This is a summary of links featured on Quantocracy on Tuesday, 02/26/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Ilya Kipnis’ Defensive Adaptive Asset Allocation [Allocate Smartly]This is a test of Ilya Kipnis Defensive Adaptive Asset Allocation (KDA). KDA is a Meta model of sorts, combining successful elements of multiple other tactical asset allocation strategies that we track. Results from 1989 to the present, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.
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The Extreme Persistence Of The Current SPX Rally [Quantifiable Edges]The last time the SPX closed below its 10-day moving average was January 3rd. That means it has now been 35 straight trading days that SPX has closed above the 10ma. That is a very long streak. Below is a list of all streaks since 1928 of 35 days or longer. (Note: prior to 1957 S&P 90 Index data is used. This is the predecessor to the S&P 500.) 2019-02-26 I have highlighted the