This is a summary of links featured on Quantocracy on Thursday, 08/01/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Robust Moving Average [Eran Raviv]Moving average is one of the most commonly used smoothing method, basically the go-to. It helps us detect trend in the data by smoothing out short term fluctuations. The computation is trivial: take the most recent k points and simple-average them. Here is how it looks: Moving average example with k= 24 (simulated data) moving average As you can see we have a few points which are stretched out.
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Tactical Asset Allocation in July [Allocate Smartly]This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what we do or let AllocateSmartly help