This is a summary of links featured on Quantocracy on Wednesday, 03/15/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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TAA Strategy Combining Risk Parity & Trend Following [Allocate Smartly]This is a test of a tactical asset allocation strategy from the excellent paper: The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation (1). The strategy combines two important tools: trend-following (to determine what assets to hold) and risk parity (to determine how much of each asset to hold), to produce one of the least volatile strategies that we track.
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Simple ConnorsRSI Strategy on S&P500 Stocks [Alvarez Quant Trading]A frequently asked question is how I pick which variation from an optimization run to trade. This post will cover a ConnorsRSI strategy on S&P500 stocks. We will use a wide range on the parameters to give us lots choices to be used in the next post. I the next post, I will show how I take the results and narrow it down to one potential variation to trade. And then the final post, I will cover
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Vix And Fed Rate Decision Announcments [Voodoo Markets]Since today is Fed day, i thought id take a look at how rate decisions have affected Vix. Vix data starts from early 90s so well have start from there. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 import quandl import pandas as pd import numpy as np import matplotlib.pyplot as plt import seaborn as sns import datetime as dt from pandas.tseries.offsets import *