This is a summary of links featured on Quantocracy on Monday, 11/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book Added: Quantitative Momentum from @AlphaArchitect [Amazon]Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's
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Outperforming by Underperforming [Flirting with Models]If you want long-term outperformance, you must be able to stomach short-term underperformance. As William Bernstein said, The most important investment ability is an emotional discipline. Investing is a team sport that requires this discipline from both the investment manager (to stick to his investment process) and the end user (to stick with the manager). Setting realistic expectations,
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State of Trend Following in October [Au Tra Sy]The results from last months trend following index were only slightly negative, which is quite surprising as most of other indices were sharply down, including The Wisdom Trading State of Trend Following report, which I write as a version 2 of this report. The principles for the index are the same Goes to show that portfolio selection can still have a big impact on the short-term
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Your best strategy in 2016 up till Q3 [Quant Investing]I wanted to send you this article shortly after the end of the third quarter 2016 but, like a lot of things, it slipped my mind. What has worked in 2016 value is not dead I will get right to the point about what strategy would have given you the best return so far in 2016. Here is a short summary: Price to book worked VERY well +34.6% (who would have thought that) Quality did not work Momentum
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Testing A Euro Currency Futures Scalping Strategy, Part 5 [System Trader Success]Its been a couple of years since I reviewed this potential trading idea of a Euro currency futures scalping strategy. Over the series of articles, which are listed below, Ive been combing filter to demonstrate how I add different filters to a system based on market conditions. Testing A Euro Currency Futures Scalping Strategy Testing A Euro Currency Futures Scalping Strategy, Part 2 Testing
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Python Data Visualization using Bokeh for Algo Traders and Quants [Quant Insti]A picture is worth a thousand words or said a wise woman a hundred years ago. True to every word of the idiom, the beauty of visualization lies in how clearly it might convey multiple messages. Visualization of data is one of the key functions of a data scientist and decoding the visual messages is of primary importance to the algo trader. The patterns (both hidden and the obvious) are of utmost