This is a summary of links featured on Quantocracy on Wednesday, 10/18/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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The ABCs of creating a mean reversion strategy Part 1 [Alvarez Quant Trading]I was recently interviewed on Better System Trader, click here for part one of the interview, about the steps for creating a stock mean reversion strategy. I will be covering and expanding on the topics from the interview. These steps, for the most part, would apply to any strategy one is creating. The focus will be a long stock mean reversion strategy using daily bars. What is Mean Reversion
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QSTrader: A Major Update On Our Progress [Quant Start]I spoke at the Open Data Science London conference last weekend on the topic of becoming a quant. Part of the talk was aimed at educating practising data scientists on the fact that quantitative finance firms do actually contribute to, and create, many open source projects. One such project is QSTrader, which I haven't discussed for some time on the site. In today's post I am pleased to
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Trend-Following: A Deep Dive Into A Unique Risk Premium [Alpha Architect]Trend-following strategies have historically been laughed at via the modern academic finance research community. Having first-hand knowledge of that community, we can verify that academic researchers are humans like the rest of us (we checked, academics arent robots), and they suffer from group think and confirmation bias. Anything related to momentum and/or trend-following was written off as