This is a summary of links featured on Quantocracy on Saturday, 10/24/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
- No new links posted.
Most Popular Books from the Bloggers at Quantocracy
Below is a list of all of the books written by all of the folks on our quantitative trading blogroll, sorted by Amazon sales rank from most to least popular. I did the legwork for a new page I’m putting together for the site (similar to what we used to have at The Whole Street), and thought it worth sharing.
Biggest non-surprise? Faber is killing it. Biggest surprise? Howard Bandy is killing it almost equally hard. Good stuff gentlemen. Click on the book title to read more at Amazon.
Quantocracy’s Daily Wrap for 10/21/2015
This is a summary of links featured on Quantocracy on Wednesday, 10/21/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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How well can you scale your strategy? [QuantStrat TradeR]This post will deal with a quick, finger in the air way of seeing how well a strategy scalesnamely, how sensitive it is to latency between signal and execution, using a simple volatility trading strategy as an example. The signal will be the VIX/VXV ratio trading VXX and XIV, an idea I got from Volatility Made Simples amazing blog, particularly this post. The three signals compared will be
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Stock Volatility Moves Treasurys [Larry Swedroe]Understanding the volatility of Treasury bond returns, as well as the volatility of both the level and slope of the Treasury term-structure, are fundamental issues in finance. Whats more, they have important implications for investors and portfolio design. Researchers have offered both theory and empirical evidence that suggest important linkages between equity risk and the Treasury bond
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Utilizing the Value of Value to Make Value / Growth Tilts [EconomPic]Back in August I outlined why I thought the plain-vanilla value premium had been compressed to the point growth had and was likely to continue to outperform in my post Death of (Plain Vanilla) Value – Long Live GARP. This post is meant as a follow up and suggests a few frameworks as to how an investor might allocate based on the given "value of value". Backdrop: Value of Value Matters
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Sir Bayes: all but not na ve! [Quant Dare]Is it possible to classify and predict (yes, predict!) if market trends will be bullish, bear or ranged by using a method called nave and based on something as simple as Bayes theorem is? Lets see! Predicting trends with nave Bayesian classifier Our main objective is to explore techniques of machine learning that can help us not only to label series in a posteriori analysis, but
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Information Ratio Hypothesis Testing [John Orford]Spurned by reading an account of a trader who swears by machine learning, few days ago I wrote about aesthetics in finance. Maths and tech without a narrative is pointless. My own attempts at providing a narrative foundered a few months back. Suspend Your Disbelief! I started using the Sharpe as a hypothesis test. So for example, the S&P 500 (not including dividends) has a Sharpe of ~0.462
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Insider Trading During the 8-K Trading Gap [Alpha Architect]SEC rules allow companies to delay the public disclosure of significant corporate events for up to 4 business days. This information is reported on an 8-K. This 4-day gap between an event and the disclosure creates an interesting situation. As an insider, if I know an 8-K is going to report news, I may want to try and trade in that 4 day window when the information is not available to the broader
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Biotech: My love-hate relationship [Alvarez Quant Trading]The two charts above are from recent trades I have taken. Charts created in AmiBroker. On July 20, 2015 IBB, iShares Nasdaq Biotechnology ETF, made a closing high of 398. About three months later it closed at 289 for 27% loss. A very common thing I hear from traders is that they dont trade biotechnology or pharmaceutical stocks. I completely understand. These stocks tend to be very
Quantocracy’s Daily Wrap for 10/19/2015
This is a summary of links featured on Quantocracy on Monday, 10/19/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Did the CME Data change impact your strategies? [System Trader Success]Effective September 21, 2015 the CME changed the closing time for futures that closed at 5:15 PM ET from 5:15 to 5:00 PM. The CME did this because the volume from 5:00 PM to 5:15 PM just wasnt that significant. My initial thought was no big deal, my strategies hardly ever traded during that time anyhow. Turns out, I was wrong. It could be a HUGE deal, depending on your strategies.
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Changing Notions of Risk Management in Automated Trading [Quant Insti]Algorithmic trading risks can be categorized into the following: Access Consistency Quality Algorithm Technology Scalability There are 2 places where Risk Management is handled Within the application We need to ensure that wrong parameters are not set by the trader. It should not allow a trader to set grossly incorrect values nor any fat-finger errors. Before generating an order in the
Quantocracy’s Daily Wrap for 10/18/2015
This is a summary of links featured on Quantocracy on Sunday, 10/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Week [Quantocracy]The best quant mashup links for the week ending Saturday, 10/17 as voted by our readers: Returns clustering with K-means algorithm [Quant Dare] Absolute Strength Momentum Investing Strategy [Alpha Architect] Guns, Bombs and eSports: Applying Data and Portfolio Analytics to Counter-Strike Gambling [Kevin Pei] I Hired a Contract Coder [Financial Hacker] Volatility Stat-Arb Shenanigans [QuantStrat
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Interview with Alan Clement [Better System Trader]Alan Clement is a Certified Financial Technician, full time independent trader, quantitative trading systems designer and private investment consultant. He is also a councillor with the Australian Technical Analysts Association and contributes to the technical analysis articles for Fairfax press. In this episode we talk about Rotational trading systems, the impact of stops on results and
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Multi-Factor Investing [Dual Momentum]Multi-factor investing that combines value, momentum, quality/profitability, or low volatility factors is todays hot new investment approach. There has been an explosion of multi-factor ETFs recently with nine of the fourteen existing U.S. multi-factor funds coming to market this year, and five of them showing up within the past 60 days. Multi-factor funds may be a good thing, since single
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Sovereign High Yield Bond Strategy [Meb Faber]There is ample research that shows that sorting government bonds on yield works great. The outperformance has been very consistent over the years at about 2% a year. The Dimson, Marsh, Staunton crew examined this in their 2012 GIRY issue, and graphic is below. These are returns from going long high yielding and short low yielding countries, but one issue with that strategy is that the drawdowns
Best Links of the Week
The best quant mashup links for the week ending Saturday, 10/17 as voted by our readers:
- Returns clustering with K-means algorithm [Quant Dare]
- Absolute Strength Momentum Investing Strategy [Alpha Architect]
- Guns, Bombs and eSports: Applying Data and Portfolio Analytics to Counter-Strike Gambling [Kevin Pei]
- I Hired a Contract Coder [Financial Hacker]
- Volatility Stat-Arb Shenanigans [QuantStrat TradeR]
We also welcome one blog making its first ever appearance on the mashup this week:
And in case you missed it, important site news for our readers and bloggers:
* * *
My fellow traders, ask not what Quantocracy can do for you, ask what you can do for Quantocracy. Vote for your favorite links on our quant mashup to encourage bloggers to write quality content. We do our part by providing this site without annoying advertising. All we ask is that you take a moment to participate in the process.
If you haven’t done so already, register to vote. Once registered, you can choose to remain logged in indefinitely, making voting as simple and painless as possible.
Read on Readers!
Mike @ Quantocracy
Quantocracy’s Daily Wrap for 10/16/2015
This is a summary of links featured on Quantocracy on Friday, 10/16/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Site News [Quantocracy]Three bits of site news for both readers and webmasters: For readers: Our new filter mashup feature For webmasters: Our policy on voting for your own link and vote padding For webmasters: Quantocracy badge For readers: Our new filter mashup feature Each site on our blogroll in the sidebar to the right now includes the following three icons (if you dont see a sidebar to the right,
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Backtesting Long Short Moving Average Crossover Strategy in Excel [Quant Insti]Now for those of you who know me as a blogger might find this post a little unorthodox to my traditional style of writing, however in the spirit of evolution, inspired by a friend of mine Stuart Reid (TuringFinance.com), I will be following some of the tips suggested in the following blog post. Being a student in the EPAT program I was excited to learn the methodology that others make use of when
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Surprise…Trading More is Profitable for Active Funds! [Alpha Architect]Warren Buffett make it clear why frequent trading damages ones wealth: Wall Street makes its money on activity. You make your money on inactivity. (source) But is activity always a bad thing? Implicit in Buffetts quote is an assumption that frictional costs outweigh any benefits of enhanced returns due to increased activity. Surely this is true for retail investors with high
Site News
Three bits of site news for both readers and bloggers:
- For readers: Our new “filter mashup” feature
- For bloggers: Our policy on voting for your own link and vote padding
- For bloggers: Quantocracy badges
For readers: Our new “filter mashup” feature
Each site on our blogroll in the sidebar to the right now includes the following three icons (if you don’t see a sidebar to the right, it’s because you’re on a mobile or other small screen device):
The house and Twitter icons are (I hope) self-explanatory, taking you to the site itself and the site’s Twitter account.
The magnifying glass in the middle is the new bit of niftiness. It allows readers to filter mashup results to only show links from that particular source. Try the magnifying glass above which has been set to just show links from the site GestaltU. When filtering results, readers can still do all of the same sorting (by ratings, etc.) as on the normal mashup.
We hope that this feature will make it easier for readers to really drill down on bloggers that they find especially interesting.
For bloggers: Our policy on voting for your own link and vote padding
We’ve added the text below to our FAQs, but I wanted to bring it to bloggers’ attention as this has become an issue a few times in recent weeks:
I fully expect each site to vote once for their own link. In other words, every site is allowed one “gamed” account. Creating multiple accounts for the same site for the purpose of inflating votes though is prohibited, and will be punished by our vote management software.
Note that when I say that each “site” is allowed to vote once for their own link, I’m including everyone within an organization. So an office with 100 employees is still only allowed one “gamed” account. This is to ensure that all links have an equal opportunity to be recognized, regardless of whether they come from a large office or a lone blogger.
Our software keys off of a number of factors to flag padded votes, including IP address, geographic region, and voting patterns.
Minor infractions will simply be cancelled out by the system. In more serious cases, I’ll speak directly with the blogger, and if the site continues to pad votes they’ll be dropped from Quantocracy altogether.
Sorry to be such a fascist on this, but it’s important that we protect the sanctity of the voting here.
For bloggers: Quantocracy badges
A number of sites have taken it upon themselves to add their own Quantocracy badge, similar to those provided by Seeking Alpha.
Some sites where I’ve seen the badge off the top of my head: GestaltU, Flirting with Models, CSS Analytics, Turing Finance, and Quant Insti. I am incredibly touched by the gesture folks. This is mostly a thankless job, but moments like these are the fuel that keep the engine burning.
For other sites that wish to do the same, feel free to use the badges included here. The first is 130 x 130 pixels, more or less the same size as the Seeking Alpha badge, and the second is 180 x 180 pixels, the size most of the aforementioned sites used. Both are on a transparent background, and super streamlined (thanks to the awesome tiny png site), so they should play well with most themes.
Read on readers!
Mike @ Quantocracy
Quantocracy’s Daily Wrap for 10/15/2015
This is a summary of links featured on Quantocracy on Thursday, 10/15/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Guns, Bombs and eSports: Applying Data and Portfolio Analytics to Counter-Strike Gambling [Kevin Pei]Since the publication of Bill James' seminal work, Baseball Abstract, and the rise to stardom for the Oakland A's, Sports Analytics – the application of statistics to competitive sports – has been (and still is) a prominent topic within the industry. Thus, it is only reasonable for practitioners to apply this movement to the new and upcoming playing field called eSports, which has gained
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Intraday Strategy Backtesting in R Part 2 (Rule-based Strategies) [Portfolio Effect]In this post we take intraday backtesting with PortfolioEffectHFT package one step further by adding a simple signal-based rebalancing rule. Using this rule we will create two trading portfolios a high frequency strategy portfolio and a low frequency portfolio and compare them with each other in terms of their intraday risk and performance. Both strategies would employ a price moving average
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I Hired a Contract Coder [Financial Hacker]Youre a trader with serious ambitions to use algorithmic methods. You already have an idea to be converted to an algorithm. Only problem: You do not know to read or write code. So you hire a contract coder. A guy whos paid for delivering a script that you can drop in your MT4, Ninja, TradeStation, or Zorro platform. Congratulations, now youre an algorithmic trader. Just start the script
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Seasonality debunked (partially) [RRSP Strategy]Ive previously written about a bi-annual seasonality pattern in US equity markets: https://rrspstrategy.wordpress.com/2014/05/16/bi-annual-seasonality/ The quarterly average market (Mkt-RF) returns from 1950 to present are shown below (data from Ken Frenchs library). Quarters 1-4 are even years and 5-8 are odd years. seas-Q The table shows that mean returns of quarters 4-6 are greater than
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Ben Graham Would be Proud: Fundamental Analysis Works [Alpha Architect]Here is an interesting working paper on the use of fundamental analysis in stock selection. The authors take a machine learning approach to building out statistical fair-value Ben Graham and David Dodd would be proud. Of course, this isnt surprising if youve read our treatise on systematic value investing. Fundamental Analysis Works Stock prices cannot be the outcome of a rational
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‘Javascript for Financial Analysts’ – Help Wanted [John Orford]The still-in-progress 'Javascript for Financial Analysts' book is now up on Leanpub. The goal of the book is to help financial analysts automate their daily tasks by using Javascript in the browser. Not only that, but do it elegantly. Giving people a viable alternative to Excel is a lofty goal, I could do with some help. If you want to pitch in, take a look at the Github repo or send me
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SPX Straddle – 59 DTE – Results Summary [DTR Trading]Over the last five blog posts we looked at the backtest results for 4120 options straddles sold on the S&P 500 Index (SPX) at 59 days-to-expiration (DTE). Eight different loss approaches were tested on these straddles. On top of these eight loss approaches, tests were conducted with no profit taking, and profit taking at 10%, 25%, 35%, and 45% of the credit received. For background information
Quantocracy’s Daily Wrap for 10/14/2015
This is a summary of links featured on Quantocracy on Wednesday, 10/14/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Returns clustering with K-means algorithm [Quant Dare]Do you know how a fireman and the direcion of a financial time series are related? If your answer is no, youre reading the right post. Voronoi diagram Suppose that you are a worker in an emergency center in a city and your job is to tell the pilots of firefighter helicopters to take off. You receive an emergency call because there is a point of the city on fire and a helicopter is necessary to
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Keep Skewness In Perspective [Larry Swedroe]Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, authors of the new paper, Does Realized Skewness Predict the Cross-Section of Equity Returns?, examined higher moments of volatility, skewness and kurtosis to determine if they have provided incremental explanatory power in the cross section of stock returns. Before reviewing the authors findings, which appear in the
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Apples and Oranges: A Random Portfolio Case Study [GestaltU]This article was motivated by a provocative discussion with a thoughtful RIA. Lets call him Harry. Harry expressed some disappointment with the performance of Global Tactical Asset Allocation (GTAA) strategies over the past few years relative to some popular tactical U.S. sector rotation funds. Harrys definition of GTAA is any strategy that regularly alters its allocation across a wide
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How to make proper equity simulations on a budget Part 1 Data [Following the Trend]Simulating an equity strategy is difficult. Much more so than simulating a futures strategy. Theres a lot more moving parts to care about. Much more complexity. All too often, I see articles and books that just skipped the difficult parts. Either they didnt understand it, or they hoped it wouldnt matter. It does. When I set out to write Stocks on the Move, I wanted to make sure that
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Javascript for Financial Analysts Book – ‘Fold’ [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 4. ~ Up until now we have introduced a handful of new concepts which needed just two words of vocabulary – map and filter. Fold however, is a new piece of vocabulary and one of the most powerful concepts in computer science rolled into one! Similar to the idea of 'optionality' in quantitative finance, once you
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Harnessing the power of machine learning for money making algo strategies w/ @BMouler [Chat With Traders]What youre about to hear is an interview with Bert Mouler hes a trader of futures and equities, and has been involved with markets since 07. But he does things a little different to most Hes an algorithmic trader who harnesses the power of machine learning to discover and develop profitable trading strategies. This is an area that hasnt been covered in previous episodes,
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