This is a summary of links featured on Quantocracy on Wednesday, 01/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Case For High Volatility Strategies [EconomPic]Which investment would you prefer to invest in to diversify your existing stock allocation? Asset A with an expected: 3% annualized return 3.5% annualized standard deviation 0.00 correlation with your existing investment Asset B with an expected: -5% annualized return > 50% annualized standard deviation 0.00 correlation with your existing investment Easy question right? Perhaps not. Asset B may
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Technologies Screening II [Algorythmn Trader]In my last post I introduced how I identified possible technologies and learned the basics about different languages, operating systems and IDEs. I also mentioned that my choice was to build on top of .Nets C# and Visual Studio, as my base for developing. In this post I want to dig a little deeper into the overall tool chain for my trading system development. When I was starting to work with
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How Does Analyst Optimism Affect Momentum Strategies? [Alpha Architect]We examine the effect of security analyst recommendations on stock price momentum. Results show that momentum profits are directly linked to analyst optimism. Specifically, we find that a 1-unit change in recommendation quintile translates to about a 50 basis point change in subsequent 3-month momentum profits. We also examine uncovered stocks by using parallel projection methods to project
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The Internal Bar Strength Indicator [Backtest Wizard]The internal bar strength or (IBS) is an oscillating indicator which measures the relative position of the close price with respect to the low to high range for the same period. The calculation for Internal Bar Strength is as follows IBS = (Close Low) / (High Low) * 100; For example, on 13/01/2016 the QQQ etf had a high price of $106.23, a low price of $101.74 and a close price of
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7 Best Backtesting Platforms for Quantitative Trading [Quant Insti]We have a large number of vendor-developed backtesting platforms available in market which can be very efficient in backtesting automated strategies; but to decide which once will suit your requirements, needs some research. Ideally custom development of a backtesting environment within a first-class programming language provides the most flexibility and third party platforms might make a number
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‘Tis the Season for Bold Prediction [GestaltU]It is with a giddy sense of schadenfreude that every year around this time, we get to read bold prediction rubbish like this: A best-selling personal finance guru, a behavioral economics columnist at MarketWatch, a Harvard-educated economist and other notable financial experts all warn the stock market is going to hell in 2016. Wall Streets major powerhouses, on the other hand, beg to differ.