This is a summary of links featured on Quantocracy on Monday, 10/26/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Cold Blood Index [Financial Hacker]Youve developed a new trading system. All tests produced impressive results. So you started it live. And are down by $2000 after 2 months. What now? Carry on in cold blood, or pull the brakes in panic? This is a situation all too familiar to any algo trader. There can be several reasons why a strategy loses money right from the start. It can be already expired since the market inefficiency
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You do not experience summary statistics [Flirting with Models]In due diligence, we often evaluate summary statistics like annualized return, volatility, alpha, beta, up-capture, and down-capture. These statistics can unify years of returns into a single number. While this can be convenient for comparing different strategies, it fails to provide adequate insight into the actual week-to-week experiences an investor will face. We highlight how even in the best
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Buy the Winners [Systematic Relative Strength]People come up with all kinds of reasons not to buy stocks with strong momentum. Some of the most common reasons that I hear: Stocks with high momentum are risky Stocks with high momentum are overvalued Stocks with high momentum are susceptible to reversals As for the first point, yes, buying stocks with high momentum is risky. So is buying stocks with weak momentum. As far as that goes, buying
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A Complementary Approach To Trading Technical Indicators [System Trader Success]In the October issue of Futures magazine author Jean Folger discusses an important aspect when selecting two or more indicators when developing a trading system. While I dont recommend simply combining indicators to create a trading system, and I dont think thats what Folger is suggesting either, when there comes a time to introduce two or more technical indicators to a trading system,