This is a summary of links featured on Quantocracy on Sunday, 11/01/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Best Links of the Week [Quantocracy]The best quant mashup links for the week ending Saturday, 10/31 as voted by our readers: The Cold Blood Index [Financial Hacker] How to Write a Great Quant Blog [Quant Start] High Frequency Market Microstructure: Part 1 (Microstructure Noise) [Portfolio Effect] Buy the Winners [Systematic Relative Strength] Correlations Can Be Predictive [Larry Swedroe] We also welcome one blog making its first
-
The Financial Hacker s Cold Blood Index [Robot Wealth]This post builds on work done by jcl over at his blog, The Financial Hacker. He proposes the Cold Blood Index as a means of objectively deciding whether to continue trading a system through a drawdown. I was recently looking for a solution like this and actually settled on a modification of jcls second example, where an allowance is made for the drawdown to grow with time. The modification I
-
10 Reasons to Use Elixir in Finance [John Orford]Elixir is the new hot programming language on the block. The bastard child of Ruby and Erlang. Syntax Ruby is designed like Apple designs phones. It looks and feels right. I love that the goal of Ruby language design is to reduce cognitive dissonance when implementing features. Everything has to fit together just right. Elixir has the same mindset and looks beautiful. Semantics Over a decade ago I
-
Extreme Divergence: Negative Equity Returns Ahead [Trader Edge]Many traders use technical and/or fundamental data, but few traders have discovered the unique benefits of using sentiment data in their investment process. Sentiment data attempts to quantify the emotional mood of investors and traders and can be used as a very effective contra-indicator. When traders are unusually complacent and overly bullish, markets tend to pull back. Conversely, when traders