This is a summary of links featured on Quantocracy on Wednesday, 03/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Diversification and small account size [Investment Idiocy]I get occasional emails asking me to cover subjects in my blog (keep them coming! I will eventually get round to them). A pretty common one runs something like this: "I understand that diversification over instruments is the best way to improve returns- you trade almost 40 futures markets, and the likes of AHL and Winton trade hundreds. But how can someone with a small account trade enough
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Why Python Algorithmic Trading is Preferred Choice Among Traders [Quant Insti]To survive in the age of robots-it is necessary to learn a programming language that makes your trading algorithms smarter and not just faster. Having knowledge of a popular programming language is the building block to becoming a professional algorithmic trader. It is not just enough if a person has love for numbers. Professionals need to put the logic using numbers into a software program to
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A Closer Look At Ben Graham s “Net Current Asset Value” (NCAV) Rule [Quantpedia]Following Ben Grahams net current asset value (NCAV) rule for stock selection (net net strategy), we provide evidence that buying stocks in companies with per share NCAV greater than the current share price produced superior risk-adjusted returns over the 1975- 2010 period. The risk factors that explain the returns associated with these firms include market risk, market liquidity, a
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Trend Following in February [Wisdom Trading]February 2016 Trend Following: UP +4.24% / YTD: +9.99% Another strong month for the trend following index, with a similar pattern to last month: a near-double-digit spike mid-month to finish close to +5% for the month. The YTD performance is already just 0.01% shy from the double-digit barrier. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart
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Sh** Happens (on Tuesday and Thursday Nights) [Throwing Good Money]This all started over the weekend, when I started wondering about a trade I had going. The trade hadnt hit my profit target on Friday and so carried over through the weekend. I started wondering about day-of-week seasonality and thought Id bust out the old charts and see whats up. Lets take a look at SPY from 2000 through the current date. If we buy on a given weekday at the open
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Has the Value Investing Pain Train Ended? [Alpha Architect]Last year we highlighted what we deemed the value investing pain train. In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a recap of the carnage. In many respects, value investing is a lot like Terry Tate the huge office linebacker that would crush employees who made mistakes. His nickname: the pain train. SAT answer: Terry Tate is
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State of Trend Following in February [Au Tra Sy]The strong January start carries on into February for the State of TF Index. The performance is already in double-digit territory for the Year-To-Date. Please check below for more details. Detailed Results The figures for the month are: February return: 3.59% YTD return: 12.51% Below is the chart displaying individual system results throughout February: StateTF February And in tabular format: