This is a summary of links featured on Quantocracy on Wednesday, 06/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to turn off a strategy using historical volatility [Alvarez Quant Trading]A very common question I get, is when should I turn off a strategy? Given the very volatile markets we have had the last few months, I can relate. Some strategies can thrive in these high volatility markets. While others can suffer. In the June 2020 issue of Technical Analysis of Stocks and Commodities, Perry Kaufman writes an article about using the historical volatility of the equity curve