Quantocracy’s Daily Wrap for 08/12/2015

In May 2015, Huseyin Gulen and Ralitsa Petkova published "Absolute Strength: Exploring Momentum in Stock Returns" (SSRN). In the paper they outline their new concept of absolute strength momentum. Momentum, in its traditional form, was a relative strength concept. Momentum took the cross-section of returns across securities, bough the "winners" and sold the "

I landed in a town in Western Sumatra called Padang a few days after an earthquake hit. 7 or 8 on the Moment Magnitude scale. Just as in finance there are various ways of measuring quakes. The Richter scale measures ground motion whereas the more modern Moment Magnitude scale measures energy released. In any case my favourite measure of earthquake size is the n

I. Trading Strategy Concept: Short-term momentum pattern with trend filter. Source: Hill, J. R. (1977). Stock & Commodity Market Trend Trading by Advanced Technical Analysis. Hendersonville, N.C.: Commodity Research Institute, Ltd. Research Goal: Performance verification of 3-Bar Momentum Pattern. Specification: Table 1. Results: Figure 1-2. Portfolio: 42 futures markets f

Frequently Mentioned Python Backtesting Libraries It is essential to backtest quant trading strategies before trading them with real money. Here, we review frequently used Python backtesting libraries. We examine them in terms of flexibility (can be used for backtesting, paper-trading as well as live-trading), ease of use (good documentation, good structure)

I. Trading Strategy Concept: Volatility breakout strategy based on price deviations defined by Minkowski Distance where: Upper_Band = Mean + (Multiple Deviation); Lower_Band = Mean ? (Multiple Deviation); Deviation((Close)k=1,,K, Mean) = (?|Close ? Mean|? K)1/?. Minkowski Distance has two special cases: (a) when ? = 1 (Manhattan Distance), the above formula reflects