Quantocracy’s Daily Wrap for 06/14/2017

I. Trading Strategy Developer: John Ehlers. Source: Ehlers, J., FRAMA: Fractal Adaptive Moving Average. Concept: Trend following trading strategy based on adaptive price filters. Research Goal: To verify performance of the Fractal Adaptive Moving Average (FRAMA). Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Trades: Close[i 1] > Entry_Upper_Band[i 1]. Short Trades:

Purely passive investing is theoretically plausible, but practically impossible. That said, the practical implementations can often be good enough. As a theoretical index investor, you deploy capital, take a long snooze, and wake up some day to consume your portfolio. Unfortunately, the world doesnt work like. Allocations change, life happens, and as we cover in this blog post, there are

We examine whether and to what extent successful equities investment strategies are transferrable to the commodities futures market. We investigate a total of 7 investment strategies that involve optimization and mean-variance timing techniques. To account for the unique characteristics of the commodity futures market, we propose a novel method of classification based on momentum or term structure

Victor Haghani began his career at Salomon Brothers in 1984, starting out in a research role before joining their prop trading desk. In 1992, Victor left Salomon to become one of the founding partners of Long Term Capital Management LTCM was an incredibly successful hedge fund, up until 1998, when it failed in a spectacular fashion. Causing the Federal Reserve to step in and organize a bailout,