This is a summary of links featured on Quantocracy on Thursday, 10/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Comparing Supervised Learning Methods for Hang Seng Futures Long/Short Strategy [Golden Compass]Trend prediction in financial markets is a very complex task, due to the fact that prices are inherently noisy, non-stationary, and deterministically chaotic. In recent years, studies have leveraged various machine learning algorithms to tackle this task. Leung, Chen, and Daouk (2001) used a Probabilistic Neural Network to forecast the trend of index return on the Taiwan Stock Exchange Index, and
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Strong down performance for trend following in September [Wisdom Trading]September 2017 Trend Following: DOWN -5.31% / YTD: -21.01% The Wisdom State of Trend Following index had a rough September, unfortunately following the trend of the last 18 months and going through the -20% mark for the year so far. With only 3 months to go, 2017 is shaping up to be a strong negative one for the strategy, like last year. Below is the full State of Trend Following report as of last