This is a summary of links featured on Quantocracy on Wednesday, 09/18/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Mean-Reversion in Trend-Following Performance [CSS Analytics]In a recent post I showed that the momentum factor has been mean-reverting in the short-term, and that this effect can be used to trade both the factor and momentum strategies effectively. An obvious extension is to see whether trend-following as a factor is also mean-reverting. After all, time-series momentum and momentum have been shown to be related in the research. To represent the
Cognitive Trading System Model [Todo Trader]Yes, Artificial Intelligence (AI) is here to stay. Previously on this blog, I have written about the Basis of the Scientific Trading System as well as the Artificial Intelligence Trading Systems. Since then, I have designed a trading system model which I believe could satisfy all requirements of the present and future trading systems. In this post, I will describe the model following the
Factor Investing from Concept to Implementation [Alpha Architect]There is a substantial debate on the topic of factor investing and whether or not the backtested excess returns are actually achievable in practice. Much of the research on the topic suggests that practitioners in the field are unable to capture any of the so-called factor premiums. For example, the debate is covered here, here, and here. Turns out there is another piece of literature