This is a summary of links featured on Quantocracy on Monday, 03/16/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Strategies and The Anatomy of A Bear Market [Invest Resolve]The last few weeks have been some of the toughest in recent memory for investors, as we have observed an intense global market selloff that began in late February and continued into early March of 2020 (as of the writing of this report). Equity markets have experienced the steepest losses since 2008, at the depths of the Global Financial Crisis. As fears surrounding the outbreak of the COVID-19
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Bitcoin in a Time of Financial Crisis [Quantpedia]This is the article we had prepared around 1-2 weeks ago (data sample starts in October 2014 and ends on 4th of March 2020). But then coronavirus hit our country (Slovak Republic), and we were doing a lot of crisis management tasks and therefore were not able to publish it on time. Now, after the Bitcoins negative performance between 5th of March and current date, the conclusion of our short
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Vortex Indicator: Trading Strategy Review & Sensitivity Test [Oxford Capital]Developer: Etienne Botes and Douglas Siepman. Source: The Vortex Indicator. Stocks & Commodities, January 2010. Concept: Momentum trading strategy based on Vortex Indicator. Research Goal: Performance verification of momentum signals. Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Setup: Positive Vortex Indicator (+VI) crosses above Negative Vortex Indicator (VI). Short
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EM Debt: To Hold, or Not To Hold? [Factor Research]Hard currency emerging market debt outperformed local currency EM debt since 2013 EM government and corporate debt traded comparably Adding EM debt to a traditional US equity-bond portfolio would have generated only marginal benefits INTRODUCTION Forecasting the short-term outlook for the S&P 500 is like predicting the weather in Scotland. The likelihood of getting it right is not particularly