This is a summary of links featured on Quantocracy on Sunday, 03/24/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trading 0DTE Options with the IBKR Native API [Robot Wealth]Heres a thing that I suspect will make money, but that I havent yet tested (for reasons that I will explain shortly): Every day, at the start of the trading day, get the SPX straddle price and convert it to an expected SPX price move. Then at the end of the trading day, take the SPX price and calculate if it moved more or less than the straddle implied. Aggregate this over a few days the
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Macro trends and equity allocation: a brief introduction [SR SV]Macroeconomic trends affect stocks differently, depending on their lines of business and their home markets. Hence, point-in-time macro trend indicators can support two types of investment decisions: allocation across sectors within the same country and allocation across countries within the same sector. Panel analysis for 11 sectors and 12 countries over the last 25 years reveals examples for
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Tracking Error is a Feature, Not a Bug [Alpha Architect]The benefits of diversification are well known. In fact, its been called the only free lunch in investing. Investors who seek to benefit from diversification of the sources of risk and return of their portfolios must accept that adding unique sources of risk means that their portfolio will inevitably experience what is called tracking errora financial term used as a measure of the