This is a summary of links featured on Quantocracy on Tuesday, 02/20/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Creating a Table of Monthly Returns With R and a Volatility Trading Interview [QuantStrat TradeR]This post will cover two aspects: the first will be a function to convert daily returns into a table of monthly returns, complete with drawdowns and annual returns. The second will be an interview I had with David Lincoln (now on youtube) to talk about the events of Feb. 5, 2018, and my philosophy on volatility trading. So, to start off with, a function that I wrote thats supposed to mimic
How to Evaluate Multi-Asset Strategies [Alpha Architect]What are the research questions? Institutional Investors are increasingly allocating to multi-asset strategies (p.17 ) as they seek to access greater diversity, liquidity, and reduced volatility (survey results from Greenwich Associates, 2015). The main research questions of the paper are as follows: Is there ONE correct way to evaluate multi-asset strategies? Which are the most appropriate
Stress Testing an Intraday Strategy Through Monte Carlo Methods [Flare 9x]This is an intraday ES strategy that I was testing for a client. The client was not interested in it due to the low frequency of trades, hence I may post it for others to view. It shows how a strategy was proved through stress testing and looking for optimal conditions to apply the strategy. The steps for strategy development are below: Strategy Development Example Andrew Bannerman