This is a summary of links featured on Quantocracy on Saturday, 09/09/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to backtest 2,000,000 simulations for the best exits [PyQuant News]If youve been a reader of this newsletter for a while, or a student of Getting Started With Python for Quant Finance, youll recognize this statement: Backtests are not a way to brute force optimize parameters to maximize a performance metric. Doing that leads to overfitting and losses. But optimization does play an important part in building trading strategies. Today, well see how. How to
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Equity versus fixed income: the predictive power of bank surveys [SR SV]Bank lending surveys help predict the relative performance of equity and duration positions. Signals of strengthening credit demand and easing lending conditions favor a stronger economy and expanding leverage, benefiting equity positions. Signs of deteriorating credit demand and tightening credit supply bode for a weaker economy and more accommodative monetary policy, benefiting long-duration