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Quantocracy’s Daily Wrap for 10/08/2020

This is a summary of links featured on Quantocracy on Thursday, 10/08/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • “Please Send Me a Trading System!” [Financial Hacker]

    It should produce 150 pips per week. With the best indicators that you know. How much does it cost? Please also send live histories of your top systems. Although we often get such requests, we still dont know the best indicators and cant send live histories. We do not invent systems, but program them after clients specifications. And we do not trade them, except for testing. But
  • Profiling Diversification Attributes With Principal Components [Capital Spectator]

    The holy grail of portfolio design is combining assets so that returns are relatively stable if not higher, risk is generally lower and the overall mix delivers stronger risk-adjusted performance thats not otherwise available through owning the components separately. Diversification, as the saying goes, is the only free lunch in investing. The practical realities, of course, are messy and and

Quantocracy’s Daily Wrap for 10/07/2020

This is a summary of links featured on Quantocracy on Wednesday, 10/07/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • New Site: Cleaning Tick and Quote Data [Machine Factor Tech]

    Every business that cares about machine learning needs its Sandor Straus. Cleaning and enriching data to make it more useful is the secret ingredient to every successful AI strategy. Sandor Straus was Renaissanse Technologies data guru responsible for cleaning, storing and enriching the data used in machine learning models. Straus was obsessive about two things. First, he took painstaking efforts
  • FX Swap pricing and the mystery of Covered Interest Parity [Quant Dare]

    Sometimes described as a sort of physical law in international finance [1], Covered Interest Parity (CIP) has failed to hold after the Global Financial Crisis (GFC) of 2008. This has given rise to an interesting debate during the last decade that has resulted in relevant insights regarding international financial markets in general and FX Swaps in particular. This post will be the first of a

Quantocracy’s Daily Wrap for 10/06/2020

This is a summary of links featured on Quantocracy on Tuesday, 10/06/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Should I run my trading system at a fixed expected volatility target? [Investment Idiocy]

    This is a blog post which has been coming for a while. It relates to a lot of themes I've discussed before, and a recurring conversation I've had with a few people. As most regular readers will know, I run my trading strategy to hit a particular risk target. That risk target is expressed as an annual standard deviation of percentage returns, and happens to be 25%. But those details

Quantocracy’s Daily Wrap for 10/05/2020

This is a summary of links featured on Quantocracy on Monday, 10/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Review of Modern Asset Allocation For Wealth Management, by David M. Berns, PhD [QuantStrat TradeR]

    This post will be a review of the book Modern Asset Allocation for Wealth Management, by Dr. David Berns, PhD. The long story short is that I think the book is a must-read for a new and different perspective on asset management, albeit one not without some fairly minor flaws that could be very easily covered with a second edition. So first off, Id like to give a large thank you to Dr. Berns,
  • Factor Olympics Q3 2020 [Factor Research]

    Momentum & Quality are leading the performance scoreboard in Q1-3 2020 Value & Size generated negative returns, like in recent years, and Low Volatility ended a 10-year fantastic run 2020 is shaping up as a year of highly dispersed factor returns INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where
  • Institutional Investment Strategies: Keep it Simple [Alpha Architect]

    Historically Institutional investors have been considered the smart money in investment circles. What academic research has tended to show is that the smart money status of institutional investing has some chinks in its armor, as can be seen in a previous paper we summarized here. In this article, which was recently published in the Journal of Portfolio Management, Richard Ennis begins his

Quantocracy’s Daily Wrap for 10/04/2020

This is a summary of links featured on Quantocracy on Sunday, 10/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Exploring the PMFG Portfolios for Covid-19 Robustness [Hudson and Thames]

    Pozzi, Di Matteo, and Aste (2013) conclude that it is better to invest in the peripheries of the Planar Maximally Filtered Graph (PMFG), as investing in the peripheries lead to better returns, and reduced risk. This blog post explores the impacts of Covid-19 by simulating two investment portfolios a portfolio consisting of peripheral stocks, versus a portfolio consisting of central
  • The Next 5 Weeks All Are Among The Weakest And Strongest Of The Year [Quantifiable Edges]

    October is a month that is known for volatility. And that is a well-earned reputation. Crashes in 1929, 1987, and 2008 all occurred in October. But volatility cuts both ways. If you break the year down into 1-week periods, October also contains some of the strongest seasonal edges of the year, both bearish and bullish. Breaking the year down by week is something I have done numerous times over the
  • Lottery Preferences and Their Relationship with Factor Investing [Alpha Architect]

    Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of return. However, research has found that these assumptions dont hold. In the real world, there are investors who have a taste, or preference for lottery-like investments

Quantocracy’s Daily Wrap for 09/30/2020

This is a summary of links featured on Quantocracy on Wednesday, 09/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using strength to exit a mean reversion trade [Alvarez Quant Trading]

    I had a long-time reader, Cristian Franchi, send me a mean-reversion strategy that he wanted me to test and write about. What caught my attention was the rules differing from what I typically see and use. Different ways of measuring strength of a sell-off and volatility expansion. Along with a different type of exit being used on a mean reversion strategy. Not simply waiting for the bounce. Rules

Quantocracy’s Daily Wrap for 09/28/2020

This is a summary of links featured on Quantocracy on Monday, 09/28/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Safe Withdrawal Rates for Tactical Asset Allocation vs Buy & Hold [Allocate Smartly]

    In this post we model retirement Safe Withdrawal Rates (SWR) and Perpetual Withdrawal Rates (PWR) for a large collection of tactical and buy & hold strategies. We track 50+ tactical strategies, allowing us to draw some broad conclusions about TAA as a trading style. Learn more about what we do. Members: This post only includes summary data. For per-strategy results, please see the members
  • Does Financial Leverage Make Stocks Riskier? [Factor Research]

    The leverage of US stocks has been increasing over the last four decades The most leveraged stocks did not generate higher returns than the least leverages ones However, they were also not riskier INTRODUCTION The IMF issued a warning on corporate debt in their latest Global Stability Report and highlighted the following concerns: The estimated share of speculative-grade debt in the corporate

Quantocracy’s Daily Wrap for 09/26/2020

This is a summary of links featured on Quantocracy on Saturday, 09/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • September update, paper trading with IB [Regressionist]

    Quitting my job Ive been working half-time for the past few months, trying to wrap up a major project and pass the baton to someone else. Now I feel like Ive reached those goals, so I talked to my boss about fully quitting. I worried about quitting, because I thought I might lose whatever year-end bonus I could have gotten. However, my boss was cool. We agreed that I will be placed on unpaid

Quantocracy’s Daily Wrap for 09/25/2020

This is a summary of links featured on Quantocracy on Friday, 09/25/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Writing conundrums [OSM]

    Were taking a break from our portfolio series and million sample simulations to return to a subject that we havent discussed of late despite its featured spot in this blogs nameoptions. In this post, well look at the buy-write (BXM) and put-write (PUT) indices on the S&P 500, as conceived, calculated, and published by the CBOE. Note: weve discussed the buy-write strategy in
  • API Algo Trading Landscape [Alpaca]

    In 2018, we wrote a blog post about the nine great tools for algo trading. At the time, the quant ecosystem had started to gain popularity among individual investors thanks to companies like Quantopian and Quantconnect making it easy to test and trade with algorithms. 9 Great Tools for Algorithmic Trading Ive put together a list of 9 tools you should consider using for your algorithmic trading
  • Petra on Programming: The Gann Hi-Lo Activator [Financial Hacker]

    Fortunately I could write this article without putting my witch hat on. Despite its name, the Gann Hi-Lo Activator was not invented by the famous esotericist, but by a Robert Krausz in a 1998 article in the Stocks&Commodities magazine. In a recent article, Barbara Star combined it with other indicators for a swing trading system. Will an indicator with the name Gann work outside

Quantocracy’s Daily Wrap for 09/24/2020

This is a summary of links featured on Quantocracy on Thursday, 09/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Quant Conference Digital | Global Audience – Online Event – Cutting Edge Research | 4-6 November, 2020

    The Quant Conference Digital engages the foremost thought leaders from the industry and academia to dive into the latest innovations in quant finance, foster collaboration and facilitate opportunities. Series of panel discussions and keynotes offer an in-depth exploration of the challenges and opportunities posed by a rapidly changing financial landscape. With the most recognised speakers, 1:1
  • How To Design Machine Learning Models – A Market Timing Example [Alpha Architect]

    We at ENJINE are big believers in the potential of machine learning (or as some call, artificial intelligence) to transform asset management. However, its fair to say that machine learning hasnt received mass adoption in the industry yet. There are some great primers to get you going on the blog notably Druce Vertes post titled: Machine Learning for Investors: A Primer and a
  • An Introduction to Time Series Signatures [Quant Dare]

    The Signature of a time series is a universal description for a stream of data derived from the theory of controlled differential equations. Over the last years, this technique has been used successfully applied in a wide array of Machine Learning tasks dealing with sequential data, such as the chinese character recognition problem or extracting information from the signature of a financial data