This is a summary of links featured on Quantocracy on Tuesday, 01/05/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using maximum drawdowns to set capital sizing – not as bad as I first thought [Investment Idiocy]Risk. Love it or hate it, well as a trader you have to deal with it even though none of us really like it. No, we'd all prefer to be one of those mythical traders you hear about on youtube or instagram who consistently make $1000 a day, and never lose any money. Sadly I am not in that unicorn like category, and as only real people read this blog neither are you unless you are one of the HFT
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Strategy Development Phase Intraday Strategies Using Price Patterns 7/12 [Trade With Science]It is very popular among traders to develop and trade intraday strategies. The reasons are simple. This type of strategy greatly limits the potential maximum drawdown by not exposing the strategy to the risk of night movements and weekend gaps. The rule that the less total time a strategy is in position, the lower you expose it to overall risk certainly applies. On the other hand, you are quite
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Simple versus Advanced Systematic Trading Strategies – Which is Better? [Quant Start]An age-old question in the quant community asks whether systematic traders should stick with simple quant strategies or expend the effort to implement more advanced approaches. It is often the perception that retail algo traders solely utilise simpler strategies while quantitative hedge funds carry out highly sophisticated and mathematically complex approaches. Recently however the situation has
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Hurst Exponent – finding the right market for your trading strategy [Philipp Kahler]The Hurst exponent is a measure for the behaviour of the market. It shows if the market behaves in a random, trending or mean-reversion manner. This can be used to select the right trading strategy for your market. Hurst Exponent hurst spx hurst exponent spx The hurst exponent describes the self similarity of a market. Self similarity describes how similar past market snippets are to current ones.