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Quantocracy’s Daily Wrap for 07/19/2016

This is a summary of links featured on Quantocracy on Tuesday, 07/19/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Introduction to Zipline in Python [Quant Insti]

    Python has emerged as one of the most popular language for programmers in financial trading, due to its ease of availability, user-friendliness and presence of sufficient scientific libraries like Pandas, NumPy, PyAlgoTrade, Pybacktest and more. Python serves as an excellent choice for automated trading when the trading frequency is low/medium, i.e. for trades which do not last less than a few
  • Style Momentum in Australia? [Alpha Architect]

    Jegadeesh and Titman (1993) popularized a simple idea: "past winners outperform past losers." Post JT, the relative strength, or "momentum anomaly," was forever ingrained in the minds of academic researchers (which is odd, since the idea had been around 50 years prior to JT 1993, but I digress). Later studiiessee Meb Faber, Gary Antonacci, or the new Haghani and Dewey

Quantocracy’s Daily Wrap for 07/18/2016

This is a summary of links featured on Quantocracy on Monday, 07/18/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Where are the billionaire financial academics? [Mathematical Investor]

    According to the just-published 2016 Rich List of the World's Top-Earning Hedge Fund Managers by Institutional Investor's Alpha magazine, eight of the top ten earners fall into the "quant" category, and half of the 25 richest of the year are quants. The firms listed include the likes of Renaissance Technologies, D.E. Shaw, Two Sigma, Millennium, Citadel and Schonfeld, none of
  • Combining Different Momentum Factors [Systematic Relative Strength]

    Momentum can be calculated in a number of different ways. As long as you are measuring the strength of price appreciation over an intermediate time horizon most logical calculation methods will work to one degree or another. The standard, academic definition of momentum usually means taking the price appreciation of a security over a predefined time period and comparing it to all of the other

Quantocracy’s Daily Wrap for 07/17/2016

This is a summary of links featured on Quantocracy on Sunday, 07/17/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • RNeat Square Root Neural Net Trained Using Augmenting Topologies [Gekko Quant]

    A simple tutorial demonstrating how to train a neural network to square root numbers using a genetic algorithm that searches through the topological structure space. The algorithm is called NEAT (Neuro Evolution of Augmenting Topologies) available in the RNeat package (not yet on CRAN). The training is very similar to other machine learning / regression packages in R. The training function takes a

Quantocracy’s Daily Wrap for 07/12/2016

This is a summary of links featured on Quantocracy on Tuesday, 07/12/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • An Introduction to Portfolio Component Value At Risk [QuantStrat TradeR]

    This post will introduce component value at risk mechanics found in PerformanceAnalytics from a paper written by Brian Peterson, Kris Boudt, and Peter Carl. This is a mechanism that is an easy-to-call mechanism for computing component expected shortfall in asset returns as they apply to a portfolio. While the exact mechanics are fairly complex, the upside is that the running time is nearly
  • Mailbag: Can You Get A Job In HFT Without A Degree? [Quant Start]

    I was emailed yesterday with an interesting career question about working in High Frequency Trading (HFT). The question posed was "Is it possible to get a HFT-related job in a big company without a formal degree?". The short answer is that yes, it is possible. The longer answer is that it is going to be difficult and this article will explain why. I am going to make an assumption here
  • Candid Conversation with an Algorithmic Trader (Part 2) [Quant Insti]

    If you dont know who you are, the stock market is an expensive place to find out George Goodman In the previous post, I had a conversation with a few experts in the field of Algorithmic Trading to gain some insights into this seemingly black-box. That conversation not only helped me dispel some of my doubts regarding Algo Trading, but it also strengthened my desire to jump headfirst
  • The Folly of Stock Market Forecasting [Alpha Architect]

    The idea that one can predict stock market movements is somewhat insane. The major problem with stock market forecasting is the lack of evidence that it is possible. I am unaware of any market commentator that has been successfulon a consistent basisat predicting the future direction of the market. Certainly, every once in a while a pundit or luminary may get something right, but it

Quantocracy’s Daily Wrap for 07/11/2016

This is a summary of links featured on Quantocracy on Monday, 07/11/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Has Momentum Lost Its Momentum? [Quantpedia]

    We evaluate the robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels of
  • Multi-Factor: Mix or Integrate? [Flirting with Models]

    Recently a paper was published by AQR where the authors advocate for an integrated approach to multi-factor portfolios, preferring securities that exhibit strong characteristics across all desired factors instead of a mixed approach, where securities are selected based upon extreme exposure to a single characteristic. We believe the integrated approach fails to acknowledge the impact of the
  • Interview With Artur Sepp [Factor Wave]

    Artur Sepp is a rare example of a quant who combines excellent technical skill with a practical understanding of markets. If you can't learn from his presentations the fault is more likely to be yours rather than his. He recently agreed to do an interview for us. Here is the first part. Q: What is your educational background? A: My educational background is a bit unusual. I have a PhD in
  • An Extremely Quick Move From A 50-Day Low To A 50-Day High [Quantifiable Edges]

    Remarkable about Fridays 50-day high close is that it came just 8 trading days after SPX closed at a 50-day low. Thats quite rare to see. The study below is from this weekends Quantifiable Edges Subscriber Letter. It looks at all the instances since 1950 of a move from a 50-day closing low to a 50-day closing high that have occurred within 2 weeks.

Quantocracy’s Daily Wrap for 07/10/2016

This is a summary of links featured on Quantocracy on Sunday, 07/10/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Should system traders override their systems? [Better System Trader]

    What an eventful few weeks weve had since the last episode. The results of the Brexit decision took a lot of people by surprise and the markets reacted accordingly. What was interesting about this market event is that we all knew the date and time period when the Brexit votes would start rolling in, so we had a rough idea when we might see some type of market reaction, if the market reacted at

Quantocracy’s Daily Wrap for 07/09/2016

This is a summary of links featured on Quantocracy on Saturday, 07/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Best Links of the Last Two Weeks [Quantocracy]

    The best quant mashup links for the two weeks ending Saturday, 07/09 as voted by our readers: Backtesting Based on Multiple Signals Beware of Overfitting [Alpha Architect] Cloud-Based Automated Trading System with Machine Learning [Quant Insti] Alphas measurement problem [Flirting with Models] Can a simple Market Internals technique improve trading strategy results? [Better System Trader]

Quantocracy’s Daily Wrap for 07/07/2016

This is a summary of links featured on Quantocracy on Thursday, 07/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • An Alternative Investment Strategy with Value and Momentum [Alpha Architect]

    Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction ( We document why high conviction is important for both value and momentum strategies here and here. We document how value and momentum work as a system here. But there is a potential problem: The
  • Visualizing Fixed Income ETFs with T-SNE [Quant Dare]

    In recent articles we were talking about PCA and ISOMAP, as techniques for dimensionality reduction. On this occasion, we put the focus on T-SNE, in relation with visualization and understanding of multidimensional datasets in a low dimension space, where the human eye can find patterns easily. T-SNE was developed in 2008 by Laurens van der Maaten and Geoffrey Hinton. It comprises of two main
  • Momentum Rotation 60 Day ROC System Metrics [DTR Trading]

    It's been a while since my last post. I had planned on writing this particular article about three months ago, but work got in the way of my writing and testing Over the next few weeks I will try to close out this series on momentum rotation using my 60 day ROC example written for AmiBroker. After I finish this series, I will get back to option strategy backtesting I thought it was