This is a summary of links featured on Quantocracy on Sunday, 02/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Architecture -II- [Algorythmn Trader]My previous post was about my thoughts concerning general architecture of a trading platform. During my way rethinking it from end to end it becomes clear that a client only approach would not fit with my needs. So I went back to my list of entities and started the puzzling again. To see all past posts and get a outlook about whats coming up, just have a look here: Content++. The obvious
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Profit Margins – Are they Predicting a Crash? [Jonathan Kinlay]Is Jeremy Grantham, co-founder and CIO of GMO bullish or bearish these days? According to Myles Udland at Business Insider, hes both. He quotes Grantham: I think the global economy and the U.S. in particular will do better than the bears believe it will because they appear to underestimate the slow-burning but huge positive of much-reduced resource prices in the U.S. and the availability of
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Quant Hunt: Ignore Tick-Box Companies [Quant at Risk]I was really surprised by a huge popularity of the past section of QuantAtRisk entitled Motivation for Quants. My readers made me thinking. Again. If there is a need for posts that expose and discuss the naked truth about quant job space, lets make it, again! This time bigger, better, and with big big balls! Therefore, this is the very first post in a new series of Quant Hunt. This is where we
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Data Mining vs Out of Sample Data [Throwing Good Money]So in this last post, I data-mined the hell out of the S&P500 index (well ok SPY) and found an anomaly: every time SPY drops more than 1% from the previous close to the current close, you wait (thats Day 0). You then buy at the close 13 days later, and sell at the close of Day 14. This showed significantly better return than if you did the same thing but owned all the Day 16s instead.
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Interview with Murray Ruggiero [Better System Trader]Murray Ruggiero is the chief systems designer and market analyst at Tuttle Tactical Management with around 200 million dollars under management. He is one of the worlds foremost experts on the use of intermarket and trend analysis in locating and confirming developing price moves in the markets. He is also a speaker, author and has been a contributing editor to Futures magazine since 1994,
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Managing Risk in Retirement: Part II [Blue Sky AM]The Challenge of Being a Passive Investor Investors face the prospect of poor expected long-term returns making buying and holding less desirable for both equity and bond holders Given that bond yields are so low, investors are being forced to hold risky assets such as equities to earn sufficient returns. This forces passive investors to have to tolerate substantial volatility. Passive investing
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C# Historical Dividend retrieval [Smile of Thales]Today in SmileOfThales we will provide you some brief but useful C# code (the whole code is available at the end of the article) to retrieve historical cash dividend data in Excel. The topic covers Excel-Dna, data caching, Html parsing with HtmlAgilityPack thats it and its already pretty 🙂 At the very beginning I needed to retrieve dividend history to experiment implicit dividend
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Stocks That Triple In One Year [Investor’s Field Guide]There have been 1,700 individual U.S. stocks (with starting market caps of at least $200MM, inflation adjusted) which have tripled in a 12-month period since 1962. Many of these individual stocks tripled in more than one 12-month period, so we have 7,500 or so separate observations of a stock tripling in a 12-month period. Tripling your money quickly is pretty good. So what do these three-baggers