This is a summary of links featured on Quantocracy on Wednesday, 09/23/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Sorry Jim, trend following probably still works (though not the fast stuff) [Investment Idiocy]Sorry Jim, trend following probably still works (though not the fast stuff) Sometimes really smart people still get things wrong. Even really smart people, who have been very successful, and are thus very rich. Jim Simons. Very Rich. Very Smart (www.pbs.org) During a recent TED talk Jim Simons said: Trend-following would have been great in the 60s, and it was sort of OK in the 70s. By the
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‘Javascript for Financial Analysts’ Chapter 3 – First Draft [John Orford]The first chapter ended with code which included a map and a filter which we will dive back into now with a less applied more intuitive example. Open up the JavaScript console and paste or type in the following code, [0,1,2,3,4,5,6,7,8,9] .filter( function(j){ return j%2===1; } ); This code filters the array of numbers and returns an array of odd numbers. > [1,3,5,7,9] One feature of filter and
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Out-of-sample testing of Sell in May market timing rule [Quantitative Investor]In one of the previous posts I considered market timing with moving averages on 9 quite different equity indices that were chosen in other post, and came to the conclusion that the rule is the viable alternative to the standard B&H, allowing to avoid large drawdowns in one cases and even improve performance in others (e.g. it is bad idea to passively invest in Nikkei index, but even with
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Momentum trends with Andreas @Clenow [Automated Trader]Andreas Clenow is CIO of Zurich-based ACIES Asset Management ($300+ million AuM), and author of 'Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies'. Why would he give up the super secret sauce in a tell-all? Automated Trader finds out. CTAsHedge Funds Andreas Clenow, CIO, ACIES Asset Management Andreas Clenow, CIO, ACIES Asset Management "People think that
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Using a Random Forest and Hidden Markov Model to Improve Trade Performance [Inovance]Machine learning is a powerful tool for not only coming up with new strategies (like we do in TRAIDE) but also for improving your existing strategies. In this article, well cover adjusting your position size using a random forest algorithm and turning your strategy on an off using a Hidden Markov Model. You can copy and paste the R code to try it yourself on your own strategies. This article