This is a summary of links featured on Quantocracy on Tuesday, 08/11/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Vectorised Backtest in R [Quants Portal]In the previous 3 articles I discussed backtesting a trading strategy in Excel using the vectorised methodology. This article will cover the same strategy but in R. This article is more of a supplement to the already published article by Joshua Ulrich on FOSS Trading and is for readers looking for more examples. Before we get started, Id like to point out how
-
Update on the MOOC Machine Learning for Trading [Augmented Trader]If you want to be sure to be notified about enrollment opportunities, please sign up to follow my blog. I will post that information on this blog. The old course Weve had four very successful sessions of my MOOC Computational Investing, Part I at Coursera. The Coursera run included over 170,000 students with a 5% completion rate. The Coursera course f
-
War and the Markets [Factor Wave]This post is based on an article I wrote for Active Trader Magazine. "Buy to the sound of cannons, sell to the sound of trumpets." -Lord Nathan Rothschild, 1810 The Rothschilds were one of the worlds richest families and formed a modern financial dynasty. In 1815 they were rumored to have made a fortune when they used a carrier pigeo
-
When do equity anomalies have the highest return? During earnings announcements… [Quantpedia]Authors: Engelberg, McLean, Pontiff Title: Anomalies and News Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2631228 Abstract: Using a sample of 97 stock return anomalies documented in published studies, we find that anomaly returns are 7 times higher on earnings announcement days and 2 times higher on corporate news days. The effects are similar on both the long and short
-
Dual Momentum August Update [Scott’s Investments]Scotts Investments provides a free Dual ETF Momentum spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonaccis book, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, also details Dual Momentum as a total portfolio strategy. My