This is a summary of links featured on Quantocracy on Wednesday, 09/16/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hypothesis Driven Development Part IV: Testing The Barroso/Santa Clara Rule [QuantStrat TradeR]This post will deal with applying the constant-volatility procedure written about by Barroso and Santa Clara in their paper "Momentum Has Its Moments". The last two posts dealt with evaluating the intelligence of the signal-generation process. While the strategy showed itself to be marginally better than randomly tossing darts against a dartboard and I was ready to reject i
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Out-of-sample test of market timing with moving averages or avoid death cross strategy [Quantitative Investor]Usign 9 equity markets I talked about in the previous post, Im going to compare avoid death cross or moving average crossover market timing rule with vanilla B&H. Formal specification of the rules used: if at day t we have for some index that MA(10) < MA(250) sell the index at the Close of day t+1 (if we hold it long) and buy 3-month T-bills if
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The Health of Stock Mean Reversion: Reader s Ideas [Alvarez Quant Trading]My previous post The Health of Stock Mean Reversion: Dead, Dying or Doing Just Fine generated good readers suggestions on other ways to check on mean reversion health. Let us see what these tests tell us. The Base Test Date Range: 1/1/1995 to 6/30/2015. Entry: Stock is part of the Russell 1000 Close > $1 RSI(2)
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ORBP with Price Channel Filter | Trading Strategy (Filter & Exit) [Oxford Capital]I. Trading Strategy Developer: Toby Crabel (ORBP: Opening Range Breakout Preference); Richard D. Donchian (Price Channel Filter). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility expansion with a price channel filter. Research Goal: Performance verification of a trend filter
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Interview with Dr Ernest Chan [Factor Wave]Dr Ernie Chan does something difficult well: he explains quantitative trading ideas to retail traders without over-simplifying them. He has written two books," Quantitative Trading:How to Build Your Own Algorithmic Trading Business" and "Algorithmic Trading: Winning Strategies and Their Rationale" and blogs at epchan.blogspot.com. Because he operates in an fairly unusual s
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Some Simple Shorting Systems For Downtrends [Quantifiable Edges]SPX closed at a 10-day high on Tuesday. New short-term (and intermediate-term) highs will sometimes get traders excited. When the market is in long-term downtrend mode, this excitement is often misplaced. Way back in a blog post on 4/3/09 I showed a number of systems that looked to sell short when the SPX made X-day highs but was below the 200ma. I have updated the results table of th
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Corporate Sport Sponsorship and Stock Returns [Alpha Architect]The NFL is back!!! Unfortunately, the Eagles may need a new kickerand now we have to listen to Wes talk trash about the Cowboys victory around the office. Tragic! In the spirit of the new NFL season, I figured it was a good time to highlight a newer paper titled Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL written by Assaf Eisdorfer a
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[Academic Paper] Robust Gaussian Filtering [@Quantivity]Robust Gaussian Filtering