This is a summary of links featured on Quantocracy on Tuesday, 05/03/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Backtesting Strategies with R (h/t algotrading Reddit) [Tim Trice]This book is designed to not only produce statistics on many of the most common technical patterns in the stock market, but to show actual trades in such scenarios. Test a strategy; reject if results are not promising Apply a range of parameters to strategies for optimization Attempt to kill any strategy that looks promising. Let me explain that last one a bit. Just because you may find a strategy
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Get Rich Slowly [Financial Hacker]Most trading systems are of the get-rich-quick type. They exploit temporary market inefficiencies and aim for annual returns in the 100% area. They require maintenance, supervision, and regular adaption to market conditions. Their expiration is often accompanied by large losses. But what if youve nevertheless collected some handsome gains, and now want to park them in a more safe haven? Put the
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Forecast averaging example [Eran Raviv]Especially in economics/econometrics, modellers do not believe their models reflect reality as it is. No, the yield curve does NOT follow a three factor Nelson-Siegel model, the relation between a stock and its underlying factors is NOT linear, and volatility does NOT follow a Garch(1,1) process, nor Garch(?,?) for that matter. We simply look at the world, and try to find an apt description of
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Further dip in April for Trend Following [Wisdom Trading]Another down month for the index, with a slight loss. Two mild down months after two strong up months keep the index in positive territory for 2016. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: WSTF-201604-Index And the 12-month chart: WSTF-201604-Index-12months Below are the summary stats: