This is a summary of links featured on Quantocracy on Thursday, 06/30/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Can a simple Market Internals technique actually improve trading strategy results? [Better System Trader]In my 10+ years full-time trading career, I have found very few tools and tactics that would get my attention so deeply as Market Internals. In 2014, I spent about 6 months in a row with this unique traders tool, exploring its possibilities every single day, searching for new and creative implementation ideas for my own automated trading systems (ATSs). With a real obsession with this concept,
-
The Case for Momentum in Expensive Markets [EconomPic]Charlie Bilello, one of my favorite follows on Twitter, analyzed the relationship between market valuation and future returns (over various time horizons) in a recent post Valuation, Timing, and a Range of Outcomes. The post contained some very insightful tables, such as the one below, where he shows that valuations matter… if you pay less for stocks, you will generally be provided with higher
-
Questioning Everything You Knew about Asset Allocation [Alpha Architect]Is a 100% stock allocation crazy? As long as one addresses their needs for liquidity (as to avoid extracting capital from the markets at bad times) and can tolerate the market price volatility, a 100% or near-100% allocation to equities is not as outlandish as one might suspect. Focusing on fundamentals and valuations instead of market prices should alleviate much of the unnecessary concern with