This is a summary of links featured on Quantocracy on Tuesday, 02/19/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Build a BitCoin(tegration) Backtester [Patrick David]This tutorial is in 2 parts(you can run the backtester as a separate standalone module) : Learn the Statistical technique of Cointegration. Build a Bitcoin Backtesting engine using Python to analyze the performance of a Cointegration based trading strategy. Just want the code? click here. What are we building We are going to build a python based event-driven backtester that pulls 2 crypto
Glitch [Flirting with Models]Trend followings simple, systematic, and transparent approach does not make it any less frustrating to allocate to during periods of rapid market reversals. With most trend equity strategies exhibiting whipsaws in 2010, 2011, 2015-2016, and early 2018, it is tempting to ask, is this something we can fix? We argue that there are three historically-salient features that make trend following