This is a summary of links featured on Quantocracy on Friday, 09/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Interview with Euan Sinclair [EP Chan]I have been a big fan of options trader and author Euan Sinclair for a long time. I have cited his highly readable and influential book Option Trading in my own work, and it is always within easy reach from my desk. His more recent book Volatility Trading is another must-read. I ran into him at the Chicago Trading Show a few months ago where he was a panelist on volatility trading, and
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Can Investors Achieve Commodity Exposure via Equities? [Alpha Architect]This past year we examined the possibility of replicating commodity exposure via equities. The project was spurred by an insightful research report from MSCI, which showed some impressive results. Other research outfits have proposed similar concepts. The figure below, taken from the MSCI report, highlights how well the MSCI Select Commodity Producers Index replicates various commodity
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An Update on Jay s Pure Momentum Sector Fund System [Jay On The Markets]Todays article is an update on this oldie but goodie. When people ask me if momentum investing works, at this point because I am older and (even) crankier than I used to be I typically refer them to the linked article above and grunt decide for yourself. Sorry, its just my nature. (See also: The Signpost Up Ahead: The September Danger Zone)
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SPX Straddle – 38 DTE – Manage Profits at 10% [DTR Trading]In this post we look at the backtest results of selling a one-lot, at-the-money (ATM) straddle on the S&P 500 Index (SPX), initiated at 38 days-to-expiration (DTE). In this second post of five on 38 DTE straddles, we look at trades that use the same loss exits as shown in the first post, and in addition, take profits at 10% of the credit received. The results displayed in this post re