This is a summary of links featured on Quantocracy on Friday, 02/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book Added: Your Complete Guide to Factor-Based Investing from @LarrySwedroe [Amazon]There are hundreds of exhibits in the investment factor zoo. Which ones are actually worth your time, and your money? Larry Swedroe and Andrew Berkin, co-authors of The Incredible Shrinking Alpha, bring you a thorough yet still jargon-free and accessible guide to applying one of todays most valuable quantitative, evidence-based approaches to outperforming the market: factor investing.
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Factor Investing is More Art, and Less Science [Alpha Architect]Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I dont know. I can relate. Having studied finance for a long time (PhD, professor, books, articles, etc.), I think I now know less about how the stock market works. In fact, I probably should have stopped studying finance after I read Ben Grahams Intelligent Investor, over 20 years ago. Life
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Zero Lag Moving Average Filter | Trading Strategy [Oxford Capital]I. Trading Strategy Developer: John Ehlers and Ric Way. Source: Ehlers, J., Way, R. (2010). Zero Lag (well, almost). Concept: Trend following trading strategy based on moving average filters. Research Goal: To verify performance of the Zero Lag Moving Average (ZLMA). Specification: Table 1. Results: Figure 1-2. Trade Filter: Long Trades: Zero Lag Moving Average (ZLMA) crosses over Exponential
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Trend following starts 2017 with negative January [Wisdom Trading]January 2017 Trend Following: DOWN -2.84% If December bucked the trend of the last 6 months, January was a continuation of the downward direction seen in the second half of 2016. The index starts 2017 with a negative performance, in the context of global uncertainty, and keeps flirting with the maximum drawdown level. But you know what we have to say about that. Note that we added a section in
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State of Trend Following in January: Down [Au Tra Sy]Trend Following started the year with the same flavour as it ended 2016: down. The index posted a negative performance in January but is still slightly up since the low in October last year. Please check below for more details. Detailed Results The figures for the month are: January return: -3.32% YTD return: -3.32% Below is the chart displaying individual system results throughout January:
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Two Swing Trade Systems (Part 2) [Throwing Good Money]Yesterday I discussed two swing-trade systems that work pretty well in out-of-sample data. While each works differently, they overlap enough that you dont get any benefit from running them both at the same time. One great thing about these two systems is that theyre dead simple to manage. Trade at the open or the close, simple math, etc etc. I will repeat the caveat from yesterday: these