This is a summary of links featured on Quantocracy on Wednesday, 09/30/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Forecasting with HoltWinters Exponential Smoothing [Quant Insti]I recently enrolled in the QuantInsti Executive Program in Algorithmic Trading and one of the areas in quantitative finance that interests me greatly is the analysis of financial time series. During the course we will take on a massive project to build our own trading strategy with the help of a mentor, and in attempt to familiarize myself with the work, I built this simple strategy using the
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Stop Losses and Profit Targets. Plus Happy Birthday Excel! [Alvarez Quant Trading]In the post, Maximum Loss Stops: Do you really need them?, we looked at how maximum loss stops changed the results of a mean reversion strategy. At the end of the post I asked the readers to vote for what to try next. Let us see how these are ideas turn out. The rules from the original post Setup Close greater than 100-day moving average Close less than the 5-day moving average 3 lower lows Member
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Timing / Stock Pick Duality Strategy [John Orford]Months ago I came up with an idea. How about building a portfolio where choosing positions and a holding period is interchangeable? Weird right? Let me explain. Academics assume day over day returns have little to do with each other and that markets are more or less efficient. So increasing your holding period results in more risk but it tails off exponentially (at the rate of the square root of
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Risk is Still Not a Mathematical Concept [Factor Wave]I wrote last week that many different measures of risk can be used to demonstrate that low risk stocks outperform high risk stocks, and illustrated this by sorting stocks according to the Hurst exponent. Today we are going to offer another example of this by using entropy as the measure of risk. The original concept of entropy was the amount of disorder in a thermodynamic system. However this was
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A Few Notes on Systematic Trading [CXO Advisory]Robert Carver introduces his 2015 book, Systematic Trading: A Unique New Method for Designing Trading and Investing Systems, by stating that: I dont believe there is any magic system that will automatically make you huge profits, and you should be wary of anyone who says otherwise, especially if they want to sell it to you. Instead, success in systematic trading is mostly down to avoiding
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Python code for the two trading rules in “Systematic Trading” [Investment Idiocy]This is a brief post aimed at those who have already bought a copy of "Systematic Trading" (by the way thanks!) As you've probably noticed I've included excel sheets here explaining the two trading rules I describe in the book – exponentially weighted moving average crossover ("EWMAC") and Carry ("Carry"). Since I also have the python code for these rules, I