This is a summary of links featured on Quantocracy on Thursday, 06/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum Due Diligence [Dual Momentum]Sometimes I get asked how well momentum has done the past year or the past several years. If I am in a snarky mood that day, I'll respond, "What will that tell you?" The truth of the matter is that, in most cases, short-term performance is indistinguishable from noise and cannot tell you anything meaningful. Here are the questions that one should ask instead: 1) Why does momentum
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High Dividend Stocks and Value Investing [Alpha Architect]Barron's recently ran an article (written by Research Affiliates), which is titled "Get Smart About Picking Dividend-Rich Stocks." The article highlights that high-quality high-dividend-paying stocks outperform low-quality high-dividend-paying stocks. The quality of the firm is measured by profitability, financial distress, and accounting red flags. We investigate a Simpler Way to
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One more practical research paper related to #20 – Volatility Risk Premium Effect [Quantpedia]#20 – Volatility Risk Premium Effect Authors: Donninger Title: Hedging Adaptive Put Writing with VIX Futures : The Affenpinscher Strategy Link: http://www.godotfinance.com/pdf/AffenPinscherStrategy_Rev1.pdf Abstract: In a previous working paper I analyzed the Austrian and Doberman Pinscher strategy. The Austrian is an adaptive Put Writing strategy. One hedges the short position wit
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Successful Algorithmic Trading Updated for Python 2.7.x and Python 3.4.x [Quant Start]This is a short update to inform current and prospective readers of Successful Algorithmic Trading that the Python code in the book has been updated to be fully compatible with both Python 2.7.x and Python 3.4.x. In addition I've created a requirements.txt file that allows you to easily install, via pip, the necessary Python packages. I've also checked every file within the code to mak
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Dow Divergences Reaching Historic Levels [Dana Lyons]Since 1929, the Dow Jones Industrial Average has rarely ever been so close to a 52-week high while the Dow Transports AND Dow Utilities were so close to a 6-month low. A few weeks ago, we ran a series on divergences in an attempt to provide some statistical evidence to the debate on this ambiguous topic. Given the attention paid to the Dow Theory (i.e., the relationship between the Dow
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RUT Iron Condor – High Loss Threshold – 80 DTE [DTR Trading]This post looks at a standard (STD) one-lot iron condor on the Russell 2000 Index (RUT), initiated at 80 days-to-expiration (DTE). The results in this post were derived from approximately 3200 individual trades entered by the backtester. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article f