This is a summary of links featured on Quantocracy on Thursday, 01/11/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Long-Short Equity Strategy using Ranking: Simple Trading Strategies Part 4 [Auquan]In the last post, we covered Pairs trading strategy and demonstrated how to leverage data and mathematical analysis to create and automate a trading strategy. Long-Short Equity Strategy is a natural extension of Pairs Trading applied to a basket of stocks. Download Ipython Notebook here. Underlying Principle Long-Short equity strategy is both long and short stocks simultaneously in the market.
A Down Day After A Persistent Upmove To New Highs [Quantifiable Edges]One compelling study from last nights Quantifinder suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after the market moves up at least 5 days in a row to a 50-day high, and then pulls back. I have updated the stats in the table below. 2018-01-11 We see here a decent edge that becomes stronger