This is a summary of links featured on Quantocracy on Monday, 07/27/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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One way to beat the market? Be different! [Alpha Architect]This study was inspired by Ben Carlsons blog post a few months ago. Ben highlights Robert Hagstroms book The Warren Buffett Portfolio. The high level question is the following: How can one beat the market? Answer: To beat the market, you have to be different than the market. One simple way to do this is to hold a small number of stocks. But is
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Improve the Simple Gap Strategy Part 4 [System Trader Success]In the last article of this series, Improving The Simple Gap Strategy Part 3, I tested a price-based filter on the in-sample data. This filter was based upon the price action of the previous trading day. During this test we discovered that if the previous trading day was a down-day we could open a Simple Gap trade today. On the other hand, if the previous trading day was an up-day we sh
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The Media and Stock Returns [Factor Wave]I recently had a disagreement with a trader friend. He said CNBC has become a waste of time to have on. I said it has always been a waste of time to have on. His point was that there are times when has been able to give him ideas about what stocks to follow. He thought it was self-evident that stocks that were in the news would outperform the market. My guess was that it was all just ra
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Momentum vs Moving Averages [Flirting with Models]Summary Trend-following is one of the oldest investment methods Labeled as technical analysis, trend-following went largely un-researched by academics Research of cross-sectional momentum exploded after Narasimhan Jegadeesh and Sheridan Titman published their seminal 1992 study, but time-series momentum remained largely ignored until after 2008
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Low Vol vs High Beta Premium [John Orford]Low volatility stocks are better than those with high betas, right? Wrong! Completely and utterly wrong. High betas are costlier because as not-very-many point out – convexity or gamma is important! When the S&P is doing well the high beta index has a beta of 1.84 and when it's doing badly, 1.81. A +0.025 spread. It's a sm
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SPX Strangle – High Loss Threshold – 73 DTE [DTR Trading]This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 73 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. Other 73 DTE variations will be posted on my Twitter feed, @DTRTrading. For background on the setup for the backtests, as well as the nomenclature u