Quantocracy’s Daily Wrap for 01/29/2016

This post serves three main purposes: Firstly, I'm going to explain the main features I've just added to my python back-testing package pysystemtrade; namely the ability to estimate parameters that were fixed before: forecast and instrument weights; plus forecast and instrument diversification multipliers. (See here for a full list of what's in version 0.2.1) Secondly I'll be

Or why you aren't, and will never be, John Paulson The systematic versus discretionary trading argument is alive and well; or if you prefer, computers versus humans*. In this post I pose the question – who is better the average systematic trader, or the average discretionary human? * Though even fully discretionary traders will be relying on a computer at some point; fully manual trading and

One of the most overused and misunderstood terms Ive seen used by finance practitioners is behavioral finance. Many professionals consider themselves to be behavioral finance experts because they identify irrational investors.1 Newsflash: Identifying irrational investors is not behavioral finance. But here is a great summary from a Baker, Bradley, and Wurgler paper weve

In hindsight, its fun to look at stocks that have had a huge surge, only to collapse violently after they peak. And by fun I mean sitting on the sidelines watching, as opposed to pulling ones hair out when youre long that particular trade. Above you can see Apple (AAPL) in 2008, where it hit its 52-week high, only to collapse a few days later, for a very significant loss. Are these

The stock markets wild ride to begin the year continues, with the latest twist reminiscent of a roller coaster. Over the past 4 days, the Dow Jones Industrial Average (DJIA) has moved at least 1%, with each day alternating up and down. Since 1900, this is the 68th such streak and just the 17th in the past 70 years (actually, today narrowly missed making it 5 days in a row which would have been