This is a summary of links featured on Quantocracy on Thursday, 02/18/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Low Volatility vs. High Volatility Days [Throwing Good Money]I read a blog post recently that began suppose you have a trading system that works well on low-volatility days and I thought, hmm. Is that a thing? Is there an edge to low-volatility days vs high volatility days? Lets turn this blog post into a speculators version of Dude, What Would Happen? The parameters: SPY, baby! From 2000 through 02/16/16. A low volatility day is
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Make Volatility Your Friend (By Limiting Downside Volatility) [EconomPic]Josh Brown (i.e. The Reformed Broker) recently shared the aptly titled post How to Make Volatility Your Bitch highlighting how dollar cost averaging into a volatile market can lead to higher overall returns: Door number one you spend 15 years putting $1000 into an investment every month for 15 years, with the possibility of seeing that investment get cut in half twice. Door number two you
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A Quant’s Approach to Building Trading Strategies: Part Two [Quandl]This is the second part of our interview with a senior quantitative portfolio manager at a large hedge fund. In the first part, we covered the theoretical phase of creating a quantitative trading strategy. In this part, we cover the transition into production. You can read the first part of the interview here. What does moving into production entail? For starters, I now have to worry about
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Are Low-Volatility Stocks Expensive? [Quant Dare]The world of finance is no stranger to fashion and Low volatility equity investing has recently attracted serious interest from the investment community. Its popularity has led to doubts regarding the valuation level for this overcrowded arena. Just look at the current market caps of the most representative ETFs of the low volatility anomaly. If we highlighted the best known, in 2011 they began
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What’s All The Fuss About [Systematic Relative Strength]If you own last years laggards you are probably wondering what all the fuss over the market is about. It has been tough sledding for the leaders so far this year as they have underperformed the laggards by quite a bit. In one of the models we track, the laggards moved in to positive territory with yesterdays price action! We track a model of the S&P 500 Sub-Industry Groups that is broken
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New R/MATLAB Package Released: High Frequency Price Estimators & Models [Portfolio Effect]We are happy to announce PortfolioEffectEstim toolbox availability for both R & MATLAB. It is designed for high frequency market microstructure analysis and contains popular estimators for price variance, quarticity and noise. For R https://cran.r-project.org/web/packages/PortfolioEffectEstim/ Or via downloads section: https://www.portfolioeffect.com/docs/platform/quant/tools/r For MATLAB