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!
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.
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
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