This is a summary of links featured on Quantocracy on Tuesday, 01/26/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Machine Learning for Trading Pairs Selection [Hudson and Thames]In this post, we will investigate and showcase a machine learning selection framework that will aid traders in finding mean-reverting opportunities. This framework is based on the book: A Machine Learning based Pairs Trading Investment Strategy by Sarmento and Horta. A time series is known to exhibit mean reversion when, over a certain period, it reverts to a constant mean. A topic of
-
The Importance Of Stress Tests & Robustness Tests 10/12 [Trade With Science]If you developed a given futures market strategy, in an ideal world, it would perform well on all markets (from metals, energies, currencies, bonds, stock indices, grains, softs). However, from our experience, we know that this is a challenging task. You would be happy if it worked for markets from the same segment. Stress tests and robustness tests are crucial to understand in order to choose the
-
Recent Weaknesses of Factor Investing [CXO Advisory]How have value, quality, low-volatility and momentum equity factors, and combinations of these factors, performed in recent years. In their October 2020 paper entitled Equity Factor Investing: Historical Perspective of Recent Performance, Benoit Bellone, Thomas Heckel, Franois Soup and Raul Leote de Carvalho review and put into context recent performances of these these