This is a summary of links featured on Quantocracy on Thursday, 04/23/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Paul Novell’s Flagship Strategy SPY-COMP [Allocate Smartly]This is a test of the flagship proprietary strategy from Paul Novells Investing for a Living. Paul has been kind enough to share his strategy rules to allow for independent verification of his results. SPY-COMP is like Growth-Trend Timing and a handful of other tactical strategies we track, in that it considers trends in both prices and key economic indicators to switch between risk and
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Trend Following is Everywhere [Alpha Architect]Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend following its worth your time to review Alpha Architects white paper on trend following here. TSMOM is measured by a portfolio that is long assets that have had recent positive returns and short assets that have had
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Trend Analysis using Open Interest, Rollover and FII/DII Activity in Python [Quant Insti]The first quarter of 2020 has been one of the most challenging times in the post World War II era. The crash in oil prices due to geopolitical reasons and the COVID-19 global pandemic were the dominant themes. Financial markets act as bellwethers and give us a reflection of the overall sentiment for the world economy. These sentiments are reflected not only in the price but also in other metrics
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Brent Oil Price Time-Series in Python with 1-Minute Data Sampling [Quant at Risk]Recent actions in WTI Futures pricing on Apr 20, 2020 caused my curiosity to have a deep look at intraday crude oil price time-series. With no surprise, I couldnt find any free and effortlessly available dataset on the Internet. This is a common problem for lots of quants and data analysts: conducting your own research over financial markets you are doomed to download and use daily data. The
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The Pandemic Portfolio – Risk Parity, Convexity, and Multi-Asset Factors in Extreme Markets [Invest Resolve]How long will the recession last? How deep will it be? What are the long-term implications for the economy, markets, and society? The global pandemic has ushered in a period of extreme uncertainty and investors are left with too many unanswered questions and afraid for their portfolios. Where do we go from here? In this episode, the ReSolve team begins with an examination of some of the