Quantocracy’s Daily Wrap for 04/12/2017

Nearly all research related to algorithmic trading is empirical in nature. That is, it is based on observations and experience. Contrast this with theoretical research which is based on assumptions, logic and a mathematical framework. Often, we start with a theoretical approach (for example, a time-series model that we assume describes the process generating the market data we are interested in)

The Dark Side of ETFs? Sounds interesting, and in my humble opinion, an image of Darth Vader on page 1 would be a great addition to the paper. The paper, Is there a dark side to exchange traded funds? An information perspective, written by Doron Israeli, Charles M. C. Lee, and Suhas A. Sridharan, digs into the details on some implications of higher ETF ownership on individual stocks. The

In the previous post, Simple ConnorsRSI Strategy on S&P500 Stocks, I showed a simple strategy which I optimized which gave 1,300 variations. Today, I will cover various methods to choose a strategy to potentially trade. Goals The goals were to find a variation with over 20% CAR and Max Drawdown under 25%. Know ahead of time what metrics you care about and what values you want is important.

Mebane Faber is the founder and CIO at Cambria Investment Management, where he manages Cambrias ETFs, separate accounts and private investment funds. Hes also authored numerous white papers and five books now, on various investing subjects. Mebs a budding podcaster too, his podcast; The Meb Faber Show. The main reason why I asked Meb to join me for this episode, was to share some simple

In this paper, we propose a gold price index that enables market participants to separate the change in the intrinsic value of gold from changes in global exchange rates. The index is a geometrically weighted average of the price of gold denominated in different currencies, with weights that are proportional to the market power of each country in the global gold market, where market power is