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Quantocracy’s Daily Wrap for 05/28/2016

This is a summary of links featured on Quantocracy on Saturday, 05/28/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 05/27/2016

This is a summary of links featured on Quantocracy on Friday, 05/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Exploring Extreme Asset Returns [Quant Dare]

    Tail or extreme assets returns have been extensively studied. In his amazing paper: Empirical properties of assets returns: stylized facts and statistical issues, Rama Cont provides a framework on statistical analysis of price variations in various types of financial markets. He presents Heavy tails in asset returns as a stylized fact, i.e., statistical properties common across a wide

Quantocracy’s Daily Wrap for 05/26/2016

This is a summary of links featured on Quantocracy on Thursday, 05/26/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Some Impressions from R Finance 2016 [Revolutions]

    R / Finance 2016 lived up to expectations and provided the quality networking and learning experience that longtime participants have come to value. Eight years is a long time for a conference to keep its sparkle and pizzazz. But, the conference organizers and the UIC have managed to create a vibe that keeps people coming back. The fact that invited keynote speakers (e.g. Bernhard Pfaff 2012,
  • Updated Dual Momentum Test [Scott’s Investments]

    I frequently get asked for updated tests on various strategies. Using Portfolio123 I ran a backtest on a Dual Momentum strategy from 1/1/2007 5/25/2016. The strategy is updated on Scotts Investments monthly, the most recent update is here. The strategy invests equally in one ETF from each of four baskets of ETFs/cash: Equities VTI, EFA, or Cash Credit Risk CIU, HYG, or Cash Real

Quantocracy’s Daily Wrap for 05/25/2016

This is a summary of links featured on Quantocracy on Wednesday, 05/25/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Forecasting the VIX to Improve VIX-Derivatives Trading [Quantpedia]

    Konstantinidi et. al. state in their broad survey of Volatility-Index forecasting: "The question whether the dynamics of implied volatility indices can be predicted has received little attention". The overall result of this and the quoted papers is: The VIX is too a very limited extend (R2 is typically 0.01) predictable, but the effect is economically not significant. This paper confirms
  • ConnorsRSI Analysis [Alvarez Quant Trading]

    A couple posts ago, I did the RSI Analysis. This post will focus on ConnorsRSI which I created while working for Larry Connors. When creating the indicator, the focus was on short-term mean-reversion results. We will look at that here but also how does it handle longer-term holds. Since I did not test this when I originally did the work, I was looking forward to seeing the results. ConnorsRSI

Quantocracy’s Daily Wrap for 05/24/2016

This is a summary of links featured on Quantocracy on Tuesday, 05/24/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Candid Discussion with an Algorithmic Trader [Quant Insti]

    The role of Algorithm in a persons life is too substantial to be ignored. From a simple coffee-making machine to the music system in his car, from elevators to search engine like Google, all are governed by a set of logical instructions Algorithms or Algos, which enable them to respond to a persons specific requirement. With the advent of internet, Algorithmic potential has been

Quantocracy’s Daily Wrap for 05/23/2016

This is a summary of links featured on Quantocracy on Monday, 05/23/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Seasonal Effects in Equity Markets [Jonathan Kinlay]

    There are a plethora of seasonal anomalies documented in academic research. For equities these include the Halloween effect (Sell in May), January effect, turn-of-the-month effect, weekend effect and holiday effect. For example, Bouman and Jacobsen (2002) and Jacobsen and Visaltanachoti (2009) provide empirical evidence on the Halloween effect, Haug and Hirschey (2006) on the January effect,

Quantocracy’s Daily Wrap for 05/20/2016

This is a summary of links featured on Quantocracy on Friday, 05/20/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A simple breakout trading rule (pysystemtrade) [Investment Idiocy]

    Breakout. Not the classic home arcade game, seen here in Atari 2600 version, but what happens when a market price breaks out of a trading range. The Atari 2600 version was built by Wozniak with help from Jobs exactly 40 years ago. Yes that Wozniak and Jobs. Source: wikipedia In this post I'll discuss a trading rule I use to look at breakouts. This will be an opportunity to understand in more
  • Behavioral Finance Strikes Again: Contrast Effects in Markets [Alpha Architect]

    At this point, even hard core efficient market fans will likely admit that behavior can influence investment decisions. Humans arent robots. However, just because some investors exhibit bad behavior that doesnt mean they can influence prices. As the story goes, smart investors are prepared to take advantage of profitable opportunities at a moments notice, and thus, prices are always

Quantocracy’s Daily Wrap for 05/19/2016

This is a summary of links featured on Quantocracy on Thursday, 05/19/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • New Book from The Financial Hacker (German Language) [Amazon]

    The Financial Hacker is one of the top rated bloggers at Quantocracy. Unfortunately, this book is only available in German, but for those who sprechen die Deutsch, this is a must read.
  • New Whitepaper: Why Tactical FIxed Income is Different [Flirting with Models]

    We recently updated, expanded, and put a new face on a whitepaper we had written last year called, Why Tactical Fixed Income is Different. You can access the new paper here. In the original version, we looked at some of the reasons why a simple tactical strategy that commonly works in equities (e.g. go to cash) does not always work well in fixed income. The main takeaway of the original

Quantocracy’s Daily Wrap for 05/18/2016

This is a summary of links featured on Quantocracy on Wednesday, 05/18/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Optimising weights with costs (pysystemtrade) [Investment Idiocy]

    In a previous post I showed you how to use my open source python backtesting package, pysystemtrade, to estimate forecast weights and instrument weights. At the time I hadn't included code to calculate costs. Now that has been remedied I thought I should also write some code to demonstrate the different ways you can optimise in the presence of costs. You can see what else has been included in
  • A Stunning New Finding: Return Seasonalities are Everywhere [Alpha Architect]

    Weve discussed return seasonalities in the past, especially as they pertain to our approach to momentum. Turns out seasonality effects arent confined to momentum they are literally everywhere and they are incredibly strong. This paper will blow your mind once you let the results settle in a bit. Source paper Slides Turns out stock returns are lumpy across the calendar. Stocks dont
  • Machine Beats Human: Machine Learning in Forex [Jon.IO]

    Machine learning and trading is a very interesting subject. It is also a subject where you can spend tons of time writing code and reading papers and then a kid can beat you while playing Mario Kart. In the nexts posts, we are going to talk about: Optimize entries and exits. This and only this could make a ton of difference in your bank roll. Calculate position size (in case you don't like
  • Which Institution Has The Best Asset Allocation Model? [Meb Faber]

    If youre like most investors, youre asking the wrong questions. I was chatting with a group of advisors this week down in La Jolla and a question arose. Ill paraphrase: Meb, thanks for the talk. We get a steady stream of salespeople and consultants in here hawking their various asset allocation models. Frankly, it can be overwhelming. Some will send us a 50-page report, all to explain
  • The State of Risk Management [Flirting with Models]

    How effective is your method of managing portfolio risk? We compare and contrast different approaches including fixed income, managed futures, low volatility equities, and tactical to explore the relative protection they can deliver versus the return drag they can create.
  • World s Simplest Trading System [UK Stock Market Almanac]

    Heres the system: At the end of every month, if the index is above its 10-month simple moving average: the portfolio is 100% in the market if the index is below its 10-month simple moving average: the portfolio is 100% in cash And thats it. So, if we take the FTSE 100 Index as an example, if at the end of a month the FTSE 100 is above its 10-month simple moving average then either, the