This is a summary of links featured on Quantocracy on Wednesday, 01/22/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Persistency Beyond Almost All Other Rallies [Quantifiable Edges]Last week I noted the current rally was reaching historical extremes for persistency. Here I will look at another study from the subscriber letter, and then update last weeks study. In last nights letter I looked at all times back to the inception of the NASDAQ in 1971 in which both SPX and the NASDAQ Composite closed above their 10ma for at least 30 days in a row. The short list is below.
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Calculating a VIX3M Style Index Back to 1990 Reveals Surprising Trends [Six Figure Investing]The Cboes VIX (30-day) and VIX3M (93-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001. This post introduces the results of VIX3M style calculations back to 1990, and reviews issues and trends that were revealed. In November 2007, the Cboe introduced VIX3M, a volatility