This is a summary of links featured on Quantocracy on Wednesday, 07/14/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Volume Positive Negative Indicator for Breakouts [Alvarez Quant Trading]Probably like a lot of you, I am an indicator junkie. Whenever I read about an indicator I have not tested and makes some sense, I got to try it out. Now, most of the time they turn out to not be useful for my strategies. While reading the April 2021 Technical Analysis of Stocks & Commodities, I came across an article about Volume Positive Negative (VPN) Indicator for detecting high-volume
Metalabeling and the duality between cross-sectional and time-series factors [EP Chan]Features are inputs to supervised machine learning (ML) models. In traditional finance, they are typically called factors, and they are used in linear regression models to either explain or predict returns. In the former usage, the factors are contemporaneous with the target returns, while in the latter the factors must be from a prior period. There are generally two types of factors:
Moving Average Bands [Financial Hacker]Compared to plain indicators, bands have the advantage that they look more colorful on charts. And they offer more lines to trigger trade signals. In this way, bands beat any old single-line indicator hands down. This was also noticed by Vitali Apirine, who invented in the Stocks&Commodities August 2021 issue a new sort of bands. Vitalis Moving Average Bands are like Bollinger Bands without