This is a summary of links featured on Quantocracy on Monday, 08/07/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Measuring Market Divergence for Systematic Trend Following [Golden Compass]In his 2012 book, Nicholas Nassim Taleb defined the term antifragile for representing things that benefit from disorder. When this concept is applied to trading, an obvious example can be seen in the relative outperformance of systematic trend following strategies during market crises. In the CTA and technical analysis domain, divergence is defined as the strength of directional shifts in market
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A Gentle Guide to Global Tactical Asset Allocation [Flirting with Models]Two questions we frequently receive are: what is global tactical asset allocation? and what are style premia (factors)? In this commentary, we aim to provide a very high-level answer to those questions, incorporating as little math or financial theory as possible and avoiding nuanced discussion. This is not meant as a practitioners guide, but simply a very basic introduction. At the
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Iron Condor Results Summary – Part 3 – 2017 Results [DTR Trading]In this article we'll look more deeply at the following iron condor (IC) strategy variations: 38 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking 80 DTE, 25 pt. wings, 20 delta shorts, 100% stop loss, 50% profit taking 80 DTE, 75 pt. wings, 12 delta shorts, 200% stop loss, 50% profit taking These strategy variations appeared to be the strongest based on their metrics, and
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Academic Research Insight: Diagonal Models versus 1/N Diversification [Alpha Architect]In spite of several efforts by researchers to overcome the estimation-risk problem (the use of estimate inputs based on sample information as if they were representative of the true population) which produces the so-called wacky weights, DeMiguel, Garlappi and Uppal (2009) present striking evidence that favors a simple 1/N nave portfolio strategy. The authors challenge the results by