This is a summary of links featured on Quantocracy on Wednesday, 06/17/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-following, volatility targeting and Ensembles for Bitcoin [Beat Passive]Today well incrementally build a strategy using trend-following, volatility targeting, and ensemble models and well use Bitcoin as our use-case. Why bitcoin? Because its a maddening asset-class thats extremely volatile over short periods of time and seemed like a fun place to test these concepts. You might be thinking: an investing strategy for bitcoin is such a cop out, of course
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What is the difference between Extra Trees and Random Forest? [Quant Dare]Extra Trees and Random Forest are two very similar ensemble methods and often a doubt arises as to whether to use one or the other. What is really the difference between them? In previous posts, Random forest: many are better than one, we have seen how to create a Random Forest from decision trees and how they improve their performance. Furthermore, if you want more information about simple
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ReSolve Riffs on Gold vs Treasury as Disaster Protection [Invest Resolve]This is ReSolves Riffs live on Youtube every Friday afternoon to debate the most relevant investment topics of the day. The recent pandemic-led selloff has once again highlighted the importance of having ballast in portfolios to deal with extreme equity volatility and ultimately protect investors from disastrous outcomes. This week we discussed: Whether bonds can continue to