This is a summary of links featured on Quantocracy on Monday, 10/07/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Concurrent Scalping Algo Using Async Python [Alpaca]One of the advantages of running automatic trading strategies is that you can quickly and consistently act on price action. Even if you have enough time to trade the same idea manually, you need to watch the market movement very closely and keep paying attention to multiple monitors. With algorithmic trading, you can automate this. Also, please keep in mind that this is only an example to help get
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The Hidden Truths About Stop loss In Trading [Quant Insti]A stop-loss order, or stops as is generally said, is an order placed with the broker to sell (or buy) if the stock of a company which you hold, reaches a pre-determined price in order to avoid large losses. In the trading world, the use of stops is seen as an essential part of risk control and money management. And usually, they take the utility of stops to be self-evident. How can you go broke
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A Framework for Creating Model Portfolios [Alpha Architect]Asset allocation is a very important decision for investors. Model portfolios are constructed with an optimized asset allocation process to help meet investor needs and preferences. The authors investigate the following research question: How does one construct a model portfolio? What are the Academic Insights? This article lays out a framework for how to construct an optimal portfolio. This
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9 Things That Get Me Fired Up About Being a Quant Investor Today [Two Centuries Investments]As trading costs have just hit zero, and passive investing overtook active in August, the investment industry is braced for further pressure to deliver alpha after fees. In my view, the potential to build great models today is huge, but constrained by the research cultures of most firms. Here is what gives me hope. Data. a) availability of amazingly unique data that 20 years ago you couldnt
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Macro Timing with Trend Following [Flirting with Models]While it may be tempting to time allocations to active strategies, it is generally best to hold them as long-term allocations. Despite this, some research has shown that there may be certain economic environments where trend following equity strategies are better suited. In this commentary, we replicate this data and find that a broad filter of recessionary periods does indeed show this for
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AI and Data Science in Trading Conference London [Cuemacro]AIDST has quickly established itself as one of the most important finance based data science conferences in the calendar. I recently attended and presented at the recent AIDST London event in September. The conference featured a mixture of both high-level talks and also more technical sessions. The conference began with a presentation from Manoj Saxena, currently at AI Global and formerly the head
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Low Volatility vs Option-Based Strategies [Factor Research]Option-based strategies have similar characteristics to Low Volatility portfolios Combining these reduces idiosyncratic strategy risks The combinations feature higher risk-adjusted returns and lower drawdowns than the S&P 500 INTRODUCTION Some investment products and strategies can be considered toxic given their history on Wall Street. Portfolio insurance is rarely used in marketing