This is a summary of links featured on Quantocracy on Saturday, 07/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to build a Bitcoin Sentiment Analysis Strategy [Augmento]TL;DR: We built a profitable Bitcoin sentiment strategy yielding 2400% returns over 24 months. Adding trading fees made the strategy more realistic while finding optimal sentiment combinations and window sizes increased returns dramatically. In the previous article, we described how to build a strategy based on Augmento Bullish and Bearish Bitcoin sentiment, and backtested it on Bitmex XBTUSD. The
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The mighty long-long trade [SR SV]One of the most successful investment strategies since the turn of the century has been the risk-parity long-long of combined equity, credit and duration derivatives. In a simple form this trade takes continuous joint equal mark-to-market exposure in equity or credit and duration risk. A simple passive portfolio in the G3 would have outmatched most macro hedge funds since 2000, with a Sharpe
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Enhancing the Performance of Momentum Strategies [Alpha Architect]In Your Complete Guide to Factor-Based Investing, Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or absolute, trend following) momentum, not only increases the explanatory power of asset pricing models while providing (historically) a premium, but that the premium has been persistent across time and economic