This is a summary of links featured on Quantocracy on Tuesday, 03/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Monte Carlo Simulation function for your back-test results in R [Open Source Quant]In this post on bettersystemtrader.com, Andrew Swanscott interviews Kevin Davey from KJ Trading Systems who discusses why looking at your back-test historical equity curve alone might not give you a true sense of a strategys risk profile. Kevin Davey also writes on the topic here for futuresmag.com.So i wrote a Monte Carlo-type simulation function (in R) to see graphically how my back-test
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Trading the index with seasonal strategies [ENNlightenment]I recently listened to an interesting interview at Better System Trader with Jay Kaeppel on Seasonality, a topic which I hadnt done much backtesting on previously. Jay outlined 3 rules for constructing a seasonal trading strategy on the stock index: – Stay long the last 4 days and first 3 days of the month (S_EOM) – Stay long the middle of the month, business days 9, 10, 11 (S_MOM) – Stay long