OANDA) [Quantpedia]

    We introduce a new approach to algorithmic investment management that yields profitable automated trading strategies. This trading model design is the result of a path of investigation that was chosen nearly three decades ago. Back then, a paradigm change was proposed for the way time is defined in financial markets, based on intrinsic events. This definition lead to the uncovering of a large set

Quantocracy’s Daily Wrap for 05/19/2017

This is a summary of links featured on Quantocracy on Friday, 05/19/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Bye Yahoo, and thanks for all the fish [Financial Hacker]

    Just a quick post in the light of a very recent event. Users of financial functions of R, MatLab, Python, or Zorro got a bad surprise in the last days. Many scripts and programs based on historical price data suddenly dont work anymore. And our favorite free historical price data provider, Yahoo, now responds on any access to their API in this way: No, they wont be right back. Their

Quantocracy’s Daily Wrap for 05/18/2017

This is a summary of links featured on Quantocracy on Thursday, 05/18/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Setting up an Algorithmic Trading Business [Quant Start]

    This is the second in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank takes a look at the different ways in which an algorithmic trading business can be establishedand why you might want to consider it. – Mike. Setting up an algorithmic trading business can provide the requisite credibility and legal structure to manage
  • Constant Expiry VIX Futures (Using Public Data) [QuantStrat TradeR]

    This post will be about creating constant expiry (E.G. a rolling 30-day contract) using VIX settlement data from the CBOE and the spot VIX calculation (from Yahoo finance, or wherever else). Although these may be able to be traded under certain circumstances, this is not always the case (where the desired expiry is shorter than the front months time to expiry). The last time I visited this
  • A Direct Test of the Dividend Catering Hypothesis [Alpha Architect]

    Why do CEOs decide to pay dividends? That is an interesting question, and one that academics have been researching for years. Miller and Modigiliani in 1961 show that if one assumes perfect and efficient capital markets, and investors should have no preference as to whether or not a firm pays dividends.(1)(2) However, (some) people care about dividends! But are dividend paying stocks better
  • Testing Dual Momentum with @AllocateSmartly [Scott’s Investments]

    I am frequently asked about performance and backtest results for my Dual Momentum portfolio, which is inspired by Gary Antonnaci at Optimal Momentum. I recently began using AllocateSmartly to test some of my favorite tactical strategies, including Dual Momentum. AllocateSmartly tracks some of the most popular tactical asset allocation strategies, with thorough, up-to-date backtests, and users can

Quantocracy’s Daily Wrap for 05/16/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 05/15/2017

This is a summary of links featured on Quantocracy on Monday, 05/15/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Review of Gary Antonacci s Dual Momentum Investing Book [QuantStrat TradeR]

    This review is a book review of Gary Antonaccis Dual Momentum Investing book. The TL;DR: 4.5 out of 5 stars. So, I honestly have very little criticism of the book beyond the fact that the book sort of insinuates as though equity momentum is the be-all-end-all of investing, which is why I deduct a fraction of a point. Now, for the book itself: first off, unlike other quantitative trading books
  • Pattern matching Cryptocurrencies [Ennlightenment]

    Bitcoin, Ethereum and some other cryptocurrencies seem to be in the spotlight again due to their most recent acceleration. C_y2pGfXoAApvdI Source: CEOTechnician Ethereum is up multiples since January. I thought we could take a look at importing Etherum price data in R and then seeing if we can draw any parallels between Ethereum and Bitcoin using the pattern matching algorithm weve looked at
  • Navigating Municipal Bonds With Factors [Flirting with Models]

    In this case study, we explore building a simple, low cost, systematic municipal bond portfolio. The portfolio is built using the low volatility, momentum, value, and carry factors across a set of six municipal bond sectors. It favors sectors with lower volatility, better recent performance, cheaper valuations, and higher yields. As with other factor studies, a multi-factor approach is able to
  • People are worried about the VIX [Investment Idiocy]

    "Today the VIX traded below 10 briefly intraday. A pretty rare occurrence. Since 1993, there have been only 18 days where it traded below 10 intraday and only 9 days where it closed below 10." (source: some random dude on my linkedin feed) … indeed 18 observations is a long…. long… way from anything close to a statistically significant sample size. (my response to random dude) You
  • CAPE Ratio, Why Have Thou Forsaken Me? [Meb Faber]

    A lot of people look at this bull market, valuations, and think somehow that value has forsaken us. And that the much discussed CAPE ratio doesnt work. They look at the CAPE ratio, at a current value of about 30 in the US, and think somehow that markets rising along with multiples expanding somehow invalidates the CAPE ratio. (Well ignore for a second the fact the CAPE ratio hit 13 in 2009,

Quantocracy’s Daily Wrap for 05/14/2017

This is a summary of links featured on Quantocracy on Sunday, 05/14/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Rough Path Theory and Signatures Applied To Quantitative Finance – Part 1 [Quant Start]

    To date QuantStart has generally written on topics that are applicable to the beginner or intermediate quant practitioner. However we have recently begun to receive requests from academics and advanced practitioners asking for more content on research-level topics. This is the first in a new series of posts written by Imanol Prez, a PhD researcher in Mathematics at Oxford University, UK, and a

Quantocracy’s Daily Wrap for 05/12/2017

This is a summary of links featured on Quantocracy on Friday, 05/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Chinese Market Anomaly – The Factor Killer? [Alpha Architect]

    The Oracle of Omaha just commented on the Chinese stock market in this years Berkshires annual meeting: Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people getting rich around them. And those who havent been through cycles before are more prone to speculate than people who have experienced the outcome of wild speculation. it

Quantocracy’s Daily Wrap for 05/10/2017

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

  • Tactical Permanent Portfolio from @GestaltU and @InvestReSolve [Allocate Smartly]

    This is a test of the Tactical Permanent Portfolio from the brains at GestaltU and ReSolve Asset Management. The strategy adds a number of dynamic features to a classic buy & hold strategy to better manage volatility and losses. Results from 1970, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.

Quantocracy’s Daily Wrap for 05/09/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Vix Below Low Redux [Voodoo Markets]

    Well, Its here, spot Vix close below 10. From what i read from the web, people are piling into short vol strategies on an escalating scale. I suspect unwinding of that trade will be rather brutal. I wish good luck to every short vol trader out there and dont forget to wear a helmet 🙂 1 2 3 4 5 6 7 8 9 10 11 12 13 14 import pandas as pd import numpy as np import matplotlib.pyplot as plt import
  • Iron Condor Results Summary [DTR Trading]

    Over the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links below: New Iron Condor Series Introduction 38 DTE SPX Iron Condor Results Summary 38 DTE SPX Iron

Quantocracy’s Daily Wrap for 05/08/2017

This is a summary of links featured on Quantocracy on Monday, 05/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trading Strategy: 52-Weeks High Effect in Stocks [Quant Insti]

    In todays algorithmic trading having a trading edge is one of the most critical elements. Its plain simple. If you dont have an edge, dont trade! Hence, as a quant, one is always on a look out for good trading ideas. One of the good resources for trading strategies that have been gaining wide popularity is the Quantpedia site. Quantpedia has thousands of financial research papers that
  • Expectations with Tactical Equity [Flirting with Models]

    Market expectations are a key input in the portfolio construction process. These expectations can be either qualitative or quantitative. How to form expectations for more complex strategies (e.g. managed futures, covered calls, and alternatives) is often less straightforward than forming expectations for single asset classes (e.g. large-cap equities, gold, and long-term U.S. Treasuries). In the
  • Factor Persistence & Diversification [Larry Swedroe]

    Financial research has uncovered many relationships between investment factors and security returns. Given that popularity is a curse in investing, the growing popularity of factor investing has led to worries that factors have become overvalued, posing risks to investors in these strategies. For investors, an important question is whether the past relationship between factors and returns will