This is a summary of links featured on Quantocracy on Thursday, 05/24/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trading the Equity Curve More Ideas [Alvarez Quant Trading]A couple posts ago, I looked at Trading the Equity Curve and found interesting results but nothing that made me decide this works for me. Using the equity curve to decide when to stop trading a strategy just sounds like it should work. But for me it is always about testing. I cannot count how often I thought an idea would help the results only to see them dramatically hurt them. Remember test
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Using Quadratic Discriminant Analysis To Optimize An Intraday Momentum Strategy [Quant Insti]In this post, we will create an intraday momentum strategy and use QDA as a means of optimizing our strategy. Well begin by reviewing Linear Discriminant Analysis or LDA and how it is associated with QDA, gain an understanding of QDA and when we might implement this technique instead of Linear Discriminant Analysis. We will then create our intraday momentum strategy using data on the eMini