This is a summary of links featured on Quantocracy on Wednesday, 05/22/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Quantopian Review and Comparison to AmiBroker [Alvarez Quant Trading]In my last post, Avoiding Trades Before Earnings, I mentioned that I used Quantopian to do the research. Several readers asked about my thoughts about Quantopian and how it compares to AmiBroker. Some asked if I had left AmiBroker for Quantopian. What follows are my impressions after using Quantopian for several months and how it compares to AmiBroker. The big question is will I be switching from
Volatility Targeting Improves Risk-Adjusted Returns [Alpha Architect]Theres a large body of research, including the 2017 study Tail Risk Mitigation with Managed Volatility Strategies by Anna Dreyer and Stefan Hubrich, that demonstrates that, while past returns do not predict future returns, past volatility largely predicts future near-term volatilityvolatility is persistent (it clusters). High (low) volatility over the recent past tends to be followed
Technical analysis in major brokerages and financial media [Mathematical Investor]Suppose, in the weather forecast part of a local newscast, the person handling the weather displays a chart of recent temperatures in the local area, pointed out trends and waves, then mentions a breakout pattern from a recent temperature range. Most of us would not have much confidence in such a dubious and unorthodox forecast, and, if followed (e.g., for a major storm), could