This is a summary of links featured on Quantocracy on Thursday, 07/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Alternative Investment Strategy with Value and Momentum [Alpha Architect]Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction ( We document why high conviction is important for both value and momentum strategies here and here. We document how value and momentum work as a system here. But there is a potential problem: The
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Visualizing Fixed Income ETFs with T-SNE [Quant Dare]In recent articles we were talking about PCA and ISOMAP, as techniques for dimensionality reduction. On this occasion, we put the focus on T-SNE, in relation with visualization and understanding of multidimensional datasets in a low dimension space, where the human eye can find patterns easily. T-SNE was developed in 2008 by Laurens van der Maaten and Geoffrey Hinton. It comprises of two main
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Momentum Rotation 60 Day ROC System Metrics [DTR Trading]It's been a while since my last post. I had planned on writing this particular article about three months ago, but work got in the way of my writing and testing Over the next few weeks I will try to close out this series on momentum rotation using my 60 day ROC example written for AmiBroker. After I finish this series, I will get back to option strategy backtesting I thought it was