This is a summary of links featured on Quantocracy on Saturday, 10/20/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
A Bull Bear Background Plotting Function for Octave [Dekalog Blog]As part of my recent research I have found it convenient to write another custom plotting function for Octave, which plots a single line price plot against a conditionally coloured background, e.g. two separate colours for bull and bear market regimes. Being able to plot like this avoids the necessity to keep flipping between two separate charts to compare the plot of a potential input feature and
Weekly Recap: ETF Tax Efficiency, Profitability Factor, Trend Following [Alpha Architect]This week Ryan and I have a discussion on three topics. First, we discuss ETF tax efficiency based on the findings in a new paper by the RAFI team. Second, we discuss the profitability factor as Larry Swedroe highlights a new paper on international evidence. Third, we discuss my article on how one should benchmark a trend following strategy.