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Quantocracy’s Daily Wrap for 09/23/2021

This is a summary of links featured on Quantocracy on Thursday, 09/23/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • New Site! Trailing Stops in Various AutoCorrelation and Volatility Regimes [Derek Wong]

    Abstract: I examine trailing stops in real markets and various autocorrelation and volatility regimes using synthetic data. Exits are notoriously under-studied and may be a source of edge. I examine three key hypotheses using my take on Tom Bassos random entry method to remove entry from the equation. Disclaimer: Not financial advice, only my own opinions. This is not to encourage nor promote

Quantocracy’s Daily Wrap for 09/22/2021

This is a summary of links featured on Quantocracy on Wednesday, 09/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Steal ideas, not implementations [Robot Wealth]

    Imagine youre a relatively small, independent trader trying to turn trading from a hobby into a serious business. If thats you, then there are a few concepts that will help you pick the right trades to get after. This is important because picking the right trades is most of the game. First, the Market Gods give no prizes for difficulty. So, to start with, youll want to play the easiest,
  • Getting serious about part-time trading w/ @Robot_Wealth [Better System Trader]

    Kris Longmore from RobotWealth joins us to discuss 4 key areas part-time traders need to take seriously to be successful, including: Why its important to understanding market participants and why theyre trading, 3 common things traders do that almost guarantee they will blow up, Setting realistic expectations for retail traders, The edge pyramid and where retail traders should target,
  • Factor contribution [Quant Dare]

    In this post we are going to examine two alternative methods of calculating the factor contribution to the performance of an equity portfolio. To evaluate the performance of an equity portfolio regarding the exposure to risk factors, it is common to calculate the contribution of each factor to the performance. When we use the term contribution we are speaking about the absolute return of something

Quantocracy’s Daily Wrap for 09/21/2021

This is a summary of links featured on Quantocracy on Tuesday, 09/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Look-Ahead Bias, and Why Backtests Overpromise [Enjine]

    The Korean drama Sisyphus is a story about a couple of heroes who struggle against a villain from the future. Villains need deep pockets to pull off large schemes, and in Sisyphus case, the villain amasses his wealth by using his knowledge of the future to make money on the stock market. In one scene, he is seen taking a massive short position on the stock market on the eve of September
  • Monday s Strong Selling & New Lows Triggered This Historically Bullish Setup [Quantifiable Edges]

    Many studies identified by the Quantifnder Monday afternoon showed the strong selling and closing lows to be potentially bullish. And Turnaround Tuesday is typically the best day for a bounce to begin. The study below considered the long-term uptrend, intermediate-term low, and strong selling on Monday. SPX big drop to a low clos on a Monday has led to consistent bounces during uptrends. The only
  • ESG Ratings are Noisy. Buyer Beware [Alpha Architect]

    ESG products have been flooding the market and it is difficult for investors to assess the ground truth. To make matters worse, with limited sample size periods and datasets, trying to determine evidence-based ESG insights, is challenging. Nonetheless, weve been covering the academic research on ESG investing as much as we can to empower investors through education. What weve found is

Quantocracy’s Daily Wrap for 09/20/2021

This is a summary of links featured on Quantocracy on Monday, 09/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Researcher Motives [CXO Advisory]

    Do motives of financial market researchers justify strong skepticism of their findings? In his brief August 2021 paper entitled Be Skeptical of Asset Management Research, Campbell Harvey argues that economic incentives undermine belief in findings of both academic and practitioner financial market researchers. Based on his 35 years as an academic, advisor to asset management companies and
  • Are Stock Markets Becoming More Correlated? [Factor Research]

    The correlation of stock markets has stopped increasing since the GFC The Value and Momentum factors are trading at peak correlations Correlations can change dramatically when using different data sources INTRODUCTION Globalization is less of a smooth ride on a river barge and more akin to river rafting. There might be calm stretches with glorious mountain views, but also rapids and waterfalls.
  • Research Review | 17 Sep 2021 | Financial Shocks And Crises [Capital Spectator]

    We present a new database of banking-crisis interventions since the 13th century. The database includes 1886 interventions in 20 categories across 138 countries, covering interventions during all of the crises identified in the main banking-crisis chronologies, while also cataloguing a large number of interventions outside of those crises. The data show a gradual shift over the past centuries from

Quantocracy’s Daily Wrap for 09/16/2021

This is a summary of links featured on Quantocracy on Thursday, 09/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Introduction to Clustering Methods In Portfolio Management – Part 1 [Quantpedia]

    At the beginning of October, we plan to introduce for our Quantpedia Pro clients a new Quantpedia Pro report dedicated to clustering methods in portfolio management. The theory behind this report is more extensive; therefore, we have decided to split the introduction into our methodology into three parts. We will publish them in the next few weeks before we officially unveil our reporting tool.
  • Is Currency Momentum Factor Momentum? [Alpha Architect]

    A large body of evidence, including the studies Is There Momentum in Factor Premia? Evidence from International Equity Markets, Factor Momentum Everywhere (Summary) and Factor Momentum and the Momentum Factor, has demonstrated that momentum exists across financial markets (stocks, bonds, commodities, and currencies) and around the globe and that both cross-sectional (relative) and

Quantocracy’s Daily Wrap for 09/15/2021

This is a summary of links featured on Quantocracy on Wednesday, 09/15/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Netting income [OSM]

    For fundamental equity investors, the financial statement is the launchpad for the search for value. True, quants use financial statements too. But they spend less time on what the numbers mean, than on what they are. To produce a financial statement that adequately captures the economic (not GAAP or IFRS) position of a company is no mean feet and draws upon accounting, domain knowledge, and

Quantocracy’s Daily Wrap for 09/13/2021

This is a summary of links featured on Quantocracy on Monday, 09/13/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Long Short Equity Strategy [Quant Insti]

    As the name suggests, long short equity strategy is one where we take both long and short positions in different equities. This strategy is normally used by hedge funds to generate greater risk adjusted returns due to its inherently low risk characteristics. In this article, you will learn about how this strategy works and how one should approach building such a strategy. You will also see its
  • Equal vs Market Cap-Weighted Portfolios in Stock Market Crashes [Factor Research]

    There is no consensus whether an equal or market cap-weighted allocation model for stocks is superior Both generated similar drawdowns during stock market crashes on average Theoretically, equal-weight is superior, but practically cap-weighted INTRODUCTION Diversify, reduce fees, avoid active trading, and keep it simple. Most investors would be well-served by following the above framework.
  • How To Reduce Lag In A Moving Average [Raposa Trade]

    Moving average indicators are commonly used to give traders a general idea about the direction of the trend by smoothing the price series. One of the big drawbacks to most common moving averages is the lag with which they operate. A strong trend up or down may take a long time to get confirmation from the series leading to lost profit. In 2005, Alan Hull devised the Hull Moving Average (HMA) to

Quantocracy’s Daily Wrap for 09/11/2021

This is a summary of links featured on Quantocracy on Saturday, 09/11/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 09/10/2021

This is a summary of links featured on Quantocracy on Friday, 09/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Use Lexical Density of Company Fillings [Quantpedia]

    The application of alternative data is currently a strong trend in the investment industry. We, too, analyzed few datasets in the past, be it ESG data, sentiment, or company fillings. This article continues the exploration of the alt-data space. This time, we use the research paper by Joenvr et al., which shows that lexically diverse hedge funds outperform lexically homogeneous as an
  • Optimizing implicitly using genetic algorithms [Quant Dare]

    Sometimes it is too costly, even impossible, to explicitly optimize an equation. Today we will see how to optimize implicitly using genetic algorithms. Sometimes, in finance as well as in other aspects of life, a problem presents itself in the most clear of terms: an explicit equation which we must optimize. In these cases, we must either maximize or minimize its value, given some variables which
  • Is The Value Premium Smaller Than We Thought? [Alpha Architect]

    From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was dead. It is certainly possible that what economists call a regime change could have caused assumptions to change about why the premium should exist/persist. For example, if the

Quantocracy’s Daily Wrap for 09/08/2021

This is a summary of links featured on Quantocracy on Wednesday, 09/08/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A New Return Asymmetry Investment Factor in Commodity Futures [Quantpedia]

    As mentioned several times, Quantpedia is a big fan of transferring ideas from one asset class to another. This article is another example; we use an idea originally tested on Chinese stocks and apply it to the commodity futures investment universe. The resultant return new asymmetry investment factor in commodities is an interesting trading strategy unrelated to other common factors and has a
  • Managing Data Outliers With Quantile Regression: Part I [Capital Spectator]

    One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. Its a common problem in economic and financial numbers. Fat tailed distributions are standard fare in stock market returns, for example. Meanwhile, the dramatic collapse in the economy during the pandemic last year is a reminder that outliers pop up in macro analytics too. That leads to
  • Do Cryptocurrencies Improve Portfolio Diversification? [Alpha Architect]

    Portfolio diversification benefits are often driven by correlation coefficients, but this analysis can get complicated, fast. Over time academics and practitioners have realized that it is not enough to simply calculate a correlation using short return intervals (daily?, monthly?) over a sample period (3 years?, 5 years?) and combine asset classes together based on the resulting correlation