Quantocracy’s Daily Wrap for 10/12/2018

There is so much hype and confusion surrounding AI and alt data at the moment. The AI & Data Science in Trading conference separates the hype from the reality Professor David Hand, Imperial College, London Finding alpha has always required asset managers to raise the bar in terms of technology. Today, the combination of endless new data sources, cheap computing and new AI techniques

Strongly oversold markets often contain a short-term upside edge. Of course oversold can always become more oversold. Wednesday took the SPX down to a 50-day closing low. Additionally, many short-term price oscillators, like the RSI(2) showed extremely low readings. Further selling on Thursday meant another 50-day low and even lower readings. The study below appeared in the Quantifinder on

Several weeks back, I posted some work I had done on ETF fund flows and what they could tell us about how investors, on average, fare with respect to timing their entries and exits. TL;DR: Most investors are terrible at timing inflows and outflows to the market. They badly trail benchmarks because they tend to pile in near the top and exit the markets near the bottom. The consistently correct

In this post were going to continue our work with the Consistent Momentum strategy that we explored here. Initial investigation of the strategy (kindly provided by the good folk at Quantpedia) proved to be relatively good, with a CAGR of +19% and a single losing year through the test period. One shortfall however was the significant drawdown that investors had to endure to achieve the