This is a summary of links featured on Quantocracy on Wednesday, 06/08/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Capital correction (pysystemtrade) [Investment Idiocy]This post is about how should you adjust the trading capital you have at risk given the profitability (or not) of your trading account. I'm posting this for three reasons. Firstly it's a pretty important topic. I address, in some detail, how to set your risk target for a given amount of trading capital in chapter 9 of my book. I only briefly discuss what you should do thereafter, once
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Random Asset Allocation in the ASX200 [Ryan Kennedy]To paraphrase the old adage; "a monkey throwing darts will outperform most fund managers". I have seen this concept explored several times in relation to the SP500, but I was interested to see if it had any relevance to the ASX200. Our monkey with darts will be a random number generator, selecting 10 stocks to buy from the XJO in equal weight. We test with $100,000 of capital. Benchmark
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Trend Model via Difference Between Long and Short-Term Variance [Quantpedia]We relate the performance of trend following strategy to the difference between a long-term and a short-term variance. We show that this result is rather general, and holds for various definitions of the trend. We use this result to explain the positive convexity property of CTA performance and show that it is a much stronger effect than initially thought. This result also enable us to highlight