This is a summary of links featured on Quantocracy on Tuesday, 02/27/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replacing the 40 with qrvx, in R [Babbage9010]Select portions of quant_rv can be combined to craft a new strategy (qrvx) that provides positive returns, negative correlation to SPY and crisis alpha, making it nice for combining with SPY (like a 60/40 combo) to create strong returns with low drawdowns. In my last Replacing the 40 post, we coded a trend strategy based on the blog post by Elliot Rozner of the same title, and replaced the