Quantocracy’s Daily Wrap for 04/20/2015

This strategy goes over JP Morgans SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns with a momentum equity strategy. Its nothing spectacular, but if a large bank markets it, its worth looking at. Recently, one of my readers, a managing director at a quantitative investment firm, sent me a request to write a rotation str

In researching different trading strategies, you will come across simplified reference implementations, whereby your position in an asset is simply the price at a given point in time. Price returns can then be calculated based these prices, which can then be fed into a further calculation such as the Sharpe ratio or other risk-adjusted performance measures in attempt to quantify perform

We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC. This new engine improves the functionality, modularity, and flexibility of plot.xts by building off the framework Jeff Ryan began with quantmod::char

I have combined my recent interests in backtesting and lazy data structures into the "Lazy Backtesting" web app. Pull data straight from Quandl; have it cleaned auto-magically; and code up your strategy's trading rules. It's clean and simple.

Asset returns after cuts in China Bank Reserve Ratio

We examine 2,190 SEC Accounting and Auditing Enforcement Releases (AAERs) issued between 1982 and 2005. We obtain a comprehensive sample of firms that are alleged to have misstated their financial statements. We examine the characteristics of misstating firms along five dimensions: accrual quality, financial performance, non-financial measures, off-balance sheet activities, and market-b

Predicting Material Accounting Misstatements

Fact, Fiction, and Value Investing

Dear visitors, We have launched a new subpage on Quantpedia.com which will contain master lists of tools for quantitative traders. We have started with a comprehensive lists of backtesting software and historical data sources: http://quantpedia.com/Links/Backtesters http://quantpedia.com/Links/HistoricalData We have a good responses on them s

[Part of a series on timing the S&P 500 by using the implied skew index, begin here] Over the previous days, the skew strategy has had improving, but alas, abominable Sharpe ratios. I have finally stumbled upon a recipe which beats the S&P 500 Sharpe over the last quarter of a century (and a less than 1% chance of the strategy being noise).

Modeling Covariance Breakdowns in Multivariate GARCH

Downside Volatility Timing

Portfolio Insurance with Adaptive Protection