This is a summary of links featured on Quantocracy on Friday, 08/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Simple Moving Average Filter | Trading Strategy [Oxford Capital]I. Trading Strategy Source: Kaufman, P. J. (2013). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Concept: Trend following trading strategy based on Simple Moving Average (SMA) filters. Research Goal: To benchmark the Simple Moving Average (SMA) against the Hull Moving Average (HMA). Specification: Table 1. Results: Figure 1-2. Trade Filter: Long Trades: Fast_SMA[i ? 1]
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SEBI Releases Paper on Algorithmic Trading & Co-Location [Quant Insti]SEBI issued a discussion paper today with inputs from all stakeholders such as investors, infrastructure institutions and intermediary to understand how Algorithmic Trading has led to fairness, concerns and changes in market quality in recent years. It states that more than 80% of the orders placed on most of the exchange traded products are generated by algorithms and such orders contribute to