This is a summary of links featured on Quantocracy on Sunday, 08/13/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Business Cycle Sector Timing [CSS Analytics]The business cycle is a pattern that captures changes in economic activity over time. The changes in the business cycle occur in a sequential or serial manner, moving through a predictable sequence of phases. These cycles are consistent but vary in both duration and intensity. The phases of the business cycle are: Expansion: This is the phase where the economy is growing. During an expansion,
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Generation of Syntactic Quantitative Signals and Alpha Factories [Hanguk Quant]This is the last of the advanced quant dev series post – next week, we will go back to the basics, and cover the details in how we arrive at the advanced quant backtesting library, which evolved from a rudimentary system consisting of a single signal, single model strategy to a multi signal, multi model strategy system. Most of the readers who struggle with our current advanced code should really
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How to use capture ratios to improve investment performance [PyQuant News]In todays newsletter, well cover the up-market capture ratio, a framework for evaluating investment performance in rising markets. Even though the ratio is used by professional money managers, you can use it to better gauge your own investment performance. Lets dive in! How to use capture ratios to improve investment performance The up-market capture ratio is a way to evaluate how well an
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Nowcasting macro trends with machine learning [SR SV]Nowcasting economic trends can make use of a broad range of machine learning methods. This not only serves the purpose of optimization but also allows replication of past information states of the market and supports realistic backtesting. A practical framework for modern nowcasting is the three-step approach of (1) variable pre-selection, (2) orthogonalized factor formation, and (3)