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Quantocracy’s Daily Wrap for 05/09/2016

This is a summary of links featured on Quantocracy on Monday, 05/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Motivation: Why Do I Blog? [Quantocracy]

    A common concern I hear from many in our community of quantitative bloggers is defining their motivation to write for the long-term. Most begin writing without knowing what to expect, just happy to take a break from crunching numbers to interact with actual humans. Sometimes that optimism wanes though when the realities of lifes other responsibilities begin to pull at their time. Throw in a
  • Alternative Beta can be Great: But Beware of Data-Mining! [Alpha Architect]

    We investigate the biases in the backtested performance of alternative beta strategies using a sample of 215 commercially promoted trading strategies across five asset classes. Our results lend support to the cautions in recent literature regarding backtest overfitting and lack of robustness in trading strategy performance during the live period (out of sample). We report a median 73%
  • The two sources of outperformance [Flirting with Models]

    This blog post is available for download here. Summary When a manager outperforms, it implies that other investors have underperformed. In understanding an investment process, we believe it is critical to understand the source of this outperformance to determine whether it is sustainable or not. We believe there are two key sources of outperformance: exploiting investor behavior and being

Filed Under: Daily Wraps

Motivation: Why Do I Blog?

Blogging is hard. Quant blogging is even harder.

I sometimes hear from bloggers in our community that their motivation to blog has faded. Most begin writing with little expectation, just happy to take a break from crunching numbers to interact with actual humans. Sometimes that optimism wanes though when the realities of life’s other responsibilities begin to pull at their time. Throw in a healthy dose of the troll’foolery that comes with having an Internet presence, and folks sometimes question whether it’s all worth it.

As a denizen of this community, I want to encourage folks to continue writing. I’ve spoken with a number of the top bloggers on our mashup to understand both the tangible and intangible things that motivate them. Here are the eight motivators they shared, sorted from least to most tangible:

  • Sharing for the sake of sharing:

    There is a special breed of person who enjoys sharing simply for the sake of sharing. These are the generous souls who contribute to Stack Exchange and the like. But for many, it’s not enough.

  • A means to organize and archive one’s thoughts:

    Many analytical people, myself included, tend to be easily distracted by squirrels. A blog forces one to organize and archive one’s thoughts, closing a chapter on one subject before moving on to the next.

  • Collaboration with the community:

    Many of us work on our nerd toys in isolation, and seek the feedback and collaboration that comes with being part of a community. I hear mixed responses on this. I would summarize them as this: the Internet is mostly a “taking” as opposed to “giving” place. Don’t expect an army of collaborators. Expect a very small number of people who have the potential to make a real impact on your work.

  • Advertising/affiliate marketing:

    The reality is that our niche is too small to drive significant revenue. I would say that we have a reasonably successful site as far as quantitative stuff goes, but our primary source of revenue, our book library, generates less than $200 a month, essentially all of which goes to costs. You can certainly do better, but don’t expect much here.

  • Contract work:

    Some bloggers are having success with one-off contract work (consulting, strategy development, programming, etc.) that often turns into something much bigger. This one surprised me as I didn’t realize the scale on which it was happening.

  • Career building and networking:

    There have been A LOT of success stories here. Folks are finding solid jobs by treating their site as a portfolio of their workmanship. It makes me incredibly happy to know that, along with the “contract work” above, we’re playing a small part in improving lives in the offline world.

  • Managing money:

    A number of sites manage money in some form or fashion. While they may not technically solicit business through their sites, their workmanship is on display, something that I think is much more effective in finding more sophisticated clients than the traditional approach to sales.

  • Selling something:

    This is the most direct approach: books, software, subscriptions to strategies, subscriptions to member-only content. Note that there has been a lot written about the financial benefit (or lack thereof) of selling books the traditional way (i.e. Amazon + brick-and-mortar). In short, there’s not much money there, but it’s a means to drive some other revenue stream.

That’s it. I’m sure there are more, but these are what came out of my conversations. There is of course no one-size-fits-all answer, but as a denizen of this community I hope that authors define what motivates them so that we as a community don’t lose the benefit of their knowledge.

Mike @ Quantocracy

Filed Under: Site Announcements

Quantocracy’s Daily Wrap for 05/07/2016

This is a summary of links featured on Quantocracy on Saturday, 05/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Relative Strength Index (RSI) Model | Trading Strategy (Entry) [Oxford Capital]

    I. Trading Strategy Developer: Larry Connors (The 2-Period RSI Trading Strategy), Welles Wilder (RSI Momentum Oscillator). Source: (i) Connors, L., Alvarez, C. (2009). Short Term Trading Strategies That Work. Jersey City, NJ: Trading Markets; (ii) Wilder, J. W. (1978). New Concepts in Technical Trading Systems. Greensboro: Trend Research. Concept: The long equity trading system based on the

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/05/2016

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

  • How to Learn Advanced Mathematics Without Heading to University – Part 2 [Quant Start]

    In the last article in the series we looked at the foundational courses that are often taken in a four-year undergraduate mathematics course. We saw that the major courses were Linear Algebra, Ordinary Differential Equations, Real Analysis and Probability. In the "second year" of our self-study mathematics degree we'll be digging deeper into analysis and algebra, with discussions on
  • The Academic Finance Papers That Changed My Mind [Alpha Architect]

    What does it mean to be the best research? For me, this means the most influential in changing my view on the world. So the below list of best research represents the research that 1) changed my view of the world 2) helped sharpen my thinking. For context, Ive been reading source journal finance research for over 15 years. In the early days it would take me a week to grasp a paper,

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/03/2016

This is a summary of links featured on Quantocracy on Tuesday, 05/03/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Backtesting Strategies with R (h/t algotrading Reddit) [Tim Trice]

    This book is designed to not only produce statistics on many of the most common technical patterns in the stock market, but to show actual trades in such scenarios. Test a strategy; reject if results are not promising Apply a range of parameters to strategies for optimization Attempt to kill any strategy that looks promising. Let me explain that last one a bit. Just because you may find a strategy
  • Get Rich Slowly [Financial Hacker]

    Most trading systems are of the get-rich-quick type. They exploit temporary market inefficiencies and aim for annual returns in the 100% area. They require maintenance, supervision, and regular adaption to market conditions. Their expiration is often accompanied by large losses. But what if youve nevertheless collected some handsome gains, and now want to park them in a more safe haven? Put the
  • Forecast averaging example [Eran Raviv]

    Especially in economics/econometrics, modellers do not believe their models reflect reality as it is. No, the yield curve does NOT follow a three factor Nelson-Siegel model, the relation between a stock and its underlying factors is NOT linear, and volatility does NOT follow a Garch(1,1) process, nor Garch(?,?) for that matter. We simply look at the world, and try to find an apt description of
  • Further dip in April for Trend Following [Wisdom Trading]

    Another down month for the index, with a slight loss. Two mild down months after two strong up months keep the index in positive territory for 2016. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: WSTF-201604-Index And the 12-month chart: WSTF-201604-Index-12months Below are the summary stats:

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/02/2016

This is a summary of links featured on Quantocracy on Monday, 05/02/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

    No new links posted.

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/01/2016

This is a summary of links featured on Quantocracy on Sunday, 05/01/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • New Book Added: Elements of Statistical Learning (h/t @Robot_Wealth) [Amazon]

    During the past decade there has been an explosion in computation and information technology. With it have come vast amounts of data in a variety of fields such as medicine, biology, finance, and marketing. The challenge of understanding these data has led to the development of new tools in the field of statistics, and spawned new areas such as data mining, machine learning, and bioinformatics.
  • Index Investing Makes Markets and Economies More Efficient [Philosophical Economics]

    U.S. equity index funds have grown dramatically in recent decades, from a negligible $500MM in assets in the early 1980s to a staggering $4T today. The consensus view in the investment community is that this growth is unsustainable. Indexing, after all, is a form of free-riding, and a market can only support so many free-riders. Someone has to do the fundamental work of studying securities in

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 04/30/2016

This is a summary of links featured on Quantocracy on Saturday, 04/30/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

    No new links posted.

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 04/29/2016

This is a summary of links featured on Quantocracy on Friday, 04/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

    No new links posted.

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 04/28/2016

This is a summary of links featured on Quantocracy on Thursday, 04/28/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • What You Should Remember About the Markets [Dual Momentum]

    Because I have been an investment professional for more than 40 years, I sometimes get asked my opinion about the markets. These questions usually come from those who invest without a systematic approach toward investing. Here are some typical questions and answers: Question: How much do you think the stock market can drop? Response: 89% Question: What?!! Response: Well, that is the most it has
  • How Different Are These Things From One Another? [Blue Event Horizon]

    In an earlier post I was looking at distance measures for clustering. In a still earlier post I had referred to analyzing hedge fund regulatory data using clustering to try to put the funds into groups by inferred strategy. I had to solve a problem with clustering that has being bothering me for a while: how do you measure distances between observations when the data is sparse? In my case the
  • Facts, Fiction, and Merger Arbitrage [Alpha Architect]

    Investors love to chase after the next big thing, as investment strategies and styles come in and go out of vogue. The latest object of investor infatuation may be a revitalized interest in merger arbitrage. Consider this bloomberg headline: Hedge Fund Investors Have Fallen in Love with Merger Arb (Again). It would appear that merger arbitrage is a hot strategy once again. But while it
  • K-Means never fails , they said [Quant Dare]

    It is known that data mining algorithms are not perfect and they can fail under certain conditions. K-Means is an example of that triviality but there is a good alternative, K-Medoids. In a previous post, Machine Learning: A Brief Breakdown we already mentioned that K-Means is the cluster analysis algorithm par excellence and it is one of the most important data mining and machine learning
  • Optimum Asset Allocation using Correlation [Milton FMR]

    The concept of diversification is based on the concept that a trader can reduce his risk exposure by entering several positions at the same time. The success of a traders portfolio is therefore based on reducing risk rather than maximizing returns. A trader should be able to withstand a string of losses no matter how low the probability might be for a large string of losses. When testing our

Filed Under: Daily Wraps

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