This is a summary of links featured on Quantocracy on Wednesday, 02/15/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Random forest: many is better than one [Quant Dare]Random forest is one of the most well-known ensemble methods and it came up as a substantial improvement of simple decision trees. In this post, we are going to explain how to build a random forest from simple decision trees and to test how they actually improve the original algorithm. Maybe you first need to know more about a simple tree; if that is the case, take a look at my previous post.
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Ehlers s Autocorrelation Periodogram [QuantStrat TradeR]This post will introduce John Ehlerss Autocorrelation Periodogram mechanisma mechanism designed to dynamically find a lookback period. That is, the most common parameter optimized in backtests is the lookback period. Before beginning this post, I must give credit where its due, to one Mr. Fabrizio Maccallini, the head of structured derivatives at Nordea Markets in London. You can find the
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Timing the Stock Market with the Inflation Rate [iMarketSignals]Stocks usually perform poorly when inflation is on the rise. Using the inflation rate, we developed a market timer according to two simple rules. Switching according to the Timer signals between the S&P500 with dividends and a money-market fund would have provided from Aug-1953 to end of Jan-2016 and annualized return of 12.48%. Over the same period buy-and-hold of the S&P500 with