This is a summary of links featured on Quantocracy on Thursday, 10/03/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Integrating R with the Zorro Backtesting and Execution Platform [Robot Wealth]n the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented a Zorro script for backtesting and trading price-based spreads using a static hedge ratio. The goal is to get the best of both worlds and use our dynamic hedge ratio within the Zorro script. Rather than implement the Kalman filter in Lite-C, its much easier to make use of Zorros R
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Alternative Investments – A Field Manual [Alpha Architect]Its not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. Its my hope that I can forewarn you of the proverbial landmines and better prepare you to invest (or not invest) in the alternative space.(1)(2) Identifying a Unique Return Stream The first step most analysts make with
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Continuous Futures Contracts Methodology for Backtesting [Quantpedia]The problem with spliced futures No doubt, the correct datasets are the key when one does some analysis in the financial markets. For some financial instruments, the data can be found for free and ready for the upcoming process, but on the other hand, some instruments are more complicated. Nowadays, futures contracts are widely spread and popular among practitioners. However, each delivery month
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New book: Leveraged Trading [Investment Idiocy]This month* marks the release of my third book, with the snappy title "Leveraged Trading", and the slightly less snappy subtitle "A professional approach to trading FX, stocks on margin, CFDs, spread bets and futures for all traders". Photo courtesy of Harriman House. As you can see, the book makes an excellent books-stand for itself * Official publication date is 29th October.