This is a summary of links featured on Quantocracy on Monday, 05/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Tactical Mean-Reversion [Factor Research]The Mean-Reversion factor is driven by volatility Allocating tactically when volatility is high generates an attractive payoff profile The strategy can be considered as a tail risk hedge for equity portfolios INTRODUCTION Our most recent research note focused on the Mean-Reversion factor (please see the report Mean-Reversion Across Markets), which highlighted performance and strategy
An Improved Currency Strength Indicator plus Gold and Silver Indices? [Dekalog Blog]In the past I have blogged about creating a currency strength indicator ( e.g. here, here and here ) and this post talks about a new twist on this idea. The motivation for this came about from looking at chart plots such as this, which shows Gold prices in the first row, Silver in the second and a selection of forex cross rates in the third and final row. The charts are on a daily time scale and
Building A Better Trend Filter [System Trader Success]In this article I will create a trend filter (also known as market mode filter or regime filter) that is adaptable to volatility and utilizes some of the basic principles of hysteresis to reduce false signals (whipsaws). As you may know, I often will use the 200-period simple moving average (200-SMA) to determine when a market is within a bull or bear mode on a daily chart. When price closes above