This is a summary of links featured on Quantocracy on Sunday, 04/26/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Blast Buy & Hold with this simple Bollinger Band strategy [Better System Trader]In Episode 4 of the Better System Trader podcast, Nick Radge discusses some trading ideas hes used to create profitable systems. He mentions a Bollinger Band idea which is also published in his book Unholy Grails. Nick says: the strategy that we did test and showed very promising results was an entry using a Bollinger band and an exit using the opposite Bollinger band, but we use 3 standard
-
Academic Finance Research [Alpha Architect]Asset Allocation: Is it better to allocate portfolios to factors rather than to assets? (Cocoma, Czasonis, and etal) Tactical Asset Allocation with Market Valuations: Cant even beat the simple 60/40 rule?? (Estrada) More on Smart Beta ETFs: How Smart are Smart Beta ETFs? Analysis of Relative Performance and Factor Timing (Glushkov) Are Smart Beta ETFs a Threat to Active Fund
-
Do Iron Butterflies Need to be Adjusted? [DTR Trading]This post will be a quick diversion from the iron condor posts. You may have noticed on my Twitter feed that I have been running backtests on iron butterflies, straddles, and strangles, using a range of entry and exit criteria. Today we will take a look at some statistics of a medium term, 43 days to expiration (DTE), iron butterfly on the SPX, to see how different wing widths and exits impact the
-
What Works Best? Update [CXO Advisory]Weve updated What Works Best? to incorporate some recent research summaries and adjust interpretation of the body of research.