Quantocracy’s Daily Wrap for 04/13/2017

An 18th century British nobleman, Baron Rothschild, was rumored to have made his fortune buying during the panic that followed the Battle of Waterloo against Napoleon. He is behind the often quoted saying "Buy when there's blood in the streets, which he continued even if the blood is your own." This post will share a framework that may identify regimes that benefit from buying

This post will be about pre-processing custom indicators in quantstratthat is, how to add values to your market data that do not arise from the market data itself. The first four parts of my nuts and bolts of quantstrat were well received. They are even available as a datacamp course. For those that want to catch up to todays post, I highly recommend the datacamp course. To motivate this

This is kind of a weird one. I was mulling over the question of what happens when the market opens up, i.e. above its previous close. Is the day likely to be an up day? A down day? I got out my data and started poking around. I looked at all open-up days with an open at least 0.25% above the previous days close. I looked at only days that opened up after a previous close-to-close down

We were recently asked by Aaron Brask, one of our guest bloggers, why we dont provide a job board on our site. Aaron works for several large family offices and he says it is incredibly difficult to find intellectually honest talent. Aaron also pointed out that we have a unique community of savvy, curious, and genuinely engaged readers both on the job seeker side and on the employer side.

Below is a quick look at how the SPX has performed in the past on Holy Thursday. Like the last day before many long weekends, it has shown a bullish propensity over the years. 2017-04-13 The numbers are compelling, and it is especially impressive to see how much the winners have outsized the losers