This is a summary of links featured on Quantocracy on Monday, 03/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Revenge of the Stock Pickers [Robot Wealth]To say were living through extraordinary times would be an understatement. We saw the best part of 40% wiped off stock indexes in a matter of weeks, unprecedented co-ordinated central bank intervention on a global scale, and an unfolding health crisis that for many has already turned into a tragedy. As an investor or trader, what do you do? You manage your exposures the best you can, dial
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Range Bound Trading Strategy [Milton FMR]The following system helps you identify range bound formations and when to enter and exit such trades. Range bound formations occur when prices bounce back and forth establishing a nearly identical pattern of highs and lows. An upper resistance and lower support level is created. A key point to observe is the recognition of these range bound patterns which have the common characteristic that
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An Empirical Challenge for Trend-Following [Alpha Architect]There is ample evidence in the literature that stock past returns predict future returns. One of the most comprehensive studies is Moskowitz et al. (2012), which shows that time-series momentum (TSM) is everywhere (they test it on 55 assets). 1 Later studies confirmed the results on even a broader set of asset classes and time periods (here and here). At the same time, other studies question the
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Get Every Learning Resource and Trading Strategy Robot Wealth Has Ever Released – Offer Ends FridayThe World Has Changed Massively. In these uncertain times, NOW is the time to build the skills and network you need to profit from home. Level up in Lock down! For one time only we're inviting you to GET EVERY LEARNING RESOURCE AND SYSTEMATIC TRADING STRATEGY ROBOT WEALTH HAS EVER RELEASED! Are you going to binge on another Netflix show, or are you going to future-proof your earning capacity
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Thou Shall Not Short the VIX [Factor Research]The VIX has not remained at high levels for long in recent times, theoretically making a mean-reversion strategy attractive However, there were periods historically where volatility stayed elevated for years Furthermore, the VIX is not a tradeable index and related products should be viewed with caution INTRODUCTION Scratching the surface of most peoples knowledge often does not reveal depth,
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One Hedge to Rule Them All [Flirting with Models]About two years ago, we compared and contrasted different approaches to risk managing equity exposure; including fixed income, risk parity, managed futures, tactical equity, and options-based strategies. Given the recent market events as the world navigates through the COVID-19 crisis, we revisit this analysis to see how these strategies would have fared over the past two years. We find that all