This is a summary of links featured on Quantocracy on Tuesday, 04/02/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Over 90 Years of Golden Crosses (and a look at past drawdowns) [Quantifiable Edges]The SPX made a Golden Cross formation on Monday. A Golden Cross occurs when the 50ma crosses over the 200ma. Having the 50ma above the 200ma is commonly considered a bullish market condition and generally it is. I used my Norgate data and Amibroker software to look back as far as 12/31/1928. Below is a list of all Golden Crosses since then. (Note that prior to 1957, S&P 90 data was used.
Intro to Hidden Markov Chains [Quant Insti]In a situation where you wish to determine the returns on investment, one may have all the expertise to do this but without certain information (missing pieces) it would not be possible to derive to a conclusive figure. In practical terms assume you have the value of all returns of all assets in your portfolio; without the rate at which each asset produces the returns we will not have a true