This is a summary of links featured on Quantocracy on Friday, 04/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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The most overlooked aspect of algorithmic trading [EP Chan]Many algorithmic traders justifiably worship the legends of our industry, people like Jim Simons, David Shaw, or Peter Muller, but there is one aspect of their greatness most traders have overlooked. They have built their businesses and vast wealth not just by sitting in front of their trading screens or scribbling complicated equations all day long, but by collaborating and managing other
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A Simple Mean Reversion Stock Trading Script in C# [Trevor Thackston]Python is not the only language In the past, Ive published stories on Medium showing how to write algorithms that trade stocks based on company fundamentals and how to run a technical analysis day trading algorithm in the cloud. Both of those articles assumed that: Python was the language the reader wanted to use. You had access to an Alpaca brokerage account and could therefore use Polygons
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Low Volume At Highs Does Not Provide The Short-Term Bearish Edge It Once Did [Quantifiable Edges]Years ago, strong overbought readings during an uptrend were easily sold especially when volume came in very light. But that has not held true in recent years. There were several studies I examined last night that noted the low volume, but they have all lost their edge over the last several years. An example can be seen in the chart below, which is representative of the results I was seeing.
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Tests of Constant and Variable Acceleration Model Kalman Filters [Dekalog Blog]In my last post I said that this next post would report the results of tests on a Constant Acceleration model Kalman filter, and the results are: fail, just like the Constant Velocity model, so I won't bore readers with reporting the details of the failed tests. However, tests of a Variable Acceleration model have been more successful, and so this post is about the results of tests on this
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State of Trend Following in March [Au Tra Sy]Slightly negative result for the State of Trend Following last month, leaving the YTD number in slight positive territory. Please check below for more details. Detailed Results The figures for the month are: March return: -0.22% YTD return: 2.55% Below is the chart displaying individual system results throughout March: StateTF March And in tabular format: System March Return YTD Return BBO-20