Quantocracy’s Daily Wrap for 11/12/2020

In our last post, we took our analysis of rolling average pairwise correlations on the constituents of the XLI ETF one step further by applying kernel regressions to the data and comparing those results with linear regressions. Using a cross-validation approach to analyze prediction error and overfitting potential, we found that kernel regressions saw average error increase between training and

Bloomberg has an article You May Regret Staying Parked in U.S. Stocks which made the case that theres "widespread agreement" and "the answer isnt in dispute" that foreign stocks will outperform going forward. Simplified version of my view of that statement…. c'mon now. Extended version of my view of that statement is in line with what Jamie Powell outlines here: So

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. Initial research on momentum was published by Narasimhan Jegadeesh and Sheridan Titman, authors of the 1993 study Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. In Your

I am happy to announce that I will be hosting a free webinar series on quantitative analysis and algorithmic trading. Dates and times for the first shows can be found over here: Tradesignal Webinar Series Date and Time based patterns will be the topic of the first webinar. It will focus on the question if there are date based and time based patterns to be found in the markets. I will show some

This post contains affiliate links. An affiliate link means CSSA may receive compensation if you make a purchase through the link, without any extra cost to you. CSSA strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. In the last post I interviewed Dr. Ernest Chan who is the author of the Mean-Reversion Trading