This is a summary of links featured on Quantocracy on Friday, 09/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Pattern Recognition with the Frechet Distance [Robot Wealth]Chart patterns have long been a favourite of the technical analysis community. Triangles, flags, pennants, cups, heads and shoulders. Name a shape, someone somewhere is using it to predict market behaviour. But, is there a grain of truth or reliability in these patterns? Can it really give you a hint as to the future direction of the market? ah, I see a blue star pattern on my chart a good
-
Mo Data: Using Mean-Reversion in the Momentum Factor to Time Momentum [CSS Analytics]In the last post we used the data available for the momentum factor using an ETF (ticker: MOM) which seeks to replicate The Dow Jones Thematic Market Neutral Momentum Index to time when to be in or out of high momentum stocks. Alpha Architect recently did some interesting analysis of the distribution of returns for the same momentum index in this post. One of the challenges was the lack of data