This is a summary of links featured on Quantocracy on Thursday, 05/28/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Performant R Programming: Chunking a Problem into Smaller Pieces [Robot Wealth]When data is too big to fit into memory, one approach is to break it into smaller pieces, operate on each piece, and then join the results back together. Heres how to do that to calculate rolling mean pairwise correlations of a large stock universe. Background Weve been using the problem of calculating mean rolling correlations of ETF constituents as a test case for solving in-memory
-
S&P 500 Dividend Aristocrats [Alvarez Quant Trading]Back in 2018, I wrote a post, Backtesting a Dividend Strategy, which was conceptually based on the S&P 500 Dividend Aristocrats. Just recently, Norgate Data started offering historical constituent data for the S&P 500 Dividend Aristocrats index. This would be a much cleaner version compared to what I was trying to do in my original post. Would using this index produces better
-
SPX Historically Bullish On Thursday After Memorial Day [Quantifiable Edges]Thursday after Memorial Day has been a day that has exhibited a bullish bias for many years. I last showed this on the blog a couple of years ago. The chart below shows updated results. SPX Perfromance on Thursday After Memorial Day Single-day seasonality can certainly be overrun by other forces, but the Thursday after Memorial Day has been a good one for many years. That may be something that