This is a summary of links featured on Quantocracy on Sunday, 06/12/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Last Two Weeks [Quantocracy]The best quant mashup links for the two weeks ending Saturday, 06/11 as voted by our readers: A Survey of Deep Learning Techniques Applied to Trading [Greg Harris] Diversification Will Always Disappoint [Flirting with Models] Capital correction (pysystemtrade) [Investment Idiocy] Will Bonds Deliver Crisis Alpha in the Next Crisis? [Alpha Architect] The Internal Bar Strength Indicator [Jonathan
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System Parameter Permutation – a better alternative? [Better System Trader]When I wrote my Wagner Award winning paper "Know your System! Turning Data Mining from Bias to Benefit," I had two goals in mind: Introduce a new method to reasonably estimate the long-run expected performance of a trading system, and Provide a simple method for the average system trader to understand and employ the method. I've subsequently realized that the paper's focus
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Strategy Evaluation with Dave Walton [Better System Trader]Today we're covering a topic which can really be a concern for traders of all levels, from beginner to pro, and that is the topic of strategy evaluation. Have you ever found that real-life performance does not match expected results? Or perhaps you have a strategy that is stuck in a drawdown and wondering if it's actually broken? I'm sure we've all heard of data mining bias,