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Quantocracy’s Daily Wrap for 05/15/2017

This is a summary of links featured on Quantocracy on Monday, 05/15/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Review of Gary Antonacci s Dual Momentum Investing Book [QuantStrat TradeR]

    This review is a book review of Gary Antonaccis Dual Momentum Investing book. The TL;DR: 4.5 out of 5 stars. So, I honestly have very little criticism of the book beyond the fact that the book sort of insinuates as though equity momentum is the be-all-end-all of investing, which is why I deduct a fraction of a point. Now, for the book itself: first off, unlike other quantitative trading books
  • Pattern matching Cryptocurrencies [Ennlightenment]

    Bitcoin, Ethereum and some other cryptocurrencies seem to be in the spotlight again due to their most recent acceleration. C_y2pGfXoAApvdI Source: CEOTechnician Ethereum is up multiples since January. I thought we could take a look at importing Etherum price data in R and then seeing if we can draw any parallels between Ethereum and Bitcoin using the pattern matching algorithm weve looked at
  • Navigating Municipal Bonds With Factors [Flirting with Models]

    In this case study, we explore building a simple, low cost, systematic municipal bond portfolio. The portfolio is built using the low volatility, momentum, value, and carry factors across a set of six municipal bond sectors. It favors sectors with lower volatility, better recent performance, cheaper valuations, and higher yields. As with other factor studies, a multi-factor approach is able to
  • People are worried about the VIX [Investment Idiocy]

    "Today the VIX traded below 10 briefly intraday. A pretty rare occurrence. Since 1993, there have been only 18 days where it traded below 10 intraday and only 9 days where it closed below 10." (source: some random dude on my linkedin feed) … indeed 18 observations is a long…. long… way from anything close to a statistically significant sample size. (my response to random dude) You
  • CAPE Ratio, Why Have Thou Forsaken Me? [Meb Faber]

    A lot of people look at this bull market, valuations, and think somehow that value has forsaken us. And that the much discussed CAPE ratio doesnt work. They look at the CAPE ratio, at a current value of about 30 in the US, and think somehow that markets rising along with multiples expanding somehow invalidates the CAPE ratio. (Well ignore for a second the fact the CAPE ratio hit 13 in 2009,

Quantocracy’s Daily Wrap for 05/14/2017

This is a summary of links featured on Quantocracy on Sunday, 05/14/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Rough Path Theory and Signatures Applied To Quantitative Finance – Part 1 [Quant Start]

    To date QuantStart has generally written on topics that are applicable to the beginner or intermediate quant practitioner. However we have recently begun to receive requests from academics and advanced practitioners asking for more content on research-level topics. This is the first in a new series of posts written by Imanol Prez, a PhD researcher in Mathematics at Oxford University, UK, and a

Quantocracy’s Daily Wrap for 05/12/2017

This is a summary of links featured on Quantocracy on Friday, 05/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Chinese Market Anomaly – The Factor Killer? [Alpha Architect]

    The Oracle of Omaha just commented on the Chinese stock market in this years Berkshires annual meeting: Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people getting rich around them. And those who havent been through cycles before are more prone to speculate than people who have experienced the outcome of wild speculation. it

Quantocracy’s Daily Wrap for 05/10/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Permanent Portfolio from @GestaltU and @InvestReSolve [Allocate Smartly]

    This is a test of the Tactical Permanent Portfolio from the brains at GestaltU and ReSolve Asset Management. The strategy adds a number of dynamic features to a classic buy & hold strategy to better manage volatility and losses. Results from 1970, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.

Quantocracy’s Daily Wrap for 05/09/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Vix Below Low Redux [Voodoo Markets]

    Well, Its here, spot Vix close below 10. From what i read from the web, people are piling into short vol strategies on an escalating scale. I suspect unwinding of that trade will be rather brutal. I wish good luck to every short vol trader out there and dont forget to wear a helmet 🙂 1 2 3 4 5 6 7 8 9 10 11 12 13 14 import pandas as pd import numpy as np import matplotlib.pyplot as plt import
  • Iron Condor Results Summary [DTR Trading]

    Over the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links below: New Iron Condor Series Introduction 38 DTE SPX Iron Condor Results Summary 38 DTE SPX Iron

Quantocracy’s Daily Wrap for 05/08/2017

This is a summary of links featured on Quantocracy on Monday, 05/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trading Strategy: 52-Weeks High Effect in Stocks [Quant Insti]

    In todays algorithmic trading having a trading edge is one of the most critical elements. Its plain simple. If you dont have an edge, dont trade! Hence, as a quant, one is always on a look out for good trading ideas. One of the good resources for trading strategies that have been gaining wide popularity is the Quantpedia site. Quantpedia has thousands of financial research papers that
  • Expectations with Tactical Equity [Flirting with Models]

    Market expectations are a key input in the portfolio construction process. These expectations can be either qualitative or quantitative. How to form expectations for more complex strategies (e.g. managed futures, covered calls, and alternatives) is often less straightforward than forming expectations for single asset classes (e.g. large-cap equities, gold, and long-term U.S. Treasuries). In the
  • Factor Persistence & Diversification [Larry Swedroe]

    Financial research has uncovered many relationships between investment factors and security returns. Given that popularity is a curse in investing, the growing popularity of factor investing has led to worries that factors have become overvalued, posing risks to investors in these strategies. For investors, an important question is whether the past relationship between factors and returns will

Quantocracy’s Daily Wrap for 05/07/2017

This is a summary of links featured on Quantocracy on Sunday, 05/07/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Pseudo-quants [Mathematical Investor]

    As the old joke says, math is what mathematicians do. Somehow this simple tautology is lost in the dishonest world of finance Quantitative investing: A crisis waiting to happen In a recent WSJ article, Jason Zweig brilliantly summarizes the unbearable hype and hubris exhibited by some self-titled quants: BlackRock, the giant asset manager, recently announced it will rely more heavily

Quantocracy’s Daily Wrap for 05/05/2017

This is a summary of links featured on Quantocracy on Friday, 05/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Research Review | 5 May 2017 | Forecasting [Capital Spectator]

    Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability Alexey Ivashchenko (University of Lausanne) May 4, 2017 The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this finding. Once I project spreads on these two risk factors, which
  • Sell in May Over the Long Run [CXO Advisory]

    Does the conventional wisdom to Sell in May (and Buy in November, hence also the term Halloween Effect) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check, we turn to the long run dataset of Robert Shiller. This data set includes monthly levels of the S&P Composite Index, calculated as average of daily
  • Wisdom State of Trend Following in April [Wisdom Trading]

    April 2017 Trend Following: DOWN -1.35% / YTD: -11.65% April was another down month for the Wisdom State of Trend Following, with the index already in double-digit territory, on the negative side, for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann.

Quantocracy’s Daily Wrap for 05/03/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Play US Treasury ETFs in an Era of Rising Rates [Allocate Smartly]

    In our previous post we demonstrated an approach to modeling US Treasury ETF performance in an era of rising interest rates. We showed results like the ones below, simulating the performance of various constant maturity ETFs from the interest rate peak in 1981 to the present (left half of the graph), and in a hypothetical world where rates marched upwards in the exact reverse order (right half of
  • Why Tuesday s 20-day High Mutes Today s Fed Day Potential [Quantifiable Edges]

    Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed
  • Factor Investing in Multi-Asset Portfolios [Flirting with Models]

    Factor investing (value, momentum, low volatility, carry, trend, etc.) is well-known in equities but less discussed in other asset classes. However, many of these factors are just as prevalent in other asset classes, such as bonds, commodities, and currencies. In this case study, we explore the risk-adjusted carry and trend factors that we seek to incorporate in our own Multi-Asset Income
  • Machine Trading from @ChanEP – Book Review [Eran Raviv]

    In trading and in trading-related research one could be quickly overwhelmed with the sea of ink devoted to trading strategies and the like. It is essential that you pick your battles so to speak. I recently finished reading Machine Trading, by Ernest Chan. Here is what I think about the book. The book is extremely friendly. Writing is lucid and down to earth, which makes it an easy read. The

Quantocracy’s Daily Wrap for 05/01/2017

This is a summary of links featured on Quantocracy on Monday, 05/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using a Market Timing Rule to Size an Option Position [Relative Value Arbitrage]

    Position sizing and portfolio allocation have not received much attention in the options trading community. In this post we are going to apply a simple position sizing rule and see how it performs within the context of volatility trading. An option position can be sized by using, for example, a Markov Model where the size of the position can be a function of the regime transition probability [1].