This is a summary of links featured on Quantocracy on Monday, 01/25/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Advanced Trading Infrastructure – Position Class [Quant Start]At the end of last year I announced that I would be working on a series of articles regarding the development of an Advanced Trading Infrastructure. Since the initial announcement I haven't mentioned the project to any great extent. However, in this article I want to discuss the progress I've made to date. At the outset I decided that I wanted to re-use and improve upon as much of the
Dissecting a trend following strategy in 2015 [Flirting with Models]Summary We run a U.S. sector-based, long-or-flat trend following strategy. With largely sideways market action, 2015 was a tough year for trend following, especially for long-only trend following, since the large negative trend in the Energy sector could not be monetized. We believe portfolio construction can be broken down into the signals generated and the rules used to transform these signals
Following Opportunistic insiders Earns over 1% Monthly Alpha [Alpha Architect]We show that opportunistic insider traders can be identified through the profitability of their trades prior to quarterly earnings announcements (QEAs), and that opportunistic trading is associated with various other kinds of managerial and firm misconduct. The subsequent buys and sells of opportunistic insiders (insiders with high past pre-QEA profits) are substantially more profitable than those