This is a summary of links featured on Quantocracy on Sunday, 06/28/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Week [Quantocracy]The best five links of the week ending Saturday, 06/27, as voted by our readers: Interview with Ernest Chan [Better System Trader] Think MPT Doesnt Work? Clearing Up Some Misconceptions [CSS Analytics] Creating an Open Source Hedge Fund Strategy [Quants Portal] Losing Streak Indicator [System Trader Success] A Random Ass Kicking
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Interview with Andreas Clenow [Better System Trader]Andreas Clenow is a hedge fund manager who specialises in developing and trading quantitative strategies across all asset classes. He is currently a principal at ACIES Asset Management, which he joined after having successfully established his own hedge fund. Prior to his role as a hedge fund trader he had a lightning career with Reuters, where he, as Global Head of Equity
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Lazy Backtesting Update [John Orford]The S&P Dow Jones data source is now available to use in the Lazy Backtesting IDE. All manner of interesting investable strategies and asset classes, including volatility and retirement date targeting; Vix contango & backwardation and other quant-style strategies; which you can combine, repurpose and benchmark against. Other than that, there is an ever growing
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Bad Breadth Milestone A Warning For Stocks? [Dana Lyons]Weve been discussing the weakening market breadth recently, especially as it pertains to New Highs vs. New Lows. Again, our contention is that the more stocks participating in a rally, the healthier the rally is. The most recent example of this weak breadth was Wednesdays post on the fact that Nasdaq New Highs-New Lows have not hit a 52-week high in over 400 days. Today brings another