This is a summary of links featured on Quantocracy on Thursday, 11/02/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Big boost for quant_rv going long/short SPY/SH (Part 11) [Babbage9010]sum: quant_rv was already beating SPY in our last post, with a long-only approach. Testing the remaining (flat) days finds that theyre dominated by losers, so if we go short (using SH ETF) instead of flat, boom! performance jumps again recap quant_rv is a simple quant strategy written in R that goes long SPY when volatility is low, and flat when vol is high. The current quant_rv version