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Quantocracy’s Daily Wrap for 01/03/2021

This is a summary of links featured on Quantocracy on Sunday, 01/03/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Equity Fundamentals: Part 3 [Kyle Downey]

    I have been thinking a lot about different models for backtesting and strategy development. While I would like to think it's possible to develop one universal backtester, I believe that different time horizons require materially different programming interfaces. In particular, tick-by-tick strategies are better expressed in terms of a reactive programming paradigm, while close-on-close
  • Stock Market Valuation and Volatility with R [Light Finance]

    Building on the work of Robert Shiller, in recent posts I investigated the use of the CAPE ratio to predict future stock market performance and examine for the structural change in market valuation over time. This work revealed that stock market returns depend significantly on valuation and are surprisingly predictable in the long term based on these simple measures. While the relationship between

Quantocracy’s Daily Wrap for 01/02/2021

This is a summary of links featured on Quantocracy on Saturday, 01/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Does It Make Sense to Use 1-Hour 1% VaR and ES for Bitcoin? [Quant at Risk]

    Another day, another record. Today, at 17:35 GST+1, Bitcoin crossed U$33,000 in trading at Coinbase Pro exchange and did not fall sharply down. It took about 4.5 hours to accelerate from a psychological level of U$30k with more greed among investors rather than fear of bursting Bitcoin (second) bubble around the corner. Greed is good. Gordon Gekko told us so. However, what about the risk? Those of

Quantocracy’s Daily Wrap for 12/31/2020

This is a summary of links featured on Quantocracy on Thursday, 12/31/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Macro variance [OSM]

    In our last post, we looked at using a risk factor model to identify potential sources of variance for our 30,000 portfolio simulations. We introduced the process with a view ultimately to construct a model that could help to quantify, and thus mitigate, sources of risk beyond a simplistic volatility measure. In this post, well look at building a factor model based on macroeconomic variables to
  • The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers [Alpha Architect]

    The American Finance Association Annual Meetings are here. 1 The conference is virtual this year but that doesnt mean the organization hasnt done a good job collecting the brightest minds in academia to discuss hundreds of new finance research papers a gold mine for new and exciting ideas! 2 There is so much research available it is a bit difficult to read it all and many of the

Quantocracy’s Daily Wrap for 12/30/2020

This is a summary of links featured on Quantocracy on Wednesday, 12/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Most popular posts – 2020 [Eran Raviv]

    Littered with Corona, this year was not easy. But looking around me, I feel grateful. The following quote by Socrates comes to mind: If all our misfortunes were laid in one common heap whence everyone must take an equal portion, most people would be content to take their own and depart. On topic, as with previous years I checked my analytics so as to let you know which posts got the most

Quantocracy’s Daily Wrap for 12/29/2020

This is a summary of links featured on Quantocracy on Tuesday, 12/29/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trend-Following Filters: Part 1/2 [Alpha Architect]

    Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order to buy low and sell high. A trend is considered to be the overall direction of prices over a period of time. If prices have generally increased the trend has a positive slope and is called bullish. If prices have generally decreased, the
  • P-Hacking Via Academic Finance Research Conferences [Alpha Architect]

    This research is an update to Documentation of the File Drawer Problem in Academic Finance Journals published by the same authors in the Journal of Investment Management in 2018. A summary of that article can be found here. The file drawer problem refers to the idea that journal editors are predisposed to accepting articles for publication, only if they contain statistically

Quantocracy’s Daily Wrap for 12/28/2020

This is a summary of links featured on Quantocracy on Monday, 12/28/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Research Compendium 2020 [Factor Research]

    In 2020 we published more than 50 research notes on mostly factor investing and smart beta ETFs, but also on topics like ESG, tail risk hedge funds, long volatility strategies, and private equity. The Research Compendium 2020 contains all of our research published this year. We would like to thank you for reading and always appreciate feedback, especially if critical.

Quantocracy’s Daily Wrap for 12/27/2020

This is a summary of links featured on Quantocracy on Sunday, 12/27/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Equity Fundamentals: Part 2 [Kyle Downey]

    In Part 1 we looked at using TimescaleDB and SQLAlchemy to build a relational database model of the Sharadar equity dataset with a Python object model sitting on top. The initial cut of this project ran on my desktop and broke up each of the dataset loads into a simple script that I could run in PyCharm. In this next blog post we'll dive into Spotify's Luigi and combine it all together

Quantocracy’s Daily Wrap for 12/26/2020

This is a summary of links featured on Quantocracy on Saturday, 12/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hundreds of quant papers from #QuantLinkADay in 2020 [Cuemacro]

    This has been a challenging year by pretty much any other standard. I remember when I was kid, and heard the year 2020, it sounded very exciting. Itd be like Back to the Future, with hoverboards and flying cars. Instead, 2020 has been all about the coronavirus. Whilst Ive been lucky enough to be safe during this year, many have suffered tremendously. It is somewhat cliched, but at least for
  • What traders should know about seasonal adjustment [SR SV]

    The purpose of seasonal adjustment is to remove seasonal and calendar effects from economic time series. It is a common procedure but also a complex one, with side effects. Seasonal adjustment has two essential stages. The first accounts for deterministic effects by means of regression and selects a general time series model. The second stage decomposes the original time series into trend-cycle,

Quantocracy’s Daily Wrap for 12/24/2020

This is a summary of links featured on Quantocracy on Thursday, 12/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • New Equities Strategy (p2) [Tr8dr]

    In the prior post I showed results for a new equities strategy which uses a combination of signals to create and risk manage a high-momentum portfolio. Further investigation revealed that I had neglected on a couple of fronts: failed to account for dividends (which are substantial) some data issues improper sharpe calculation The good news is that solving these issues substantially improved the
  • How Should Trend-Followers Adjust to the Modern Environment?: Enter Adaptive Momentum [CSS Analytics]

    The premise of using either time-series momentum or trend-following using moving averages is the same only the math differs very slightly (see Which Trend Is Your Friend? by AQR): using some fixed lookback you can time market cycles and capture more upside than downside and therefore improve performance vs buy and hold OR at the very least improve return versus downside risk. The problem
  • Correlation approaches for stock pairs you have not seen before [Trade With Science]

    As described in our other articles, stock pairs are a mean-reversion trading system widely used in the industry. In pairs, you invest in 2 stocks that are correlated somehow and go long in one and short in another (classical Coca-Cola and Pepsi example). Naturally, you are hedged in the market, so this is a market-neutral strategy. The idea is pretty simple you watch the stocks whose price

Quantocracy’s Daily Wrap for 12/23/2020

This is a summary of links featured on Quantocracy on Wednesday, 12/23/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Petra on Programming: Short-Term Candle Patterns [Financial Hacker]

    Japanese traders invented candle patterns in the 17th century. Some traders believe that those patterns are still valid. But alas, no one yet got rich with them. Still, trading book authors are all the time inventing new patterns, in hope to find one that is really superior to randomly entering positions. In the Stocks & Commodities January 2021 issue, Perry Kaufman presented several new
  • Twas 3 Nights Before Christmas: NASDAQ version [Quantifiable Edges]

    Ive posted and updated the Twas 3 Nights Before Christmas study on the blog here several times since 2008. The study will kick in at the close today (12/22). This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the Nasdaq Composite has some of the best stats.