This is a summary of links featured on Quantocracy on Thursday, 05/28/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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What has Worked in June [Quintuitive]Time to start looking at the next month. Lets start with the top five performing futures (ordered by winning percentage): Future Total Months Winning Months Mean Return Median Return 30-Year Bond 37 68% (25) 9.62% 1.57% Canadian Dollar 37 68% (25) 0.07% 0.53% 10-Year Note 32 63% (20) 9.46% 1.45% Feeder Cattle 37 62% (23) 0.83% 0.
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Basic Factor Analysis: Simple Tools to Understand What Drives Performance [Alpha Architect]Investors should know what they are buying and why they are buying it. Unfortunately, more often than not, investment products are jammed down the throats of unsuspecting victims who are either ignorant, easy to influence, and/or dont really care. We highlighted an extreme example of this in the form of a 3% front-end load, 60bp management fee S&P 500 Index Fu
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Momentum Environments [Systematic Relative Strength]How consistent are Momentum returns? This is among the most frequently asked questions about Momentum (and about any investment strategy for that matter). One way to answer this question is to look at the following table from a white paper published by RBC Capital Markets. According to their research, Momentum outperformed the S&P 500 in every decade since the 1930?s. Yes, the margi
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SPX Iron Condor – High Loss Threshold – 80 DTE [DTR Trading]This post looks at a standard (STD) one-lot iron condor on the S&P 500 Index (SPX), initiated at 80 days-to-expiration (DTE). The results in this post were derived from approximately 3200 individual trades entered by the backtester. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory ar
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Amazing paper related to several momentum strategies [Quantpedia]#2 – Asset Class Momentum – Rotational System #3 – Sector Momentum – Rotational System #8 – FX Momentum #14 – Momentum Effect in Stocks #15 – Momentum Effect in Country Equity Indexes Authors: Geczy, Samonov Title: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks)
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Using Leadership Index to Time S&P 500 [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. Following is code and plots used in RFinance 2015 presentation. We will use a C++ function to compute Lagged Correlations from the Run Leadership Rcpp post. First, lets load historical prices for S&P 500. Please note that we are using current companies in the S&P 500 index and a
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A Statistical Interpretation of Black Scholes [John Orford]I love the tingling sensation when some new idea or revelation becomes clear. Perhaps not 100% clear, but you get close enough that you can almost taste it. That happened to me when I read about the Pythagorean interpretation of special relativity. Nice to understand 20th century physics first in terms of Euclidean space and then make a small jump into Minkowsk
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Moved Quantscript to GitHub [Quintuitive]Quantscript is an old project of mine, which was hosted on google.code. Since google.code is shutting down, I had to either scrap it or migrate it to GitHub. I am not using this code on a daily basis anymore, and since the project is relatively small the natural thing would have been to scrap it. However, I found myself a few times over the years pulling out the source code of the pro
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[Academic Paper] Uncovering Trend Rules [@Quantivity]Uncovering Trend Rules