This is a summary of links featured on Quantocracy on Friday, 04/08/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Even bad strategies will perform well [Flirting with Models]Summary Following even the best practices in investing can go against us in the short run. Volatility in short-term performance is necessary for the long run outperformance opportunity to exist. However, the opposite also holds true: a strategy that will underperform over the long run should also go through fits of outperformance. Performance, therefore, can be a very misleading statistic when it
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Bollinger Bands | Trading Strategy (Setup) [Oxford Capital]Developer: John Bollinger (Bollinger Bands). Concept: Trend-following trading strategy based on Bollinger Bands. Research Goal: Performance verification of the 3-phase model (long/short/neutral). Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Trades: Close[i ? 1] > Upper_Band[i ? 1]. Short Trades: Close[i ? 1] II. Sensitivity Test All 3-D charts are followed by 2-D
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Alpha or Assets [Investor’s Field Guide]More and more investors are buying factor based strategies which invest using measures like valuation and low volatility, but the most popular strategies are applying factors in the wrong way. Strategies should be built for alpha, not scalebut the asset management industry has gone in the opposite direction. Most factor-based strategiescommonly called Smart Betahave hundreds of
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Chasing the Momentum-Burst Unicorn [Throwing Good Money]A reader of my blog, Matt B., commented recently on an old post Id written about momentum bursts. Like me, Matt was intrigued by the short 3 to 5-day momentum bursts he saw described time and again on Pradeep Bondes stockbee site. Those bursts look so pretty, so elegant, and more to the point: so profitable. My previous research felt a little like banging my head against the wall. Trading on