This is a summary of links featured on Quantocracy on Wednesday, 08/01/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
RSI2 Strategy: Double returns with a simple rule change [Alvarez Quant Trading]While playing around with a 2 period RSI (Relative Strength Index) mean reversion strategy, I came up with a very simple rule change with a much larger impact on the results than expected. I doubled the compounded annual growth rate and cut the maximum drawdown in half. That never happens. In my optimization runs the best CAR went from lows 10s to the low 20s with this rule change. The
Consistent Momentum [Sutherland Research]Its been some time since I last posted so what better way to start than by quantifying and exploring a momentum strategy that was first introduced to me by the good guys at Quantpedia (www.quantpedia.com). If you havent heard of this site before, then I encourage you to check it out. For a nominal fee you get access to an incredible array of trading strategies that have been sourced and
Momentum Solutions for Retirement [Dual Momentum]As the surge of boomer retirements continues, commentators have given new thought to what safe withdrawal rates are for retirement accounts. The topic is especially significant given two additional factors. First, retirement balances are shockingly low for boomers (Ghilarducci 2015). Second, market fundamentals do not suggest that either bonds or equities will generate reliably strong rates of