This is a summary of links featured on Quantocracy on Tuesday, 11/10/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Interview with Dr. Ernest Chan (@ChanEP) [CSS Analytics]In the last post I reviewed the Momentum Trading Strategies Course by Quantra (a division of QuantInsti) which I reviewed as part of a recent educational journey to improve my quantitative skill set. The next course that I will be reviewing is Mean-Reversion Strategies in Python which is taught by Dr. Ernest Chan. I have personally read Ernies book Machine Trading which is very well
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Podcast: The Magic of Momentum Trading Alan Clement of @HelixTrader [Better System Trader]Ive been sitting here for 5 mins trying to come up with a witty intro for this episode about momentum, but I just couldnt seem to get it going, so
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Where does FX sit in a Systematic Trading Portfolio? [Robot Wealth]This post is a BONUS LESSON taken directly from Zero to Robot Master Bootcamp. In this Bootcamp, we teach traders how to research, build and trade a portfolio of 3 strategies including an Intraday FX Strategy, a Risk Premia Strategy and a Volatility Basis Strategy. If youre interested in adding strategies to your portfolio or are just keen to start on the path to becoming a successful and
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One Look At Monday s Massive Rotation [Quantifiable Edges]Monday saw a massive market rotation. It could be noted by the performance in the IWM vs the QQQ, or in looking at performance among S&P 500 sectors, where Energy beat Technology by 15% on Monday. But to really see how strong the rotation was, youd need to take a look at individual stock performance within the SPX. Below is a list of the Top 10 S&P 500 stocks, ranked by YTD performance
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Do Analysts Exploit Factor Anomalies when recommending stocks? [Alpha Architect]Do analysts actively exploit anomalies when they recommend stocks? Do analysts research efforts contribute to efficiency in the equity markets? Good questions. This research clarifies the relationship between established stock return anomalies and analyst recommendations. Given that anomalies are so well-documented and so well-known, and if analysts are sophisticated informed and
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A Temporal Clustering Function, Part 2 [Dekalog Blog]Further to my previous post, below is an extended version of the "blurred_maxshift_1d_linear" function. This updated version has two extra outputs: a vector of the cluster centre index ix values and a vector the same length as the input data with the cluster centres to which each datum has been assigned. These changes have necessitated some extensive re-writing of the function to include