This is a summary of links featured on Quantocracy on Wednesday, 05/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Extending Historical Daily Bond Data to 100 Years [Quantpedia]Finding a good data source with quality data and long history is one of the greatest challenges in quantitative trading. There definitely are some data sources with very long histories. However, they tend to be on the more expensive side. On the other hand, cheap or free data usually lacks quality and/or has shorter time frames. This article explains how to combine multiple data sources to create
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SPX and Gold Momentum Portfolio [Alvarez Quant Trading]Given the current rise in inflation, there has been a lot more interest in assets that do well during these times. Gold is one asset that is frequently brought up as an inflation hedge. I have also seen more lately about combining these two into a portfolio. Testing Notes The test range is from 1970 to 2021 using $SPX (S&P 500 Index) and @GC (Gold London PM Fix) from Norgate Data. A couple