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Quantocracy’s Daily Wrap for 12/04/2019

This is a summary of links featured on Quantocracy on Wednesday, 12/04/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Adaptive VIX Moving Average with Ehlers Alpha Formula [CSS Analytics]

    In the last post I described a relatively simply method to incorporate the VIX into the well-known AMA or Adaptive Moving Average framework. The alpha formula requires two separate parameters- a short and a long-term constant which requires greater specification by the user. Ideally the fewer parameters you have to specify the better (although it is important to note that logical requirements for
  • Mitigating overfitting on Trading Strategies [Quant Dare]

    According to Wikipedia in finance, a trading strategy is a fixed plan that is designed to achieve a profitable return by going long or short in markets. The main reasons that a properly researched trading strategy helps are its verifiability, quantifiability, consistency, and objectivity. For every trading strategy, one needs to define assets to trade, entry/exit points, and money management

Quantocracy’s Daily Wrap for 12/03/2019

This is a summary of links featured on Quantocracy on Tuesday, 12/03/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Jim Simons: The man who solved the market [Mathematical Investor]

    Gregory Zuckerman, author of The Greatest Trade Ever, has published a new book highlighting the life and work of Jim Simons, who, at the age of 40, walked away from a very successful career as a research mathematician and cryptologist to try his hand at the financial markets, and ultimately revolutionized the field. Zuckermans new book is titled The Man Who Solved the Market: How Jim Simons
  • How to Choose the Best Period for Indicators [Quantpedia]

    Academic literature recognizes a large set of indicators or factors that are connected with the various assets. These indicators can be utilized in a variety of trading strategies, which means that such indicators are popular among practitioners who seek to invest their funds. Usually, the indicators are connected with some evaluation period. For example, we have a trend following strategy using a

Quantocracy’s Daily Wrap for 12/02/2019

This is a summary of links featured on Quantocracy on Monday, 12/02/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Refresher: Integration, Co-Integration Stationarity [Auquan]

    When working with time series financial data, stationarity (or lack thereof!) is going to be a defining aspect of how you conduct your analyses. In this article, we're going to give you a quick refresher of what these terms mean and how they affect your data. Let's start with importing the basics! import numpy as np import pandas as pd import statsmodels import statsmodels.api as sm from
  • Quantamental Investing – Change vs Patterns [Two Centuries Investments]

    As readers would know, discussing ways to combine quant and fundamental investing has been a topic I care about (see some prior posts here, here and here). Perhaps Im biased. But I believe that proper collaboration between quant and fundamental approaches is still a largely unexplored area. Yes, many fundamental shops rely on quant screens and many quant shops rely on fundamental justifications
  • Employing Human-Order in pandas DataFrame Sorting: Risk Factors and Tenors [Quant At Risk]

    There are various Python projects which require sorting but not the ones that employ a default alphanumeric functionality. We talk about manually specified order or human-order, in short. One of such examples is the case study presented below. Imagine that your risk system provides you with a list of various risk factors and the corresponding risk tenors. The latter may differ among risk factors
  • Myth-busting: Fed Actions and Stock Prices [Alpha Architect]

    Since the global financial crisis, the financial press has periodically asserted that the Federal Reserves actions were the driving force behind rising stock prices. This study investigates this assertion by asking the following research question: Is there a relationship between stock prices and the level of central bank influence in interest rates (where influence= difference between the
  • Why Pension Funds & Millennials Should Avoid ESG [Factor Research]

    ESG ETFs underperformed the stock market since 2005 Likely explained by higher fees, a constrained stock universe, and sector bets Financially-impaired investors like public pension funds and Millennials should avoid ESG investing INTRODUCTION If investors would be looking for the ETF flavor of the year, then it would likely be ESG as highlighted by the large number of product launches in 2019. In

Quantocracy’s Daily Wrap for 12/01/2019

This is a summary of links featured on Quantocracy on Sunday, 12/01/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How You Measure Months Matters A Lot. A Look At Two Implementations of KDA [QuantStrat TradeR]

    This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. Namely, that when computing momentum (and other financial measures for use in asset allocation, such as volatility and correlations), measuring formal months, from start to end, has a large effect on strategy performance. So, first off, I am in the job
  • RSI Hellfire Heatmap Indicator [Philipp Kahler]

    Chart analysis is all about visualizing data. The RSI hellfire indicator uses a heat-map to visualizes how overbought or oversold the market is on a broad scale. This helps to get a broad picture of the current market setup. Multiple Time-frame Relative Strength Index Wells Wilders RSI is an old timer of technical indicators. It tries to find out if markets are overbought or oversold. Usually

Quantocracy’s Daily Wrap for 11/29/2019

This is a summary of links featured on Quantocracy on Friday, 11/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Contribute to The Alpha Scientist blog! [Alpha Scientist]

    You may have noticed that this blog has been mostly inactive in 2019. Earlier this year, I took a full-time position with one of my buy-side consulting clients focused on researching methodologies for application of ML / data science to alpha research. While I'm thoroughly enjoying the work, it creates constraints on my bandwidth and flexibility to share research here. However, despite a lack
  • Automated Trading Systems: Architecture, Protocols, Types of Latency [Quant Insti]

    The automated trading system or Algorithmic Trading has been at the centre-stage of the trading world for more than a decade now. A trading system, more commonly referred as a trading strategy is nothing but a set of rules, which is applied to the given input data to generate entry and exit signals (buy/sell). Although formulating a trading strategy seems like an easy task, in reality,
  • Financial Models Numerical Methods in Jupyter Notebooks (h/t @PyQuantNews)

    This is a collection of Jupyter notebooks based on different topics in the area of quantitative finance. Is this a tutorial? Almost! 🙂 This is just a collection of topics and algorithms that in my opinion are interesting. It contains several topics that are not so popular nowadays, but that can be very powerful. Usually, topics such as PDE methods, Lvy processes, Fourier methods or Kalman
  • When the Wednesday Before Thanksgiving Closes at a New High [Quantifiable Edges]

    Thanksgiving has some seasonal tendencies, with Wednesday and Friday often being bullish, and the Monday after being bearish. This year not only did Wednesday perform well, but it left the SPX at a new high heading into the holiday. So I decided to look back at other times SPX closed at a 50-day high on the day before Thanksgiving. 2019-11-28 Results here show a bearish inclination over the next 2

Quantocracy’s Daily Wrap for 11/27/2019

This is a summary of links featured on Quantocracy on Wednesday, 11/27/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Black & Scholes for Puts/Calls in a Single Excel Cell [Six Figure Investing]

    Sometimes an online option calculator isnt enough and youd like to implement the Black & Scholes (B&S) option pricing equations in Excel. If youre just playing around it doesnt matter how you structure the calculation. In fact, for claritys sake, its probably a good idea to spread out the calculation across multiple cells. However, if youre planning to do some serious
  • Forbidden Knowledge: Long-Only Academic Factors are Also Cool [Alpha Architect]

    The standard academic approach to factor analysis is through the lens of long-short portfolios (which often confuses practitioners!). For example, a researcher may take the universe of the largest 1,000 stocks and sort them on value, as measured via book-to-market. The value factor portfolio may go long the top third cheapest stocks (value leg) and go short the bottom third most

Quantocracy’s Daily Wrap for 11/26/2019

This is a summary of links featured on Quantocracy on Tuesday, 11/26/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Adaptive VIX Moving Average [CSS Analytics]

    One of the challenges with technical or quantitative analysis is to identify strategies that can adapt to different market regimes. The most obvious is a change in the forecast or implied volatility as proxied by the VIX. During more volatile periods we would expect more signal noise and during less volatile periods we would expect less signal noise. But how do we capture this in a strategy? One
  • Enterprise Multiples and Equity Country Allocations [Alpha Architect]

    The use of valuation multiples in selecting equity securities is well established in the literature, and weve covered the research on enterprise multiples here (here is a recent JPM on the topic). However, there are relevant questions as to the effectiveness of multiples when applied to national indexes in the service of country allocation. Contrary to popular opinion, studies show that not
  • Diversification: More Than “What” [Flirting with Models]

  • Are Earnings Forecasts of Sell-side Analysts Biased? [Alpha Architect]

    There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources of risk. Alternatively, they could be associated with mispricing that arises from systematically biased investor expectations (see here for a discussion on this topic).

Quantocracy’s Daily Wrap for 11/25/2019

This is a summary of links featured on Quantocracy on Monday, 11/25/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Inverview with @PaulNovell: Investing for a living, financial independence and early retirement [System Trader Show]

    It happens very often that we work because we dont see any alternatives. Our job may be annoying as hell, we may even hate it, but the reality seems like we dont have any other options. We have a mortgage, we have a family to maintain, or our qualifications arent allowing us to do something new. So we dont dare to do something new, and we dont have a plan, were just drifting
  • Do Activist Investors Create Value? [Factor Research]

    Shareholder activism has not grown from a campaign or AUM perspective recently Activist funds have not generated attractive returns The lack of outperformance is challenging to explain INTRODUCTION Active fund managers today are like deer caught in the headlights of oncoming traffic as the exchange-traded fund (ETF) industry is expanding its product range to all investment strategies and grabbing

Quantocracy’s Daily Wrap for 11/23/2019

This is a summary of links featured on Quantocracy on Saturday, 11/23/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Pivot Point Strategy [Quant Insti]

    In this project, we analyze different intraday trading strategies with Pivot Points. After defining different ways of calculating the Pivot Point, we do a Backtest with the most classic strategies and a different variant to those normally taught in textbooks. To learn about Pivot Point and how to use it to predict movement in trade markets, read this blog. This article is the final project
  • Research Review | 22 November 2019 | Factor Investing Strategies [Capital Spectator]

    ETF Momentum Frank Weikai Li (Singapore Management University), et al. October 12, 2019 We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with
  • Basic factor investment for bonds [SR SV]

    Popular factors for government bond investment are carry, momentum, value and defensive. Carry depends on the steepness of the yield curve, which to some extent reflects aversion to risk and volatility. Momentum relates to medium-term directional trends, which in the case of fixed income are often propagated by fundamental economic changes. Value compares
  • The Investor’s Podcast: Factor Investing (Jack) [Alpha Architect]

    Recently I was invited to talk with Stig and Preston on The Investors Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: What is factor investing? Which factors have historically performed the best? Should one use a single factor or multiple factors? How long should the holding period be for a position? Here is a link to their

Quantocracy’s Daily Wrap for 11/21/2019

This is a summary of links featured on Quantocracy on Thursday, 11/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • It’s time for a modern, standardized trading interface, suitable for the web-age [Ran Aroussi]

    In this post, I share my vision for an Open Trading standard for communicating with online brokers using modern technologies. While looking for a way to add support for multiple brokers and data vendors to my open source Python trading library, I discovered that there's currently no way to communicate with various brokers without re-writing most of the code responsible for getting market
  • Are Value, Carry and Momentum Regime Dependent? [Alpha Architect]

    Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is The Death of Diversification is Greatly Exaggerated, co-authored by my colleague Jared Kizer and Antti Ilmanen of AQR Capital. Their work was awarded the best