This is a summary of links featured on Quantocracy on Thursday, 10/20/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Stoken’s Active Combined Asset Strategy [Allocate Smartly]This is a test of Dick Stokens Active Combined Asset (ACA) strategy from his book Survival of the Fittest for Investors. This tactical asset allocation strategy uses price channel breakouts to choose between pairs of opposing risk and defensive asset classes. Results from 1988, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy
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Reflexivity and the Feedback Effect in Financial Markets [Alpha Architect]Eugene Famas Efficient Market Hypothesis argues that because stock prices follow a random walk, future price behavior cannot be predicted. In his seminal paper, Random Walks in Stock Market Prices, he explains the relationship between prices and fundamentals: If the random-walk theory is valid and if security exchanges are efficient markets, then stock prices at any point in
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Zero Lag Moving Average Filter | Trading Strategy (Entry & Exit) [Oxford Capital]I. Trading Strategy Developer: John Ehlers and Ric Way. Source: Ehlers, J., Way, R. (2010). Zero Lag (Well, Almost). Concept: Trend following trading strategy based on moving average filters. Research Goal: To verify performance of the Zero Lag Moving Average Filter. Specification: Table 1. Results: Figure 1-2. Trade Filter: Long Trades: Zero Lag Moving Average (ZLMA) crosses over Exponential