This is a summary of links featured on Quantocracy on Thursday, 03/04/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Does it make sense to change your trading behaviour in different periods of volatility? [Investment Idiocy]A few days ago I was browsing on the elitetrader.com forum site when someone posted this: I am interested to know if anyone change their SMA/EMA/WMA/KAMA/LRMA/etc. when volatility changes? Let say ATR is rising, would you increase/decrease the MA period to make it more/less sensitive? And the bigger question would be, is there a relationship between volatility and moving average? Interesing I
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Momentum Factor Investing: What’s the Right Risk-Adjustment? [Alpha Architect]The momentum factor represents one of our core investment beliefs: buy winners. So when research presents itself that may contradict our beliefs it provides the opportunity to dig deeper and think harder about the factors we hold so dearly. Erik Theissen and Can Yilanci begin their paper by warming us up to the idea that momentum does outperform, and when measured on a portfolio level
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Adding candlesticks to mean reversion setup [Alvarez Quant Trading]My preferred chart style is a candlestick chart but I have never investigated candlestick formations to see if they can help provide an edge in my trading. I recently ran into this blog post, Do Candlesticks Work? A Quantitative Test Of 23 Candlestick Formations, where he did his own investigation. Even better he shared the code for the formations in AmiBroker which would make it a lot easier. You