This is a summary of links featured on Quantocracy on Monday, 02/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Essential Books on Algorithmic Trading [Quant Insti]When you are completely immersed in wanting to learn something new, you start looking for everything that surrounds the learning process. And with the aspiration to learn Algorithmic Trading, there must be certain questions crowding your mind, like: How do I learn Algorithmic Trading? What are the steps to start Algo trading? Which are the essential books on Algorithmic trading? How do I start
Ensembles and Rebalancing [Flirting with Models]While rebalancing studies typically focus on the combination of different asset classes, we evaluate a combination of two nave trend-following strategies. As expected, we find that a rebalanced fixed-mix of the two strategies generates a concave payoff profile. More interestingly, deriving the optimal blend of the two strategies allows the rebalanced portfolio to out-perform either of the two
When The Market Gaps Down Huge During A Long-Term Uptrend [Quantifiable Edges]With corona virus news scaring the market pre-open today, I decided to look back at other time SPY has gapped down more than 2% when it had been in a long-term uptrend. As you might suspect, instances have been fairly rare. Looking ack to SPY inception, there were only 16 other instances. And upping the filter to 2.5%, the instances drop to just 5. (As I type, SPY is indicating 2.4% below