This is a summary of links featured on Quantocracy on Wednesday, 09/19/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Accelerating Dual Momentum [Allocate Smartly]This is a test of the tactical asset allocation strategy Accelerating Dual Momentum (ADM) from EngineeredPortfolio.com. ADM is especially aggressive strategy that ties together multiple concepts from other TAA models that we track. Results from 1990 to the present, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near
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StockCharts Technical Rank (SCTR) Rotation Strategy [Alvarez Quant Trading]My post last week on the analysis of SCTR produced lots of emails and comments with great ideas. One idea that I liked was a simple rotation strategy using SCTR. I mentioned in the post that maybe using SCTR as ranking method would produce different results. Normally I dont post this quickly but I wanted to share these new results because they give a different view of SCTR. The Test Date range: