This is a summary of links featured on Quantocracy on Tuesday, 11/08/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Preliminary Tests of Currency Strength Indicator [Dekalog Blog]Since my last post on the currency strength indicator I have been conducting a series of basic randomisation tests to see if the indicator has better than random predictive ability. The first test was a random permutation test, as described in Aronson's Evidence Based Technical Analysis book, the code for which I have previously posted on my Data Snooping Tests Github page. These results were
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Over-Rebalancing [Meb Faber]Research Affiliates has been churning out some great content lately. In their recent piece titled Timing Smart Beta Strategies? Of Course! Buy Low, Sell High! they examine some value based factor rotation strategies. Namely, they examined rotating among the factors that had the worst 1,3,5,and 10 year trailing performance. Not surprisingly it worked well. So I went and re-ran a similar