This is a summary of links featured on Quantocracy on Friday, 08/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Crypto Trading Depth [Tr8dr]I have a collection of crypto stat/arb strategies I plan to trade as a portfolio of strategies. Each strategy trades a small mean-reversion portfolio of loosely cointegrated coins, based on a bayesian state-based model. The returns in cryptos for this sort of strategy are phenomenal, however, finding enough size can be difficult for some coin portfolios. In my universe of roughly 220 coins, there
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Optimising the rsims package for fast backtesting in R [Robot Wealth]rsims is a new package for fast, quasi event-driven backtesting in R. You can find the source on GitHub, docs here, and an introductory blog post here. Our use case for rsims was accurate but fast simulation of trading strategies. Ive had a few questions about how I made the backtester as fast as it is after all, it uses a giant for loop, and R is notoriously slow for such operations so
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The Impact of Goodwill on Stock Returns [Alpha Architect]A firms stock price should reflect the value of both its tangible and intangible capital. While tangible capital has been widely studied, intangible capital has been receiving more attention due to its increasing importance in economic values. According to a December 29, 2020, Forbes article, In 1975, less than 20% of the S&P 500s market value was derived from intangible assets such