This is a summary of links featured on Quantocracy on Tuesday, 10/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Building a Basic Cross-Sectional Momentum Strategy Python Tutorial [Quantoisseur]In this tutorial we utilize the free Alpha Vantage API to pull price data and build a basic momentum strategy that is rebalanced weekly. This approach can be adapted for any feature youd like to explore. Let me know what youd like to see in the next video!
An Analysis of Graham s Net-Nets: Outdated or Outstanding? [Alpha Architect]In an earlier post we analyzed the prominent and often-cited study on net-nets conducted by Henry R. Oppenheimer from the Financial Analysts Journal (1986). In this post, we analyze the article Grahams Net-Nets: Outdated or Outstanding? by James Montier. The objective of the article was to examine the performance of securities that were trading at no more than two-thirds of their