This is a summary of links featured on Quantocracy on Thursday, 02/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Why TAA Has Been So Successful in Crises [Allocate Smartly]Most Tactical Asset Allocation (TAA) strategies have followed the same basic storyline. They keep pace with the market during the good times (like we find ourselves in right now), and shine during the bad times. To illustrate, the graphs below shows the average return of all of the TAA models that we track (orange) versus the 60/40 benchmark (grey) during the Dot-Com Bust of 2000-02 and Global
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A Curious Intraday Pattern in Brazilian Stock Index Futures [Quantogo]Since the first article of this blog (Technical Analysis for intraday stocks trading? FORGET IT!), im pointing to the fact that there is a lot of cross correlation between stocks and between stocks and the future index. Thats not new to anyone and even those who are starting at the quantitative trading/analysis come to realize this on their own. But, is there some way we can explore that
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Podcast: Strategy objectives, statistical significance and market behavior w/ @Alphatative [Chat With Traders]Returning to Chat With Traders for a second time is David Bushfirst on episode 23. David began as a discretionary trader, more than 20-years ago, but over time hes developed into a quant trader. And hes exceptionally good at what he does; Davids been the first place winner of two (real money) trading competitions in recent years. Last time David was on we spoke fairly extensively about