This is a summary of links featured on Quantocracy on Wednesday, 10/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Exiting using limit orders [Alvarez Quant Trading]Most of us focus our research time looking to find better entries. We dont spend enough time thinking about our exits. I am definitely guilty of this. A popular way to enter a mean reversion trade is by using a limit order. I use that on the strategy on RSI2 Strategy: Double returns with a simple rule change post. The exit on that strategy is on the open. Many people dont like exiting on the
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Kalman Filter Pairs Trading with Zorro and R [Robot Wealth]In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter in R Implemented a simple pairs trading algorithm in Zorro Connected Zorro and R and exchanged data between the two platforms In this fourth and final post, were going to put it all together and develop a pairs trading script that uses Zorro for all the simulation aspects (data
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Mitigating over tting on Financial Datasets with Generative Adversarial Networks [Quant Dare]What good is synthetic data for in a financial setting? This is a very valid question, given that data augmentation techniques can be hard to evaluate and the time series they produce are very complex. As we will see in this post however, it turns out that synthetic series can be very useful! Specially mitigating overfitting in financial settings. Following up on our latest posts about GANs (see
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Crowded trades, asset centrality and predicting equity bubbles [Alpha Architect]What is a crowded trade? What is asset centrality? Does asset centrality predict bubbles? Can it be exploited? What are the Academic Insights? In the normal course of events, investors perceive and act upon changes in fundamentals that will persist indefinitely (or until the next change in fundamentals) resulting in price movements that are difficult to anticipate or otherwise exploit. In contrast
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State of Trend Following in September [Au Tra Sy]Big swing down. The State of Trend Following report erased most of the gains for the year in one sharp down month. Please check below for more details. Detailed Results The figures for the month are: September return: -8.85% YTD return: 0.96% Below is the chart displaying individual system results throughout September: StateTF September And in tabular format: System September Return YTD Return