This is a summary of links featured on Quantocracy on Tuesday, 09/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Leverage Up When You re Down? [QuantStrat TradeR]This post will investigate the idea of reducing leverage when drawdowns are small, and increasing leverage as losses accumulate. Its based on the idea that whatever goes up must come down, and whatever comes down generally goes back up. I originally came across this idea from this blog post. So, first off, lets write an easy function that allows replication of this idea. Essentially, we have
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Getting Started with Neural Networks for Algorithmic Trading [Robot Wealth]If youre interested in using artificial neural networks (ANNs) for algorithmic trading, but dont know where to start, then this article is for you. Normally if you want to learn about neural networks, you need to be reasonably well versed in matrix and vector operations the world of linear algebra. This article is different. Ive attempted to provide a starting point that doesnt
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The Butterfly Effect in Retirement Planning [Flirting with Models]Summary The low current market outlook for stocks and bonds paints a gloomy picture for retirees under common retirement forecasting assumptions. However, assumptions such as net investment returns and retirement spending can have a large impact on forecasted retirement success, even for small changes in parameters. By boosting returns through a combination of broader asset class and strategy
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State of Trend Following in August [Au Tra Sy]Slightly positive month for the State of Trend Following index but still negative Year-To-Date performance, in the double digits. Please check below for more details. Detailed Results The figures for the month are: August return: 0.79% YTD return: -11.1% Below is the chart displaying individual system results throughout August: StateTF August And in tabular format: System August Return YTD Return
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Volume Filters (Part 1) | Trading Strategy (Entry & Exit) [Oxford Capital]Volume Filters: Part 1 | Trading Strategy (Entry & Exit) I. Trading Strategy Developer: R. D. Edwards, J. Magee (Volume Filters); R. D. Donchian (Price Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by volume filters (i.e. volume breakouts). Research Question: Can volume filters improve price breakouts? Specification: Table 1. Results: Figure 1-2. Trade Setup:
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Want to Work for Alpha Architect? We’re Hiring! [Alpha Architect]Our firm is growing rapidly and were looking to hire new teammates (one initially, possibly another down the road). If you are passionate about investor education and helping us deliver affordable alpha, please reach out! We just posted a new job for an execution trader/researcher role. Jack and Yang discussing a research project Please pass around to those who would be interested. The job
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Trend Following Down in August [Wisdom Trading]August 2017 Trend Following: DOWN -1.61% / YTD: -16.60% August was only slightly negative thanks to a late recovery from the mid-month level, where the index was down by over 5%. The YTD performance is still strongly in the red. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for August: Wisdom State of Trend Following – August 2017 And the