This is a summary of links featured on Quantocracy on Sunday, 05/31/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Online Portfolio Selection: Pattern Matching [Hudson and Thames]Pattern matching locates similarly acting historical market windows and makes future predictions based on the similarity. They combine the strengths of both momentum and mean reversion by exploiting the statistical correlations of the current market window to the past. In the following blog post, we will examine three variations of Correlation Driven Nonparametric Strategies strategies:
-
The Livermore System: Part 1 | Trading Strategy (Filters) [Oxford Capital]I. Trading Strategy Source: Kaufman, P. J. (2020). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Concept: Momentum trading strategy based on Jesse Livermores approach to swing trading. Research Goal: Performance verification of Swing Filter and Penetration Filter. Specification: Table 1. Results: Figure 1-2. Trade Entry/Exit: Table1. Portfolio: 42 futures markets from