This is a summary of links featured on Quantocracy on Friday, 10/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Reconciling Individual Stock Returns and Factor Portfolio Returns [Alpha Architect]Those in the financial media have recently been writing multiple stories on a fascinating working paper, Do Stocks Outperform Treasury Bills? by Hendrik Bessembinder. We originally highlighted the paper on our blog in January. However, recent stories by those at the New York Times (here and here), Bloomberg (here and here), and ETF.com (here) have brought the paper back into the spotlight.
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getSymbols and Alpha Vantage [Foss Trading]Thanks to Paul Teetor, getSymbols() can now import data from Alpha Vantage! This feature is part of the quantmod 0.4-11 release, and provides another another data source to avoid any Yahoo Finance API changes*. Alpha Vantage is a free web service that provides real-time and historical equity data. They provide daily, weekly, and monthly history for both domestic and international markets, with up
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Volume Filters (Part 2) | Trading Strategy (Entry & Exit) [Oxford Capital]Developer: Joseph Granville (On-Balance Volume); R. D. Donchian (Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by OBV (On-Balance Volume) filters. Research Question: Can volume filters improve price breakouts? Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Entry Setup: High[i] > EntryUpPriceChannel[i 1]. Short Entry Setup: Low[i]