Quantocracy’s Daily Wrap for 04/11/2016

The best quant mashup links for the two weeks ending Saturday, 04/09 as voted by our readers: Build Better Strategies! Part 4: Machine Learning [Financial Hacker] Momentum for Buy-and-Hold Investors [Dual Momentum] A Monte Carlo Simulation function for your back-test results in R [Open Source Quant] Even bad strategies will perform

Many asset management decisions are based on the three-year track record. Three-years is suspiciously close to a common rule-of-thumb for calculating statistics, but in this case, it is a misapplication. With many strategies, short-term luck swamps long-term skill. Combining strategies can reduce the risk of making investment decisions based on results driven by luck. This makes it easier to

Pretty obviously, he had been making creative use of the "money management" techniques so beloved by futures systems designers. I invited him to consider how it would feel to be trading a 1,000-lot E-mini position when the market took a 20 point dive. A $100,000 intra-day drawdown might make the strategy look a little less appealing. On the other hand, if you had already made millions of

I've never been a discretionary trader, but I have spent the last 10 years doing quant work: modeling, information extraction, and automation. I know the areas where quantitative methods are weakest. It seems sensible for discretionary traders to focus on these areas instead of struggling in areas where quantitative methods are well-suited: 1. Don't Use Price Data Don't focus on

In our previous post on Machine learning we derived rules for a forex strategy using the SVM algorithm in R. In this post we take a step further, and demonstrate how to backtest our findings. To recap the last post, we used Parabolic SAR and MACD histogram as our indicators for machine learning. Parabolic SAR indicator trails price as the trend extends over time. SAR is below prices when prices

You can find registration information and agenda details on the conference website. Or you can go directly to the Cvent registration page. Note that registration fees will increase by 50% at the end of early registration on May 6, 2016. The conference will take place on May 20 and 21, at UIC in Chicago. Building on the success of the previous conferences in 2009-2015, we expect more than 250

In this article I will test a variety of different momentum indicators which can be used to build a long only equity portfolio which has historically outperformed the market. To begin with, we need a baseline momentum strategy Baseline Momentum Strategy Rank stocks in the S&P500 by order of 1 Year Rate of Change %. Buy the top 20 strongest stocks. Exit a position if the stock falls out of

In my last post, Yahoo Data and Momentum Rotation – Analysis of 2015 Data, the big take away was the importance of performing a full download / update of historical data before generating your signals. This is particularly important when using dividend adjusted data, which is typical for most equities and ETFs. The dividend adjustments need to be reflected in the entire series for a particular

Here we are four months into 2016 and Ive not updated some of the more interesting articles. One of those is Connors 2-period RSI strategy. This is a very popular trading method by Larry Connors and Cesar Alvarez. We all know there are no magic indicators but there is an indicator that certainly acted like magic over several decades. What indicator is it? Our reliable RSI indicator. The