This is a summary of links featured on Quantocracy on Wednesday, 02/10/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Avoiding Bear Markets to Improve Risk-Adjusted Returns [EconomPic]Ben Carlson of A Wealth of Common Sense has a recent post, When Global Stocks Go On Sale, outlining that it is typically a pretty good time to be buying when the MSCI World stock index is in a 20% or greater drawdown. His insightful takeaway and chart outlining the historical drawdowns and forward performance of the index is below: There were only two times out of the ten bear markets where stocks
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How do stop-loss orders affect trading strategy performance? [Augmented Trader]A stop order is an order placed with a broker to sell a security when it reaches a certain price. A stop-loss order is designed to limit an investors loss on a position in a security investopedia. In this article we investigate how the addition of stop-loss orders affect a generic trading strategy. When investors enter a new position in a stock, they often simultaneously put in an
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Get Shorty (again, research, not the movie ) [Throwing Good Money]Im running a high risk of running out of movies with short in the title. So this had better be the last blog post on the subject! In my previous post (here), I looked at a short-sale signal where a stock was shorted after it averaged 3% gains each day over five days (in any distribution). At the end of five days, it had to be up 15%. Yes, I could have just looked at it that way, but
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Babel – Chapter 15 First Draft – JavaScript for Financial Analysts [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 15. ~ Like all superheroes JavaScript's biggest strength is also its main weakness. JavaScript can be distributed and run anywhere, easily. The problem is that each browser or platform supports a slightly different subset of the language. This book follows the current 2015 or EcmaScript 6 version of the language, which is OK
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Predict returns using historical patterns [Quant Dare]Is it possible to predict the next returns sign by looking for historical patterns? Introduction One of the main problems when trying to develop investment algorithms is finding an estimator (with the intention of predict future returns) that minimizes the error between the estimation and the real return. As we can see in Vecinos cercanos en una serie temporal, there are many algorithms,
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Double 7’s Strategy [Alvarez Quant Trading]In the book, Short Term Trading Strategies that Work, which Larry Connors and I published in early 2008, we wrote about a simple strategy called Double 7s Strategy. Through the years people often ask about this strategy. Does something that simple really work? How does it do in a portfolio? Does the concept work on stocks? Today, we will be answering these questions. The Original Rules
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Relative Strength Sector Rotation Using ETFs [Backtest Wizard]In this article I will test a well-known relative strength trading model using ETFs. The test period will include the data between 01/01/2001 today. The starting hypothetical balance will be $100,000. The ETFs I will be testing are as follows: IYZ (Telecoms) XLB (Materials) XLE (Energy) XLF (Financial) XLI (Industrial) XLK (Technology) XLP (Consumer Staples) XLU (Utilities) XLV (Healthcare)