This is a summary of links featured on Quantocracy on Sunday, 04/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Presenting the Keller Ratio [TrendXplorer]Many traditional return to risk measures are not apt for intuitive interpretation The Keller ratio is expressed as an adjusted return and therefore easy to interpret The Keller ratio allows for strategy selection optimally aligned with an investors risk appetite In our VAA-paper we introduced a new metric for assessing a portfolios equity line in terms of the reward to risk relationship:
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Reversal Patterns: Part 1 | Trading Strategy (Exits) [Oxford Capital]Developer: Richard Wyckoff; Toby Crabel. Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Trading strategy based on reversal patterns. Research Goal: Performance verification of reversal patterns. Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Setup: A price move below a Demand Pivot
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A SPY Setup Suggesting A Short-Term Upside Edge [Quantifiable Edges]Fridays action caused SPY to close in an interesting position. Traders could look at the chart and say it is short-term oversold due to the fact that it closed at a 5-day low for the 1st time in a while. They might also say it is short-term overbought since it closed above its 10-day moving average. I have found that edges often arise when something is overdone in one timeframe, but