Quantocracy’s Daily Wrap for 11/20/2019

Guest: Andreas Clenow is the Chief Investment Officer of ACIES Asset Management AG. He manages alternative investment funds for institutional and qualified investors. He has served as Nordic Manager for the Analytics Consulting division of Reuters Consulting, covering Sweden, Norway, Denmark, Finland, Iceland and the Baltics before serving as Global Head of Equity and Commodity Analytics Modeling,

Systematic trading is often synonymous with short-term trading frequencies in the retail quant trading space. Daily and intraday strategies tend to receive the bulk of the community's attention. The popularity of systematic cryptocurrency trading has put a further emphasis on short term trading methods. Higher frequency strategies may be appropriate for active traders who wish to enhance

One compelling study that triggered Tuesday in the Quantifinder suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after the market moves up at least 5 days in a row to a 50-day high, and then pulls back. 2019-11-20-1 We see here a decent edge that becomes stronger and more consistent as you look

Concept: Opening Range Breakout (ORB) with Volatility Clustering (Large price moves tend to be followed by large price moves, and small price moves tend to be followed by small price moves). Research Question: Can we improve performance of the original volatility clustering model via Opening Range Breakout (ORB)? Specification: Table 1. Results: Figure 1-4. Trade Setup: We identify large price