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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

Quantocracy’s Daily Wrap for 02/28/2016

This is a summary of links featured on Quantocracy on Sunday, 02/28/2016. 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, 02/27 as voted by our readers: Build Better Strategies! Part 3: The Development Process [Financial Hacker] Volatility Futures and S&P500 Performance [Blue Sky AM] New Book from GestaltU: Adaptive Asset Allocation [Amazon] Advanced Trading Infrastructure Portfolio Class [Quant Start] In Search of the Perfect Recession
  • A Statistical Arbitrage Strategy in R [Quant Insti]

    For those of you who have been following my blog posts for the last 6 months will know that I have taken part in the Executive Program in Algorithmic Trading offered by QuantInsti. Its been a journey and this article serves as a report on my final project focusing on statistical arbitrage, coded in R. This article is a combination of my class notes and my source code. I uploaded everything to

Quantocracy’s Daily Wrap for 02/27/2016

This is a summary of links featured on Quantocracy on Saturday, 02/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Dual Momentum and Dollar Cost Averaging [Dual Momentum]

    Last month a millennial emailed me saying he liked my book. But he wondered if the outperformance of dual momentum would disappear if he used dollar cost averaging (DCA) because he would not be able to buy cheaply during bear markets. This is because dual momentum reduces bear market drawdowns. I showed him logically that he would actually end up with more shares at a lower average cost by using
  • Python in Singapore: Intensive Workshop (Apr 7, 2016) [Quant at Risk]

    About this Course Our Python 1-day intensive course is addressed to all who wishes start programming in Python language straight away! We will cover the fundamentals of Python (2.7, 3.5), numerical aspects of coding, and over 100 individually crafted examples covering various applications coming from finance, data analysis, statistics, science, and research. Every participant will receive a free

Quantocracy’s Daily Wrap for 02/26/2016

This is a summary of links featured on Quantocracy on Friday, 02/26/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Ranking Global Stock Markets On Valuation [Meb Faber]

    A question When an overvalued security continues rising in price, does that mean the valuation indicator is broken? If you listen to many investors, the answer would be yes. An oft-repeated phrase I hear goes something like: ABC valuation indicator has been flashing expensive since XX/XX date. But the stock has gone up 900%! Therefore, ABC value indicator is broken. Is that
  • How Can Smart Beta Go Horribly Wrong? [Research Affiliates]

    Key Points 1. Factor returns, net of changes in valuation levels, are much lower than recent performance suggests. 2. Value-add can be structural, and thus reliably repeatable, or situationala product of rising valuationslikely neither sustainable nor repeatable. 3. Many investors are performance chasers who in pushing prices higher create valuation levels that inflate past performance,
  • Volatility Threatens Discipline [Larry Swedroe]

    This is my fourth article in a series devoted to helping investors stay disciplined in the face of market volatilityand even lengthy periods of underperformance by risky assets. The first was a December 2015 post dealing with what I call investment depression. The second was a January post designed to help investors deal with the worst-ever five opening trading days to a year for the

Quantocracy’s Daily Wrap for 02/23/2016

This is a summary of links featured on Quantocracy on Tuesday, 02/23/2016. To see our most recent links, visit the Quant Mashup. Read on readers!