This is a summary of links featured on Quantocracy on Tuesday, 06/02/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Petra on Programming: The Correlation Cycle Indicator [Financial Hacker]The previous article dealt with indicators based on correlation with a trend line. This time well look into another correlation-based indicator by John Ehlers. The new Correlation Cycle indicator (CCY) measures the price curve correlation with a sine wave. This works surprisingly well not for generating trade signals, but for a different purpose. Ehlers published the indicator together with
-
How I Explain Crappy Returns [Alpha Architect]Diversification. It looks great on paper, but for the past ten years, being globally and Factor diversified has been anything but great. Understandably, many diversified investors are looking at their returns and wondering why they should follow such a strategy when the S&P 500 which costs almost nothing has performed so well. To answer this question, lets come back to my
-
Machine learning is simply statistics – part 2 [Eran Raviv]Another opinion piece. If you cant explain it simply you dont understand it well enough. (Albert Einstein) Rant in progress A bit on Deep Learning What is so deep about deep learning? Nothing. There is nothing deep about it. If you read through the excellent Deep Learning book you can see (p. 167 in my copy) that a deep learning model with say three layers, omitting dependency on parameters,
-
Working with Tidy Financial Data in tidyr [Robot Wealth]Holding data in a tidy format works wonders for ones productivity. Here we will explore the tidyr package, which is all about creating tidy data. In particular, lets develop an understanding of the tidyr::pivot_longer and tidyr::pivot_wider functions for switching between different formats of tidy data. In this video, youll learn: What tidy data looks like Why its a sensible approach
-
How to Get (Almost) Free Tick Data [Black Arbs]Access to high quality, cost effective market data is a continuing problem for retail traders. I was recently told about the ongoing efforts of the startup brokerage Alpaca. The gentleman I spoke with said the API gave access to the tick data of thousands of stocks everyday and without cost. I thought it was too good to be true but recently I took a little bit of time to investigate. In this
-
Is value dead? Has the story changed? No. [Alpha Architect]Although there is widespread agreement that systematic value strategies have turned in at least a decade of underperformance, there is little agreement as to the underlying cause or cause(s). However, a number of rationalizations and critiques have emerged that question the long term viability of value strategies. The authors address in detail the relevant research or empirically test each of the
-
Mean Reversion Strategies in Python (Course Review) [Black Arbs]In this post I will be reviewing the course Mean Reversion Strategies by Dr. E.P. Chan ( His research and publications have garnered widespread appreciation, over the years. Unfortunately for Python programmers most of his past research was done in Matlab. Matlab was a very popular tool for researchers at one point but has been overtaken by the ubiquity of the Python programming language. So