This is a summary of links featured on Quantocracy on Tuesday, 06/19/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Simple Momentum Strategy [Jonathan Kinlay]Momentum trading strategies span a diverse range of trading ideas. Often they will use indicators to determine the recent underlying trend and try to gauge the strength of the trend using measures of the rate of change in the price of the asset. One very simple momentum concept, a strategy in S&P500 E-Mini futures, is described in the following blog post: The basic idea is to buy the
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Are Currently Used Significance Levels for Investment Strategies Too Strict? [Quantpedia]Most papers in the financial literature estimate the p-value associated with an investment strategy, without reporting the power of the test used to make that discovery. This is a mistake, because a particularly low false positive rate (Type I error) may be achieved at the expense of missing a large proportion of the investment opportunities (Type II error). In this paper we provide analytic