This is a summary of links featured on Quantocracy on Monday, 01/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quantifying Timing Luck [Flirting with Models]When two managers implement identical strategies, but merely choose to rebalance on different days, we call variance between their returns timing luck. Timing luck can easily be overcome by using a method of overlapping portfolios, but few firms do this in practice. We believe the magnitude of timing luck impact is much larger than most believe, particularly in tactical strategies. We derive
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Gold Price Prediction Using Machine Learning In Python [Quant Insti]Is it possible to predict where the Gold price is headed? Yes, lets use machine learning regression techniques to predict the price of one of the most important precious metal, the Gold. We will create a machine learning linear regression model that takes information from the past Gold ETF (GLD) prices and returns a prediction of the Gold ETF price the next day. GLD is the largest ETF to invest
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Can You Short The S&P Successfully? (with @DBurgh) [System Trader Success]A short signal for the S&P500? Believe it or not, some do exist. Although these can often be hard to find they can also contribute greatly to your success so tons of traders search endlessly for a complimentary short system or two for their portfolios. I want to talk about a simple short edge that I have recently been tweeting about for the past year or so as it has been an interesting
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A Historical Look At Market Reaction To New Fed Chairmen [Quantifiable Edges]Jerome Powell is expected to take over for Janet Yellen as the new Fed chairman on Feb 3rd. A few days ago in the letter I looked at SPX performance after a new chairman takes over. I used the SPX and looked back to 1970. Tonight I decided to take the analysis back to 1923 using my Dow data. Like with the SPX, I found the first few weeks to be the most consistent and interesting data. Once we look
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The Government Shutdown [Highly Evolved Vol]Over the last ten years, a number of congress members have been elected on a fairly nihilistic platform, voting against practically any spending bill (unless it buys tanks). This is a good way to get elected but it makes it hard to govern. The government has to spend money. While the Republicans have majorities in both houses, there is a huge difference in political philosophies between members of