This is a summary of links featured on Quantocracy on Wednesday, 01/17/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Can You Trade Only The “Best” Trend Signals? [Return Sources]Trend following is a relatively simple strategy, at least at the concept level: buy when prices go up, and sell when they go down. The main way that trend followers differentiate themselves is the timeframe over which they measure whether the price has gone up or down. For example, one manager might follow short term trends, like one month price moves. Another might use long-term trends, like
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Adaptive Asset Allocation Extended [Foss Trading]This post extends the replication from the Adaptive Asset Allocation Replication post by running the analysis on OOS (out-of-sample) data from 2015 through 2023. Thanks to Dale Rosenthal for helpful comments. The paper uses the 5 portfolios below. Each section of this post will give a short description of the portfolio construction and then focus on comparing the OOS results with the replicated