This is a summary of links featured on Quantocracy on Thursday, 09/17/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Effective Market Regimes Techniques with @AlvarezQuant LIVE this weekend [Better System Trader]This weekend is the very first episode of the new BST Live show. On the show this week were going to discuss how to improve your trading performance and reduce risk by trading only when the market conditions are best for your strategies. Ive got Cesar Alvarez from Alvarez Quant Trading joining me to talk about his own Market Regime research and how he applies Market Regime techniques with
Aspect Partners’ Risk Managed Momentum [Allocate Smartly]This is an independent test of Aspect Partners flagship tactical asset allocation strategy Risk Managed Momentum (RMM). By tactical standards, RMM is a very active, very aggressive strategy. It has done an excellent job navigating this difficult year so far. Backtested results from 1970 follow. Results are net of transaction costs (see backtest assumptions). Learn about what we do and follow
Accruals and Momentum and Their Implications for Factor Investors [Alpha Architect]The price momentum and accruals (the difference between accounting earnings and cash flowsadjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two well-documented financial phenomena. Recent research has focused on whether there is a relationship between the two anomalies, an idea Jack previously wrote about in his