This is a summary of links featured on Quantocracy on Sunday, 05/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
The Edge of Technical Indicators [Philipp Kahler]Classical technical indicators like RSI and Stochastic are commonly used to build algorithmic trading strategies. But do these indicators really give you an edge in your market? Are they able to define the times when you want to be invested? This article will show you a way to quantify and compare the edge of technical indicators. Knowing the edge of the indicator makes it an easy task to select
Systematic trading strategies: fooled by live records [SR SV]Allocators to systematic strategies usually trust live records far more than backtests. Given the moral hazard issues of backtesting in the financial industry, this is understandable (view post here). Unfortunately, for many systematic strategies live records can be even more misleading. First, the survivor bias in published live records is worsening as the business has entered the age of mass
Alternative data for FX [Cuemacro]I recently visited the USA. I managed to visit a number of different cities. Whilst I was there primarily for work, I managed to squeeze in a few days to look around the various cities I visited. I visited Philadelphia for the first time, and I saw Independence Hall and the Liberty Bell, both of which I strongly recommend you see. Im a big foodie (as Im sure you may have guessed by reading