This is a summary of links featured on Quantocracy on Sunday, 09/20/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Week [Quantocracy]The best quant mashup links for the week ending Saturday, 09/19 as voted by our readers: Hacking the Random Walk Hypothesis [Turing Finance] Getting Started: Building a Fully Automated Trading System [Quants Portal] Interview with Euan Sinclair [EP Chan] Interview with Dr Ernest Chan [Factor Wave] Probability Investing [Price Acti
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Getting Started with Javascript – First Draft [John Orford]First draft of 'Javascript for Financial Analysts' Chapter 1. ~ Much of our coding time is spent in an interactive environment, colloquially called the 'REPL', 'Read-Eval-Print Loop' or console. The REPL reads input, evaluates it according to our code and prints it. Javascript's REPLs, can be found in any browser, by pressing Ctrl+Shif
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When is a Backtest Too Good to be True? Part Two [Quintuitive]In the previous post, I went through a simple exercise which, to me, clearly demonsrtates that 60% out of sample guess rate (on daily basis) for S&P 500 will generate ridiculous returns. From the feedback I got, it seemed that my example was somewhat unconvincing. Lets dig a bit further then. Lets add Sharpe ratio and maximum drawdown to the CAGR and compute all three for
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Will Yesterday s Shooting Star Make Bears Wishes Come True? [Dana Lyons]Like its bullish counterpart, the hammer, this bearish reversal pattern has been inconsistent in its forecasting abilities, except under certain conditions. Weve covered the hammer candlestick chart pattern on a couple occasions over the past few years, most extensively in this October 2014 post. The pattern, which involves a significant selloff from the open followed b
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SPX Straddle – 38 DTE – Manage Profits at 25% [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 third 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 25% of the credit received. The results displayed in this post rep