This is a summary of links featured on Quantocracy on Wednesday, 05/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Getting historical data from MetaTrader [Thiago Marzagao]Getting historical intraday financial data can be a pain, especially for non-US markets. If you have deep pockets you can simply buy the data you need, but for retail investors the cost is prohibitive. If you want historical transaction-level data for the Brazilian stock market, for instance, TickData will sell it to you for about US$ 65000. Hard pass. What to do? I recently learned about an app
-
Strategy Backtesting in Mathematica [Jonathan Kinlay]This is a snippet from a strategy backtesting system that I am currently building in Mathematica. One of the challenges when building systems in WL is to avoid looping wherever possible. This can usually be accomplished with some thought, and the efficiency gains can be significant. But it can be challenging to get ones head around the appropriate construct using functions like FoldList, etc,
-
Different ranking methods for a monthly S&P500 Stock Rotation Strategy [Alvarez Quant Trading]Recently for my own trading, I have been researching rotational strategies on both the weekly and monthly timeframes. The most common indicator that I use for ranking stocks is Rate of Change (ROC) of the closing price. I read about using Rate of Change on the EMA to rank stocks. I liked a small twist on the idea and wanted to know how it compared to what I am using. Then this led me down another
-
A Decade of Cryptocurrencies [Grzegorz Link]It has been almost 11 years since the first official Bitcoin trades in July of 2010. It's price has experienced quite a run. Although controversial, cryptocurrencies have firmly taken hold of the current investing landscape, won hearts and minds of groups of investors, suggesting they are here to stay for longer than many have anticipated. As more data becomes available, it is interesting to
-
Value Investing Still Beats Growth Investing, Historically [Alpha Architect]A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from Morningstar 1 As viewed from this tweet, and is born out in the data for the Russell indices, it appears that Value investing has no edge relative to growth investing over the past 40+ years! 2 So once again its
-
Estimating Fair Value For The 10-Year Treasury Yield [Capital Spectator]The world is awash in efforts to model a theoretical value for the stock market the CAPE ratio, for example. But while the equities hog much of the attention on this front, similar analytics for the worlds most important interest rate are no less valuable. How to begin? Not surprisingly, there are countless possibilities. Alas, time is short. Enter a model that generates a baseline estimate