This is a summary of links featured on Quantocracy on Tuesday, 07/07/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Market Return Around the Clock [Alpha Architect]Get your popcorn ready, the quants are about to do battle As with all good questions in academic research, there are two sides to the story. We recently published Matthew Bartolinis blog post explaining the impacts of trading costs on the Overnight Return Anomaly. This paper, takes the opposing view, providing evidence that equity market returns are positive overnight and close to zero
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The Livermore System: Part 2 | Trading Strategy (Filters) [Oxford Capital]Source: Kaufman, P. J. (2020). Trading Systems and Methods (Chapter 5: The Livermore System). New Jersey: John Wiley & Sons, Inc. Concept: Trading strategy based on Jesse Livermores approach to swing trading with DeMark pivots. Research Goal: Performance verification of Pivot Size and Penetration Filter. Specification: Table 1. Results: Figure 1-2. Trade Entry/Exit: Table1. Portfolio: 42