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!
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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
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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