This is a summary of links featured on Quantocracy on Wednesday, 04/08/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The other way around: from correlations to returns [Quant Dare]In one way or another, most quantitative models somehow seek to find and exploit relationships between two or more series of returns. Therefore, the usual pipeline has a time-series go through mathematical procedures which condensate in a couple of figures meaningful information: the expected mean, volatility, drawdowns, runups, correlations, among others. That is, the space of returns, large and
-
Daily vs. Monthly Trend-Following Rules…Plus Some DIY Tools! [Alpha Architect]Trend-following strategies are a lot like stock-picking strategies there are endless approaches and varying levels of complexity. In this short piece, we explore the decision related to implementing basic trend-following strategies on either a daily or a monthly basis. Many traders intuitively believe that daily data is better than monthly data. Is this belief justified? Like most things in