Quantocracy

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Quantocracy’s Daily Wrap for 03/09/2016

This is a summary of links featured on Quantocracy on Wednesday, 03/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Diversification and small account size [Investment Idiocy]

    I get occasional emails asking me to cover subjects in my blog (keep them coming! I will eventually get round to them). A pretty common one runs something like this: "I understand that diversification over instruments is the best way to improve returns- you trade almost 40 futures markets, and the likes of AHL and Winton trade hundreds. But how can someone with a small account trade enough
  • Why Python Algorithmic Trading is Preferred Choice Among Traders [Quant Insti]

    To survive in the age of robots-it is necessary to learn a programming language that makes your trading algorithms smarter and not just faster. Having knowledge of a popular programming language is the building block to becoming a professional algorithmic trader. It is not just enough if a person has love for numbers. Professionals need to put the logic using numbers into a software program to
  • A Closer Look At Ben Graham s “Net Current Asset Value” (NCAV) Rule [Quantpedia]

    Following Ben Grahams net current asset value (NCAV) rule for stock selection (net net strategy), we provide evidence that buying stocks in companies with per share NCAV greater than the current share price produced superior risk-adjusted returns over the 1975- 2010 period. The risk factors that explain the returns associated with these firms include market risk, market liquidity, a
  • Trend Following in February [Wisdom Trading]

    February 2016 Trend Following: UP +4.24% / YTD: +9.99% Another strong month for the trend following index, with a similar pattern to last month: a near-double-digit spike mid-month to finish close to +5% for the month. The YTD performance is already just 0.01% shy from the double-digit barrier. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart
  • Sh** Happens (on Tuesday and Thursday Nights) [Throwing Good Money]

    This all started over the weekend, when I started wondering about a trade I had going. The trade hadnt hit my profit target on Friday and so carried over through the weekend. I started wondering about day-of-week seasonality and thought Id bust out the old charts and see whats up. Lets take a look at SPY from 2000 through the current date. If we buy on a given weekday at the open
  • Has the Value Investing Pain Train Ended? [Alpha Architect]

    Last year we highlighted what we deemed the value investing pain train. In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a recap of the carnage. In many respects, value investing is a lot like Terry Tate the huge office linebacker that would crush employees who made mistakes. His nickname: the pain train. SAT answer: Terry Tate is
  • State of Trend Following in February [Au Tra Sy]

    The strong January start carries on into February for the State of TF Index. The performance is already in double-digit territory for the Year-To-Date. Please check below for more details. Detailed Results The figures for the month are: February return: 3.59% YTD return: 12.51% Below is the chart displaying individual system results throughout February: StateTF February And in tabular format:

Quantocracy’s Daily Wrap for 03/08/2016

This is a summary of links featured on Quantocracy on Tuesday, 03/08/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • When Measures Become Targets: How Index Investing Changes Indexes [Investor’s Field Guide]

    In Vietnam, under French colonial rule, there was a rat problem. To solve the rat infestation, the French offered a bounty on rats, which could be collected by delivering a rats tail as proof of murder. Many bounties were paid out, but the rat problem didnt improve. Officials soon noticed rats running around without tailspeople were cutting off the tails and releasing the rats to breed,
  • NR7 Pattern | Trading Strategy (Setup & Exit) [Oxford Capital]

    I. Trading Strategy Developer: Toby Crabel (NR7 Pattern). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility cycles. Research Goal: Performance verification of the NR7 pattern. Specification: Table 1. Results: Figure 1-2. Trade Setup: The current daily range is narrower than the previous six days
  • Selected Interesting Papers from MFA Conference [MathFinance.cn]

    I just returned Beijing from the Midwest Finance Association 2016 Annual Meeting in Atlanta, it is my first time in America, and the life there is quite different from that in the British cities… few people in downtown, hard to go out without a car, people are less friendly (at least look like)… MFA annual conference provides a forum for the interaction of finance academics and practitioners
  • Estimating Return-Shortfall Risk For Portfolios [Capital Spectator]

    Failure isnt an option, but it happens. Modeling the possibility that a portfolio strategy will stumble isnt exactly cheery work, but its a productive and necessary exercise for stress testing what the future can do to the best-laid plans for investing. The good news is that theres a rainbow of options for estimating the potential for trouble. But its usually best to start with a

Quantocracy’s Daily Wrap for 03/07/2016

This is a summary of links featured on Quantocracy on Monday, 03/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Replicating Private Equity: the Impact of Return Smoothing [Alpha Architect]

    Having spent what seems like a lifetime in the financial industry at this point, Ive always had this nagging suspicion about private equity (PE): private equity investments are not special. And Ill take my hunch a bit further: public equity markets can deliver the same return profile as private equity. After all, you hear so many compelling stories about PE. PE investors have an information
  • Server -II- [Algorythmn Trader]

    In my previous post I announced that I want to try covering one feature in each post. During the days I doing this, I realized this would not work for me. I feel better in posting more frequent and discussing the code in smaller chunks. In this post I want to start creating the basic server application. Part 1: Service Host The first thing I had to deal with was the decision how to host the
  • ETFs: Process Matters As Much As Fees [Flirting with Models]

    Fees are always a prominent topic in ETF selection, but they are not the only cost associated with the product. Even with seemingly similar passive ETFs, different index construction methodologies can lead to widely varying performance. Taking a holistic view that incorporates both the investment process and the fee can lead to a selecting an ETF with a higher expense ratio if its investment
  • A Simple Measure of Overbought in NASDAQ is Suggesting a Pullback [Quantifiable Edges]

    Friday was the 4th day in a row that the NASDAQ closed higher. While this may not seem to be a big deal, it does not happen very often when the NASDAQ is trading below its 200-day moving average. The table below shows results following all times this has occurred since 2002. 2015-03-07 image1 Results here appears to be strongly bearish. And the edge persists for up to 2 weeks. The note at the

Quantocracy’s Daily Wrap for 03/06/2016

This is a summary of links featured on Quantocracy on Sunday, 03/06/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Best Links of the Week [Quantocracy]

    These are the best quant mashup links for the week ending Saturday, 03/05 as voted by our readers: Quality is Rewarded: Clickthroughs vs Voting [Quantocracy] Machine learning for financial prediction: experimentation with Aronson's latest work – part 1 [Robot Wealth] Tech is Alpha [Cantab Capital] Dual Momentum and Dollar Cost Averaging [Dual Momentum] A Statistical Arbitrage Strategy in R
  • Machine Learning & SciKit Learn [Largecap Trader]

    I made the point to someone the other day that technology and coding is getting easier and easier to accomplish. I don't think I would have been able to perform 'machine learning' five years ago but with the resources available today (Python, SciKit Learn, and pages upon pages of StackOverflow) even someone like me can fit a model and build ML algorithms. Machine Learning is also
  • Podcast: Laurent Bernut – Part 2 [Better System Trader]

    Back in Episode 32 we had a chat with Laurent Bernut, a systematic short seller who spent years working in the Hedge Fund world specializing in short selling strategies. He shared loads of knowledge with us in that episode but we actually had a lot more to talk about. We ran out of time back then so in this episode were going to continue with the chat, covering a bit more on short selling,

Quantocracy’s Daily Wrap for 03/04/2016

This is a summary of links featured on Quantocracy on Friday, 03/04/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Machine learning for financial prediction: experimentation with Aronson’s latest work – part 1 [Robot Wealth]

    One of the first books I read when I began studying the markets a few years ago was David Aronson's Evidence Based Technical Analysis. The engineer in me was attracted to the 'Evidence Based' part of the title. This was soon after I had digested a trading book that claimed a basis in chaos theory, the link to which actually turned out to be non-existent. Apparently using
  • Advanced Trading Infrastructure – Portfolio Handler Class [Quant Start]

    In the current series on Advanced Trading Infrastructure we have described both the Position Class and the Portfolio Class – two essential components of a robust backtesting and live trading system. In this article we are going to extend our discussion to the Portfolio Handler Class, which will round out the description of the portfolio Order Management System (OMS). The OMS is the backbone of any
  • Trend Following Works [Larry Swedroe]

    The academic research has provided investors with strong evidence that there is a small group of factors-or sources of returns-that have provided higher returns over the long term. To be considered among this group, the evidence should have the following characteristics: Persistence-it holds across long periods of time and various economic regimes. Pervasive-it holds across countries, regions,
  • MiB: Emanuel Derman (h/t @AbnormalReturns) [Big Picture]

    In our latest Masters in Business podcast, we speak with quant and financial engineer Emanuel Derman. One of the first high-energy particle physicists to migrate to finance, he spent 17 years onWall Street, eventually becoming head of the renowned Quantitative Strategies group at Goldman, Sachs. At GS he co-developed the Black-Derman-Toy interest rate model and the Derman-Kani local volatility
  • What I’ve been reading… [Backtest Wizard]

    Was 2015 a hard year to make money if you were managing a portfolio of global asset classes? Absolutely! The Resolve Asset Management 2015 Annual Letter: "Navigating Active Asset Allocation When Diversification Fails", helps to explain why. You can read the summary of the letter and access the download link here. It's a fascinating piece of research which I would highly recommend

Quantocracy’s Daily Wrap for 03/03/2016

This is a summary of links featured on Quantocracy on Thursday, 03/03/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Machine Learning: A Brief Breakdown [Quant Dare]

    Is everyone around you talking about Machine Learning? Have you heard about some algorithms and techniques but missing the bigger picture? This could be a good place to start A new generation of intellect Machine Learning is a hot topic in the science world right now. By combining the powers and capabilities of both computers and humans, perplexing and unimaginable problems are being resolved
  • A Follow Through Day & A 20-day High [Quantifiable Edges]

    Tuesday posted the 1st IBD Follow Through Day (FTD) since the rally began. Unusual about this FTD is that it occurred in conjunction with SPX making a new 20-day high. The study below examines other times a 20-day high was accompanied by a FTD. 2015-03-02 image1 Results here are impressive over both the short and intermediate-term. To get a better feel for the short-term returns I have listed the

Quantocracy’s Daily Wrap for 03/02/2016

This is a summary of links featured on Quantocracy on Wednesday, 03/02/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quality is Rewarded: Clickthroughs vs Voting [Quantocracy]

    I'm very proud of the following graph. Below I've shown the average number of clickthroughs a link receives from our website (excluding RSS, Twitter and Stocktwits) broken out by the number of votes cast by our readers. Votes by Clickthroughs Clearly (and way more starkly than I expected) we're rewarding quality by pushing more eyeballs to the best work. That was the most important
  • Tech is Alpha [Cantab Capital]

    Cantab's Founding Partner and CTO, Erich Schlaikjer, explores the virtues and complexities of technology, and how good technology is ultimately what allows Cantab to create profits for our investors. Introduction When analysts enumerate the virtues of systematic funds, the first benefit in the list is usually the diversification that CTAs provide to your portfolio. Liquidity often comes next,
  • Is your data in good shape? Would you know it if it was not? [Alvarez Quant Trading]

    At the end of last year, I was working with a client and we were having problems with code I had written. We would get different results depending on who ran the code. After comparing trade lists and doing some debugging, we discovered that their database was missing several symbols. These symbols existed in my database but did not exist in theirs. We were both using Norgates Premium Data,
  • Do the Size, Value, and Momentum Factors Exist in Emerging Markets? [Quantpedia]

    This paper investigates the size, value and momentum effects in 18 emerging stock markets during the period 1990?2013.We find that size and momentum strategies generally fail to generate superior returns in emerging markets. The value effect exists in all markets except Brazil, and it is robust to different periods and market conditions. Value premiums tend to move positively together across

Quantocracy’s Daily Wrap for 03/01/2016

This is a summary of links featured on Quantocracy on Tuesday, 03/01/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Server -I- Intro [Algorythmn Trader]

    In my previous posts I was talking about my experience learning the basics of service oriented applications. After many days and nights struggling with all the theory, practicing and trying different concepts and libraries, it forced me to go two steps back and watching the whole big picture of all. This post will be about my starting point and will be the base for many upcoming posts. The
  • Some New Developments In Volatility Calculations [Only VIX]

    If you're working with daily data (without access to intraday data) and need to calculate volatility, then using close-to-close squared returns is by far not the best way to go. Trades and quants know that it is a very noisy metric, and come up with few work-arounds. In this post I will do a very quick review of some available options, as well as new developments. I am not planning a thorough
  • A Book Review of Adaptive Asset Allocation from @GestaltU [QuantStrat TradeR]

    This review will review the Adaptive Asset Allocation: Dynamic Global Portfolios to Profit in Good Times and Bad book by the people at ReSolve Asset Management. Overall, this book is a definite must-read for those who have never been exposed to the ideas within it. However, when it comes to a solution that can be fully replicated, this book is lacking. Okay, its been a while since I

Quantocracy’s Daily Wrap for 02/29/2016

This is a summary of links featured on Quantocracy on Monday, 02/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Growth is not “Not Value” [Flirting with Models]

    Summary Style boxes give us the impression that "growth" and "value" sit at opposite ends of the spectrum. In reality, whether a company is growing or shrinking ("growth") is independent of whether a security is cheap or expensive ("value"). To align with the single axis expectation of "growth versus value," most index providers combine a growth
  • Tactical Asset Allocation For The Real World [Capital Spectator]

    Managing risk via tactical asset allocation (TAA) offers a number of encouraging paths for limiting the hefty drawdowns that take a toll on buy-and-hold strategies. But what looks good on paper can get ugly in the real world. There's a relatively easy fix, of course: consider the total number of trades associated with a strategy as another dimension of risk. The dirty little secret is that
  • Book Review: Adaptive Asset Allocation from @GestaltU [CSS Analytics]

    I recently read Adaptive Asset Allocation ( link to the book) by Butler, Philbrick and Gordillo of ReSolve Asset Management. The book is the culmination of research developed over the years by the ReSolve team towards the next generation approach of dynamic asset allocation. The core principles of this approach are the ability to go anywhere and adapt to changes in the economic
  • When Low Vol Becomes High Vol [Meb Faber]

    One of the most fertile areas of research is in factor rotation. Any asset class, investment strategy, or factor, despite working well over time, goes through periods of over and underperformance. Those periods set the stage for future reversion, and are largely due to fund flows and people chasing performance. Lots of the fund flows over the past # of years have gone into the marketing of low vol