This is a summary of links featured on Quantocracy on Wednesday, 09/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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StockCharts Technical Rank (SCTR) Indicator Analysis [Alvarez Quant Trading]Overall the last few months, Ive had several consulting clients strategy use SCTR for either a ranking or a filter. I finally got curious about the predictive ability of SCTR. How good is? I could find no information on how each of the ranking buckets did X days later on StockCharts.com. Maybe these results are hidden behind the paywall which I do not have access to. I developed PowerRatings
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The Conservative Formula: Quantitative Investing made Easy [Alpha Architect]Is it possible to build a simple systematic approach that beats investing in complex factor models? The research team here has proposed that a simple formula based on low return volatility, high net payout yield (dividends +/- stock buybacks), and strong price momentum gives investors exposure to the most important factor premiums in one easy-to-implement investment strategy. Does the conservative
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Evening class imbalance before the war [Quant Dare]Class imbalance can seriously damage the precision of your binary classifier. In this post you will learn some simple ways of evening the size of your classes before training to prevent your classifier from cheating. The class imbalance problem Binary classification is a very common problem in machine learning. The algorithm learns the underlying relationship between the features and the label.