This is a summary of links featured on Quantocracy on Wednesday, 09/21/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Adam Butler of @GestaltU: Adaptive Asset Allocation [Allocate Smartly]This is a test of a tactical asset allocation strategy from Adam Butler and the excellent team at GestaltU, as described in the paper: Adaptive Asset Allocation: A Primer. The model combines momentum with a minimum variance portfolio to trade a diverse array of global asset classes. The paper is a particularly accessible treatment of issues with traditional portfolio theory, and the effectiveness
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Labeling Opportunities in Price Series with Python [Quintuitive]My plans are to use Python for the rest of this series. The main reasons are algorithm related, but irrelevant for the time being, however, I decided to re-write some of the code I posted recently and I found the experience rather surprising. The experience was quite positive, but let me explain: I have always liked Python for scripting, but this time, I enjoyed usiworking on a more data science