This is a summary of links featured on Quantocracy on Tuesday, 09/05/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Testing TrendYCMacro from Durian and Vojtko of @Quantpedia [Allocate Smartly]This is a test of the TrendYCMacro strategy from the paper Avoid Equity Bear Markets with a Market Timing Strategy from urian and Vojtko of Quantpedia. The strategy combines trends in price, the slope of the yield curve and key economic indicators to switch between US equities and cash. Backtested results from 1927 follow. Results are net of transaction costs see backtest assumptions.
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Short Term Signals – can they produce meaningful alpha? [Alpha Architect]Short-term return anomalies are generally dismissed in the academic literature because they seemingly do not survive after accounting for market frictions. In this research, short-term factors are taken seriously, and the authors argue the standard parameters may not apply to short horizons. The authors ask: Do the standard assumptions regarding estimates for trading costs,